宏观审慎管理配合下的最优货币政策选择

doi:10.16381/j.cnki.issn1003-207x.2022.0078

Abstract

Abstract:

Since the 2008 financial crisis， macro-prudential management has gradually become one of the important responsibilities of major central banks around the world. Macro-prudential policies and monetary policies are “involved” each other， so central banks considering macro-prudential policies face more complicated choices in choosing the optimal monetary policies than those considering monetary policies alone. Taking China as an example， the optimal choice of monetary policy in cooperation with macro-prudential coordination is studied by establishing a dynamic stochastic general equilibrium （DSGE） model based on the characteristics of China， such as the “binary” enterprises， shadow banking， government debt， and interest rate rules considering the money supply.Not only the research results of China's optimal monetary policy are enriched， but also ideas on how to balance macro-prudential policy and monetary policy when the central bank makes decisions are provided.The results show that considering the cooperation with macro-prudential management， the interest rate rule considering the money supply factor is more helpful to maintain the short-term and long-term stability of the social economy than the interest rate rule considering only the smoothing factor when the macroeconomic economy is affected by the technological shocks of state-owned enterprises and non-state-owned enterprises. In case of financial shock， the interest rate rule that considers money supply factor has less impact on economic growth rate， government expenditure， central bank’s interest rate， employment， credit and other variables than the interest rate rule that only considers smoothing factor， but it takes longer time to achieve equilibrium. Even if macro-prudential management is not taken into account， after financial shocks， interest rate rules considering money supply factors can control macroeconomic stability more quickly， and regulate liquidity of financial market more effectively. Moreover， under technical shock and financial shock， the welfare loss caused by the interest rate rule considering the money supply factor is less than that caused by the interest rate rule only considering the smoothing factor.

Key words: optimal monetary policy rules, macro-prudential management, DSGE model

CLC Number:

F830.31

Xintao Han,Xiaomin Zhang,Xing Liu. The Optimal Monetary Policy Choice in Cooperation with Macro-Prudential Management: Based on China’s DSGE Analysis[J]. Chinese Journal of Management Science, 2024, 32(10): 1-10.

Figures/Tables 10

参数	变量解释	校准值	参考标准
$β$	家庭效用贴现因子	0.989	吴盼文等（2013）
$σ c$	居民消费需求弹性	0.331	简志宏等（2013）
$σ m$	货币需求弹性	0.423	简志宏等（2013）
$r t$	家庭存款利率	1.11%	稳态计算值
$R t c$	居民投资影子银行的收益率	4.32%	根据人民银行某分支机构监测数据
$π t$	实际通胀水平	0.043	根据CPI历史平均值测算
$R s s s$	国有企业贷款利率	3.91%	稳态计算值
$R s s p$	非国有企业贷款利率	4.83%	稳态计算值
$τ s$	国有企业税率	0.4	根据人民银行某分支机构调研数据
$τ p$	非国有企业税率	0.33	根据人民银行某分支机构调研数据
$R t w$	影子银行的融资利率	0.082	根据人民银行某分支机构调研数据
$η$	非国有企业的一单位劳动相对于国企的生产效率	5.4	杨熠等（2013）
$m s$	国有企业资产负债率	0.893	根据人民银行某分支机构调研数据
$p r o f i t t$	利润占存款的比例	0.025	杨熠等（2013）
$υ t$	资本充足率	0.11	稳态值计算
$ρ R$	利率的平滑程度（利率冲击）	0.31	程方楠和孟卫东（2017）
$ρ R'$	考虑货币因素的泰勒规则的利率平滑程度	0.96	张屹山和张代强（2007）

参数	变量解释	先验分布	先验均值	标准差	后验均值	90%置信区间
$β s$	国有企业贴现率	Beta	1	0.5	0.9512	[0.9470, 0.9554]
$β p$	非国有企业贴现率	Beta	1	0.5	0.9539	[0.9485,0.9571]
$δ$	国有企业和非国有企业的折旧率	Gamma	0.01	1	0.0125	[0.0103, 0.0131]
$a 1$	国有企业收入份额	Gamma	0.5	0.15	0.7134	[0.7061, 0.7223]
$a 2$	非国有企业收入份额	Gamma	0.5	0.15	0.3602	[0.3547, 0.3637]
$c m$	货币供给增长率参数	Beta	0.002	0.01	0.0021	[0.0019, 0.0022]
$c t + 1 s$	资金需求的利率弹性	Beta	1	0.5	0.5362	[0.5197,0.5525]
$κ b$	调整资产资本比例的成本	Gamma	0.02	0.5	0.0232	[0.0224,0.0237]
$ρ v$	资本要求调整的惰性	Gamma	1	0.5	0.9135	[0.9052,0.9213]
$Ψ v$	宏观审慎管理下的敏感性参数	Beta	0.5	0.15	0.5341	[0.5245,0.5378]
$a π$	仅考虑平滑因素泰勒规则对通货膨胀偏离目标时的反应	Normal	1	0.5	1.5723	[1.5642,1.5815]
$b y$	仅考虑平滑因素泰勒规则对产出偏离目标时的反应	Beta	1	0.1	0.8356	[0.8214,0.8419]
$a π'$	考虑货币因素的泰勒规则对通货膨胀偏离目标时的反应	Normal	1	0.5	1.7159	[1.6981,1.7182]
$b y'$	考虑货币因素的泰勒规则对产出偏离目标时的反应	Beta	1	0.1	0.9654	[0.9631,1.9702]

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指标	仅使用货币政策1	仅使用货币政策2
经济增长率
产出
银行资本
资本充足率
政府支出
政府债务
信贷
非国有企业投资
非国有企业劳动力

变量	国有企业技术冲击		非国有企业技术冲击		金融冲击
变量	货币政策1	货币政策2	货币政策1	货币政策2	货币政策1	货币政策2
var(y)	3.1876	2.4125	5.6518	3.1087	9.1530	7.2608
var(π)	0.0328	0.0076	0.0109	0.0054	0.1375	0.0531
L₁(μ=0.5)	1.6266	1.2139	2.8368	1.5598	4.7140	3.6835
L₂(μ=1)	3.2204	2.4201	5.6627	3.1141	9.2905	7.3139

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The Optimal Monetary Policy Choice in Cooperation with Macro-Prudential Management: Based on China’s DSGE Analysis

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