货币政策对通货膨胀和资产价格的冲击效应——基于货币搜寻理论的实证分析

摘要货币搜寻理论为货币、物价与资产价格三者之间的非线性关系提供假说,使货币当局便于在不同经济状态中把握干预物价与资产价格的时机。在此理论基础上,笔者构建MS-VAR模型并进行实证检验,结果表明在股票市场低迷时期,货币供应量和利率调节都可以对股票市场产生影响;在股票市场繁荣时期,更适宜使用利率手段抑制资产价格上涨。我国央行应在必要时干预资产价格,并注意多种工具的协调使用以及总量调控与价格调控在不同时期的各有侧重。

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	庞晓波
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关键词：货币政策通货膨胀资产价格非线性关系

Abstract： Monetary Search Theory offers hypotheses about the nonlinear relationship among money, commodity prices and asset prices, in order to facilitate the monetary authorities to grasp the opportunity to intervene in prices and asset prices in different economic status more accurately. On the basis of the theory, the paper establishes the MS-VAR model to conduct empirical tests. The result shows that money supply and interest rate adjustment can have an impact on the stock market in the downturn of the stock market. When the stock market boom, it is more appropriate to use interest rate to inhibit the rise of asset price. The central bank should intervene in the asset price when necessary, pay attention to use a variety of tools, and place a particular emphasis on one aspect in different periods to control and coordinate price regulation.

Keywords： Monetary Policy Inflation Asset Price Nonlinear Relationship

收稿日期 2016-12-30; 接受日期 2016-12-30;

作者简介: 庞晓波(1955-),男,吉林榆树人,教授,博士生导师,主要从事金融计量分析研究;钱锟(1986 - ),男,黑龙江哈尔滨人,博士研究生,主要从事金融计量分析研究。

引用本文:

庞晓波,钱锟.货币政策对通货膨胀和资产价格的冲击效应——基于货币搜寻理论的实证分析[J]. 经济经纬, 2016,6: 125-130

PANG Xiao-bo, QIAN Kun.Monetary Policy on Inflation and Asset Prices Shock Effect ——Based on the Analysis of Monetary Search Theory[J] Economic Survey, 2016,V33(6): 125-130

链接本文:

http://www.jjjw.org.cn/CN/ 或 http://www.jjjw.org.cn/CN/Y2016/V33/I6/125