前瞻性货币政策转型与资产价格预期管理效果评估
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摘要
"预期管理"逐渐成为全球央行进行货币政策调控的重要选项,中国央行也基于预期管理的理念进行货币政策转向。本文在回顾全球货币政策变化与实践的基础上,基于货币政策传导机制的信息沟通渠道和金融市场渠道理论,尝试构建央行信息、市场预期和资产价格之间的逻辑链条,并选取国债期货价格和沪深300指数数据,通过研究市场预期与资产价格的关系来评估央行预期管理效果。本文通过未知断点结构性变化检验和递归回归方法确定转折时点,对比分析表明,在创新型公开市场操作工具背景下,相比传统利率政策工具,市场预期对资产价格显示出更明显的引导作用。这表明,传统货币政策向前瞻性货币政策转型可以达到更优的政策调控效果。
"Expectation management"has gradually become an important option for central banks around the world to regulate monetary policy, and the central bank of China has also shifted its monetary policy based on the idea of expectation management. On the basis of reviewing the changes and practice of global monetary policy, this paper tries to construct the logical chain between and among central bank information, market expectation and asset price based on the information communication channel and financial market channel theory of monetary policy transmission mechanism. The paper also selects the bond futures price and the Shanghai and Shenzhen 300 index data to evaluate the expectation management effect of central banks by studying the relationship between market expectations and asset prices. By using the unknown break-point structural change test and the recursive regression method to determine the transition point, this paper conducts comparative analysis, which shows that against the background of innovative open market operation tools, compared with the traditional interest rate policy tools, the market is expected to show a more obvious guiding role in asset prices. This suggests that the transformation of traditional monetary policy into forward-looking monetary policy can achieve better policy regulation and control effect.
"Expectation management"has gradually become an important option for central banks around the world to regulate monetary policy, and the central bank of China has also shifted its monetary policy based on the idea of expectation management. On the basis of reviewing the changes and practice of global monetary policy, this paper tries to construct the logical chain between and among central bank information, market expectation and asset price based on the information communication channel and financial market channel theory of monetary policy transmission mechanism. The paper also selects the bond futures price and the Shanghai and Shenzhen 300 index data to evaluate the expectation management effect of central banks by studying the relationship between market expectations and asset prices. By using the unknown break-point structural change test and the recursive regression method to determine the transition point, this paper conducts comparative analysis, which shows that against the background of innovative open market operation tools, compared with the traditional interest rate policy tools, the market is expected to show a more obvious guiding role in asset prices. This suggests that the transformation of traditional monetary policy into forward-looking monetary policy can achieve better policy regulation and control effect.
引文
[1]卞志村,张义.央行信息披露、实际干预与通胀预期管理[J].经济研究,2012(12):15-28
[2]何运信.中央银行货币政策透明性的作用与边界[J].经济社会体制比较,2014(1):52-66
[3]汪莉,王先爽.央行预期管理、通胀波动与银行风险承担[J].经济研究,2015(10):34-48
[4]熊海芳,王志强.货币政策意外、利率期限结构与通货膨胀预期管理[J].世界经济,2012(6):30-55
[5]徐亚平.货币政策有效性与货币政策透明制度的兴起[J].经济研究,2006(8):24-34
[6]张成思,计兴辰.善言为贤:货币政策前瞻性指引的中国实践[J].国际金融研究,2017(12):3-16
[7]张成思,芦哲.媒体舆论、公众预期与通货膨胀[J].金融研究,2014(1):29-43
[8] Ando A,Modigliani F. The Life Cycle Hypothesis of Saving:Aggregate Implications and Tests[J]. American Economic Review,1963,53:55-84
[9] Bernanke B S. The Federal Reverse and the Financial Crisis[M]. Princeton University Press,2012
[10] Bernanke B S,Gertler M. Inside the Black Box:The Credit Channel of Monetary Policy Transmission[J]. Journal of Economic Perspectives,1995,9(4):27-48
[11] Blinder A,Ehrmann M,Fratzscher M,Haan J,Jansen D. Central Bank Communication and Monetary Policy:A Survey of Theory and Evidence[J]. Journal of Economic Literature,2008,46:910-945
[12] Campbell J,Evans C,Fisher J,Justiniano A. Macroeconomic Effects of FOMC Forward Guidance[J]. Brookings Papers on Economic Activity,2012,44(1):1-80
[13] Eser F,Schwaab B. Evaluating the Impact of Unconventional Monetary Policy Measures:Empirical Evidence from the ECB's Securities Markets Programme[J]. Journal of Financial Economics,2016,119(1):147-167
[14] Filardo A,Guinigundo D. Transparency and Communication in Monetary Policy:A Survey of Asian Central Banks[C]. BSP-BIS High-Level Conference on Transparency and Communication in Monetary Policy,Manila,2008
[15] Filardo A,Hofmann B. Forward Guidance at the Zero Lower Bound[J]. BIS Quarterly Review,2014,3:37-53
[16] Friedman M. The Quantity Theory of Money:A Restatement,Studies in the Quantity Theory of Money[C]. University of Chicago Press,1956
[17] Gilbert T. Information Aggregation Around Macroeconomic Announcements:Revisions Matter[J]. Journal of Financial Economics,2011,101(1):114-131
[18] Hicks J. Mr Keynes and the Classics:A Suggested Interpretation[J]. Econometrica,1937,5:147-159
[19] Jeanneau S. Communication of Monetary Policy Decisions by Central Banks:What Is Revealed and Why[C]. BIS Papers,2009,No 47
[20] Mishkin F S. The Household Balance Sheet and the Great Depression[J]. Journal of Economic History,1978,38(4):18-37
[21] Mishkin F S. Symposium on the Monetary Transmission[J]. Journal of Economic Perspectives,1995,9(4):3-10
[22] Modigliani F. Some Economic Implications of the Indexing of Financial Assets with Special Reference to Mortgages[M]. Palgrave Macmillan UK,1976
[23] Neuhierl A,Weber M. Monetary Policy and the Stock Market:Time-Series Evidence[W]. National Bureau of Economic Research,2016,No. w22831
[24] Rossa R. Interest Rates and the Central Bank,in Money,Trade,and Economic Growth:in Honor of John Henry Williams[M]. New York,Macmillan,1951
[25] Svensson L. What Is Wrong with Taylor Rules?Using Judgment in Monetary Policy through Targeting Rules[J].Journal of Economic Literature,2003,41,426-477
[26] Tobin J. A General Equilibrium Approach to Monetary Theory[J]. Journal of Money Credit&Banking,1969,1(1):15-29
[27] Ullrich K. Inflation Expectations of Experts and ECB Communication[J]. North American Journal of Economics and Finance,2008,19:93-108
[28] Zhang C,Clovis J. China Inflation Dynamics:Persistence and Policy Regimes[J]. Journal of Policy Modelling:2010:32:373-388
(1)Facility常被翻译为“便利”,但这种表达并不合适且容易引起歧义,其实际是“工具”的意思。本文均使用“工具”表达。
[2]何运信.中央银行货币政策透明性的作用与边界[J].经济社会体制比较,2014(1):52-66
[3]汪莉,王先爽.央行预期管理、通胀波动与银行风险承担[J].经济研究,2015(10):34-48
[4]熊海芳,王志强.货币政策意外、利率期限结构与通货膨胀预期管理[J].世界经济,2012(6):30-55
[5]徐亚平.货币政策有效性与货币政策透明制度的兴起[J].经济研究,2006(8):24-34
[6]张成思,计兴辰.善言为贤:货币政策前瞻性指引的中国实践[J].国际金融研究,2017(12):3-16
[7]张成思,芦哲.媒体舆论、公众预期与通货膨胀[J].金融研究,2014(1):29-43
[8] Ando A,Modigliani F. The Life Cycle Hypothesis of Saving:Aggregate Implications and Tests[J]. American Economic Review,1963,53:55-84
[9] Bernanke B S. The Federal Reverse and the Financial Crisis[M]. Princeton University Press,2012
[10] Bernanke B S,Gertler M. Inside the Black Box:The Credit Channel of Monetary Policy Transmission[J]. Journal of Economic Perspectives,1995,9(4):27-48
[11] Blinder A,Ehrmann M,Fratzscher M,Haan J,Jansen D. Central Bank Communication and Monetary Policy:A Survey of Theory and Evidence[J]. Journal of Economic Literature,2008,46:910-945
[12] Campbell J,Evans C,Fisher J,Justiniano A. Macroeconomic Effects of FOMC Forward Guidance[J]. Brookings Papers on Economic Activity,2012,44(1):1-80
[13] Eser F,Schwaab B. Evaluating the Impact of Unconventional Monetary Policy Measures:Empirical Evidence from the ECB's Securities Markets Programme[J]. Journal of Financial Economics,2016,119(1):147-167
[14] Filardo A,Guinigundo D. Transparency and Communication in Monetary Policy:A Survey of Asian Central Banks[C]. BSP-BIS High-Level Conference on Transparency and Communication in Monetary Policy,Manila,2008
[15] Filardo A,Hofmann B. Forward Guidance at the Zero Lower Bound[J]. BIS Quarterly Review,2014,3:37-53
[16] Friedman M. The Quantity Theory of Money:A Restatement,Studies in the Quantity Theory of Money[C]. University of Chicago Press,1956
[17] Gilbert T. Information Aggregation Around Macroeconomic Announcements:Revisions Matter[J]. Journal of Financial Economics,2011,101(1):114-131
[18] Hicks J. Mr Keynes and the Classics:A Suggested Interpretation[J]. Econometrica,1937,5:147-159
[19] Jeanneau S. Communication of Monetary Policy Decisions by Central Banks:What Is Revealed and Why[C]. BIS Papers,2009,No 47
[20] Mishkin F S. The Household Balance Sheet and the Great Depression[J]. Journal of Economic History,1978,38(4):18-37
[21] Mishkin F S. Symposium on the Monetary Transmission[J]. Journal of Economic Perspectives,1995,9(4):3-10
[22] Modigliani F. Some Economic Implications of the Indexing of Financial Assets with Special Reference to Mortgages[M]. Palgrave Macmillan UK,1976
[23] Neuhierl A,Weber M. Monetary Policy and the Stock Market:Time-Series Evidence[W]. National Bureau of Economic Research,2016,No. w22831
[24] Rossa R. Interest Rates and the Central Bank,in Money,Trade,and Economic Growth:in Honor of John Henry Williams[M]. New York,Macmillan,1951
[25] Svensson L. What Is Wrong with Taylor Rules?Using Judgment in Monetary Policy through Targeting Rules[J].Journal of Economic Literature,2003,41,426-477
[26] Tobin J. A General Equilibrium Approach to Monetary Theory[J]. Journal of Money Credit&Banking,1969,1(1):15-29
[27] Ullrich K. Inflation Expectations of Experts and ECB Communication[J]. North American Journal of Economics and Finance,2008,19:93-108
[28] Zhang C,Clovis J. China Inflation Dynamics:Persistence and Policy Regimes[J]. Journal of Policy Modelling:2010:32:373-388
(1)Facility常被翻译为“便利”,但这种表达并不合适且容易引起歧义,其实际是“工具”的意思。本文均使用“工具”表达。