资产价格的政策含义与中国货币政策行为计量分析

作    者：        王   玉   宝    

工作单位：      南京财经大学金融学院，210003

 

内容提要：本文在全面分析了资产价格货币政策含义基础上，采用Clarida、Gali和Gertler(1998)所提出的货币政策反应函数，对股票市场成立以来中国货币政策操作行为进行了估计。基准模型的估计结果表明，中国货币政策具有内在的不稳定性，表现为对产出关注更加积极，而对通货膨胀的关注则呈现显著的适应性特点（ <1）。扩展模型的估计结果表明，中国货币政策对股票市场收益率进行了显著反应，这一反应又使得货币政策的内在稳定性进一步降低。

关键词：货币政策、反应函数、资产价格

英文标题： How did monetary policy pay attention to stock prices volatility in China?

Abstract: This paper has estimated China monetary policy behavior using the method which had been put forward by Clarida, Gali and Gertler(1997).The result of benchmark model shows that China monetary policy is intrinsically unstable. To speak concretely, in the face of rising output gap, monetary policy is stabilizing. But it is accommodative when the expected inflation is rising. The extended model indicates that monetary policy responds to stock prices significantly. Therefore, it lessens the intrinsic stability of monetary policy in turn.

Keywords:  monetary policy responding function  stock price