商业研究

商业研究

• 财经纵横 • 上一篇    下一篇

货币政策对金融稳定的时变特征研究

庞晓波1，胥日2   

  1. (吉林大学 1.数量经济研究中心；2.商学院，长春 130012）
  • 收稿日期:2018-05-20 出版日期:2018-12-10
  • 作者简介:庞晓波（1955-），男，吉林榆树人，吉林大学数量经济研究中心教授，博士生导师，经济学博士，研究方向：金融危机传染、政府债务风险、货币政策；胥日（1989-），本文通讯作者，男，黑龙江大庆人，吉林大学商学院博士研究生，研究方向：金融稳定。
  • 基金资助:
    教育部人文社会科学重点研究基地重大项目，项目编号：16JJD790016。 教育部人文社会科学重点研究基地重大项目，项目编号：16JJD790016。

The Time-varying Characteristics of the Impact of Monetary Policy on Financial Stability〖WT〗

PANG Xiao-bo1, XU Ri2   

  1. (1.Center for Quantitative Economics,Jilin University, Changchun 130012，China; 2.Business School,Jilin University,Changchun 130012,China)
  • Received:2018-05-20 Online:2018-12-10

摘要： 美国次贷危机爆发以来，金融稳定成为国际社会重点关注的问题。本文从金融基础指标中拟合出我国金融稳定性指数，通过TVP-VAR模型分析货币政策和与金融稳定之间的时变特征，发现货币政策与金融稳定之间存在显著的阶段性特征，适度宽松的货币政策能够有效提高金融稳定性；数量型货币政策的调控效应显著优于价格型政策，政策当局在调控过程中仍以数量型政策为主；货币政策对金融稳定的调控效应更加表现为一种长期效应，货币当局应着眼于维持金融体系长期的稳定性，采取相对稳健的货币政策并保持货币政策的延续性，从而为公众树立良好预期。

关键词: 金融稳定, 货币政策, TVP-VAR模型

Abstract: Since the US broke-out the sub-prime crisis, financial stability has become the emphases attention problem. In this paper,the financial stability index of China is fitted from a series of basic indexes and the time-varying characteristics of the mechanism of monetary policy and financial stability are studied through the TVP-VAR model. The empirical results show that: the mechanism between monetary policy and financial stability has remarkable stage characteristics,at the current stage, the moderately loose monetary policy can effectively improve financial stability; the regulation effect of quantitative monetary policy is significantly higher than price-based one, so policy authorities should put the quantitative monetary policy as main means when they are regulating financial stability; the effect of monetary policy on the financial stability is more a long-term effect, therefore the monetary authorities should focus on maintaining the long-term stability of the financial system, take a relatively prudent monetary policy and maintain the continuity of the monetary policy, so as to establish a good expectations for the public.

Key words: financial stability, monetary policy, TVP-VAR model