经济政策不确定性与我国货币政策有效性——基于门槛向量自回归模型的实证研究
|
摘要
文章采用TVAR模型,探讨经济政策不确定性对我国数量型和价格型货币政策调控效果的影响。研究发现:随着经济政策不确定性的上升,物价和产出对数量型货币政策冲击表现出更大负向反应,物价对价格型货币政策也呈现较大负向反应,产出的反应则呈现出更大的波动性。经济政策不确定性对数量型货币政策调控效果的负向影响大于对价格型调控效果的负向影响,不同经济政策不确定性状态下货币政策调控效果呈现明显非线性特征。经济政策不确定性影响了货币政策调控经济的效果,使货币政策调控偏离政策制定者的目标。经济政策不确定性对货币政策实施产生了显著影响,我国央行在制定和执行货币政策时应关注经济政策不确定性的影响。
This paper uses TVAR model to explore the impact of economic policy uncertainty on the regulatory effect of quantitative and price-based monetary policy in China. The study finds that with the increase of economic policy uncertainty,price and output show greater negative response to the impact of quantitative monetary policy,price also shows greater negative response to price-based monetary policy,and output response shows greater volatility. The negative effect of economic policy uncertainty on the regulation effect of quantitative monetary policy is greater than that of price. The regulation effect of monetary policy shows obvious non-linear characteristics under different economic policy uncertainty states. Uncertainty of economic policy affects the effect of monetary policy on regulating economy,and makes monetary policy deviate from the goal of policymakers. Economic policy uncertainty has a significant impact on the implementation of monetary policy. The Central Bank of China should pay attention to the impact of economic policy uncertainty when formulating and implementing monetary policy.
This paper uses TVAR model to explore the impact of economic policy uncertainty on the regulatory effect of quantitative and price-based monetary policy in China. The study finds that with the increase of economic policy uncertainty,price and output show greater negative response to the impact of quantitative monetary policy,price also shows greater negative response to price-based monetary policy,and output response shows greater volatility. The negative effect of economic policy uncertainty on the regulation effect of quantitative monetary policy is greater than that of price. The regulation effect of monetary policy shows obvious non-linear characteristics under different economic policy uncertainty states. Uncertainty of economic policy affects the effect of monetary policy on regulating economy,and makes monetary policy deviate from the goal of policymakers. Economic policy uncertainty has a significant impact on the implementation of monetary policy. The Central Bank of China should pay attention to the impact of economic policy uncertainty when formulating and implementing monetary policy.
引文
[1]郭豫媚,陈伟泽,陈彦斌.中国货币政策有效性下降与预期管理研究[J].经济研究,2016,51(1):28-41.
[2]GULEN H,ION M.Policy Uncertainty and Corporate Investment[J].Review of Financial Studies,2016,29(3):523-564.
[3]NODARI G.Financial regulation policy uncertainty and credit spreads in the US[J].Journal of Macroeconomics,2014,41:122-132.
[4]田磊,林建浩.经济政策不确定性兼具产出效应和通胀效应吗?来自中国的经验证据[J].南开经济研究,2016(2):3-24.
[5]BLOOM N,FLOETOTTO M,JAIMOVICH N,et al.Really uncertain business cycles[J].Econometrica,2018,86(5):1031-1065.
[6]JULLO B,YOOK Y.Political Uncertainty and Corporate Investment Cycles[J].Journal of Finance,2012,67(1):45-84.
[7]李凤羽,杨墨竹.经济政策不确定性会抑制企业投资吗?--基于中国经济政策不确定指数的实证研究[J].金融研究,2015(4):115-129.
[8]饶品贵,岳衡,姜国华.经济政策不确定性与企业投资行为研究[J].世界经济,2017,40(2):27-51.
[9]王红建,李青原,邢斐.经济政策不确定性、现金持有水平及其市场价值[J].金融研究,2014(9):53-68.
[10]李凤羽,史永东.经济政策不确定性与企业现金持有策略--基于中国经济政策不确定指数的实证研究[J].管理科学学报,2016,19(6):157-170.
[11]段梅.经济政策不确定性会影响货币政策有效性吗--基于信贷渠道的视角[J].当代财经,2017(6):18-27.
[12]BAKER S R,BLOOM N,DAVIS S J.Has Economic Policy Uncertainty Hampered the Recovery?[R].Social Science Electronic Publishing,NO.12-06,2012.
[13]BAKER S R,BLOOM N,DAVIS S J.Measuring Economic Policy Uncertainty[J].Quarterly Journal of Economics,2016,131(4):1503-1636.
[14]饶品贵,徐子慧.经济政策不确定性影响了企业高管变更吗?[J].管理世界,2017(1):145-157.
[15]顾夏铭,陈勇民,潘士远.经济政策不确定性与创新-基于我国上市公司的实证分析[J].经济研究,2018,53(2):109-123.
[16]彭俞超,韩珣,李建军.经济政策不确定性与企业金融化[J].中国工业经济,2018(1):137-155.
[17]PASTOT L,VERONESI P.Uncertainty about government policy and stock prices[J].Journal of Finance,2012,67(4):1219-1264.
[18]刘昌义,何为.不确定条件下的贴现理论与递减贴现率[J].经济学家,2015,27(3):65-73.
[19]BROGAAD J,DETZEL A.The asset pricing implications of government economic policy uncertainty[J].Management Science,2015,61(1):3-18.
[20]谭小芬,张凯,耿亚莹.全球经济政策不确定性对新兴经济体资本流动的影响[J].财贸经济,2018,39(3):35-49.
[21]COLOMBO V.Economic policy uncertainty in the US:Does it matter for theEuro area?[J].Economics Letters2013,121:39-42.
[22]AASTVEIT K A,NATVIK G J,SOLA S.Economic Uncertainty and the Influence of Monetary Policy[J].Journal of International Money&Finance,2017(5):50-67.
[23]BALCILAR M,DEMIER R,GUPTA R,et al.The impact of US policy uncertainty on the monetary effectiveness in the Euro area[J].Journal of Policy Modeling,2017,39:1052-1064.
[24]GUPTA R,JOOSTE C.Unconventional monetary policy shocks in OECD countries:how important is the extent of policy uncertainty?[J].International Economics&Economic Policy,2017(5):1-21.
[25]马续涛,沈悦.政策不确定性、货币政策与银行风险承担[J].华东经济管理,2017,31(5):100-106.
[26]杨铭,干杏娣.经济政策不确定性对货币政策有效性影响研究--基于就业的视角[J].统计与信息论坛,2018,33(7):73-80.
[27]谭小芬,张文婧.经济政策不确定性影响企业投资的渠道分析[J].世界经济,2017,40(12):3-26.
[28]DIXIT A,PRINDYCK R.Investment under uncertainty[M].Princeton:Princeton University Press,1994:135-315.
[29]BERNANKE B,GERTLER M G.The financial accelerator in a quantitative Business cycle framework[C]//TAYLORJ,WOODFORD M.Handbook of macroeconomics.North Holland,1999.
[30]AUERBACH A J,GORODNICHENKO Y.Measuring the Output Responses to Fiscal Policy[J].Economic Policy,2012,4(2):1-27
[31]BAUM M A,POPLAWSKI-RIBEIRO M M,WEBER A.Fiscal Multipliers and the State of the Economy[M].Washington:International Monetary Fund,2012:20-45.
[32]贾倩、孔祥、孙铮.政策不确定与企业投资行为-基于省级地方官员变更的实证检验[J].财经研究,2013(2):81-91.
[33]BlOOM N.The Impact of Uncertainty Shocks[J].Econometrica,2009,77(3):623-85.
(1)美联储具体观点详见2016年6月议息会议纪要及美联储主席耶伦2016国会半年度货币政策听证会发言,国际货币基金组织的观点详见2012年IMF《世界经济展望》。
(2)田磊和林建浩(2016)研究表明我国经济政策不确定性呈现出逆周期特征即低经济增长区间与高不确定性指数区间重叠,这里主要提到宽松货币政策是因为高不确定性时往往经济形势不景气,政府倾向于实施宽松货币政策。
(3)具体情况详见www.policyuncertainty.com
[2]GULEN H,ION M.Policy Uncertainty and Corporate Investment[J].Review of Financial Studies,2016,29(3):523-564.
[3]NODARI G.Financial regulation policy uncertainty and credit spreads in the US[J].Journal of Macroeconomics,2014,41:122-132.
[4]田磊,林建浩.经济政策不确定性兼具产出效应和通胀效应吗?来自中国的经验证据[J].南开经济研究,2016(2):3-24.
[5]BLOOM N,FLOETOTTO M,JAIMOVICH N,et al.Really uncertain business cycles[J].Econometrica,2018,86(5):1031-1065.
[6]JULLO B,YOOK Y.Political Uncertainty and Corporate Investment Cycles[J].Journal of Finance,2012,67(1):45-84.
[7]李凤羽,杨墨竹.经济政策不确定性会抑制企业投资吗?--基于中国经济政策不确定指数的实证研究[J].金融研究,2015(4):115-129.
[8]饶品贵,岳衡,姜国华.经济政策不确定性与企业投资行为研究[J].世界经济,2017,40(2):27-51.
[9]王红建,李青原,邢斐.经济政策不确定性、现金持有水平及其市场价值[J].金融研究,2014(9):53-68.
[10]李凤羽,史永东.经济政策不确定性与企业现金持有策略--基于中国经济政策不确定指数的实证研究[J].管理科学学报,2016,19(6):157-170.
[11]段梅.经济政策不确定性会影响货币政策有效性吗--基于信贷渠道的视角[J].当代财经,2017(6):18-27.
[12]BAKER S R,BLOOM N,DAVIS S J.Has Economic Policy Uncertainty Hampered the Recovery?[R].Social Science Electronic Publishing,NO.12-06,2012.
[13]BAKER S R,BLOOM N,DAVIS S J.Measuring Economic Policy Uncertainty[J].Quarterly Journal of Economics,2016,131(4):1503-1636.
[14]饶品贵,徐子慧.经济政策不确定性影响了企业高管变更吗?[J].管理世界,2017(1):145-157.
[15]顾夏铭,陈勇民,潘士远.经济政策不确定性与创新-基于我国上市公司的实证分析[J].经济研究,2018,53(2):109-123.
[16]彭俞超,韩珣,李建军.经济政策不确定性与企业金融化[J].中国工业经济,2018(1):137-155.
[17]PASTOT L,VERONESI P.Uncertainty about government policy and stock prices[J].Journal of Finance,2012,67(4):1219-1264.
[18]刘昌义,何为.不确定条件下的贴现理论与递减贴现率[J].经济学家,2015,27(3):65-73.
[19]BROGAAD J,DETZEL A.The asset pricing implications of government economic policy uncertainty[J].Management Science,2015,61(1):3-18.
[20]谭小芬,张凯,耿亚莹.全球经济政策不确定性对新兴经济体资本流动的影响[J].财贸经济,2018,39(3):35-49.
[21]COLOMBO V.Economic policy uncertainty in the US:Does it matter for theEuro area?[J].Economics Letters2013,121:39-42.
[22]AASTVEIT K A,NATVIK G J,SOLA S.Economic Uncertainty and the Influence of Monetary Policy[J].Journal of International Money&Finance,2017(5):50-67.
[23]BALCILAR M,DEMIER R,GUPTA R,et al.The impact of US policy uncertainty on the monetary effectiveness in the Euro area[J].Journal of Policy Modeling,2017,39:1052-1064.
[24]GUPTA R,JOOSTE C.Unconventional monetary policy shocks in OECD countries:how important is the extent of policy uncertainty?[J].International Economics&Economic Policy,2017(5):1-21.
[25]马续涛,沈悦.政策不确定性、货币政策与银行风险承担[J].华东经济管理,2017,31(5):100-106.
[26]杨铭,干杏娣.经济政策不确定性对货币政策有效性影响研究--基于就业的视角[J].统计与信息论坛,2018,33(7):73-80.
[27]谭小芬,张文婧.经济政策不确定性影响企业投资的渠道分析[J].世界经济,2017,40(12):3-26.
[28]DIXIT A,PRINDYCK R.Investment under uncertainty[M].Princeton:Princeton University Press,1994:135-315.
[29]BERNANKE B,GERTLER M G.The financial accelerator in a quantitative Business cycle framework[C]//TAYLORJ,WOODFORD M.Handbook of macroeconomics.North Holland,1999.
[30]AUERBACH A J,GORODNICHENKO Y.Measuring the Output Responses to Fiscal Policy[J].Economic Policy,2012,4(2):1-27
[31]BAUM M A,POPLAWSKI-RIBEIRO M M,WEBER A.Fiscal Multipliers and the State of the Economy[M].Washington:International Monetary Fund,2012:20-45.
[32]贾倩、孔祥、孙铮.政策不确定与企业投资行为-基于省级地方官员变更的实证检验[J].财经研究,2013(2):81-91.
[33]BlOOM N.The Impact of Uncertainty Shocks[J].Econometrica,2009,77(3):623-85.
(1)美联储具体观点详见2016年6月议息会议纪要及美联储主席耶伦2016国会半年度货币政策听证会发言,国际货币基金组织的观点详见2012年IMF《世界经济展望》。
(2)田磊和林建浩(2016)研究表明我国经济政策不确定性呈现出逆周期特征即低经济增长区间与高不确定性指数区间重叠,这里主要提到宽松货币政策是因为高不确定性时往往经济形势不景气,政府倾向于实施宽松货币政策。
(3)具体情况详见www.policyuncertainty.com