经济不确定性条件下中国货币政策的宏观调控效应
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摘要
近年来,伴随着中国宏观经济不确定性的凸显,货币政策有效性势必受到宏观经济不确定性的影响。本文在提取大量宏观经济变量不确定性成分并合成宏观经济不确定性指标的基础上,充分捕捉货币政策冲击对宏观经济不确定性的反馈效应,基于Self-Exciting IVAR模型内生宏观经济不确定性建模,从内生性视角实证考察了中国宏观经济不确定性对货币政策效果的影响,并进一步探讨了宏观经济不确定性影响货币政策效果的渠道。研究结果表明:宏观经济不确定性弱化了扩张性货币政策的刺激效果;宏观经济不确定性与扩张性货币政策效果反向变动,即宏观经济不确定性越高,扩张性货币政策的刺激效果就越弱;扩张性货币政策内生地降低了宏观经济不确定性,并通过宏观经济"不确定性渠道"间接作用于投资、消费和产出,放大了扩张性货币政策对宏观经济的刺激效应,尽管这种正向影响效应不及宏观经济不确定性本身所带来的负向效应。
In recent years, with the highlight of macroeconomic uncertainty, the effectiveness of monetary policy will inevitably be affected by macroeconomic uncertainty. This paper investigates the effects of macroeconomic uncertainty on monetary policy effective from the endogenous perspective, based on the extraction of uncertainty components on macroeconomic variables and composition of macroeconomic uncertainty index. To fully capture the feedback effect of monetary policy shocks to macroeconomic uncertainty, macroeconomic uncertainty is modeled endogenously in the Self-Exciting IVAR. And then it further discusses the influence channels of macroeconomic uncertainty on monetary policy effective. Results show that expansionary monetary policy effective is weakened by macroeconomic uncertainty, and they change in reverse, namely, the higher the macroeconomic uncertainty, the weaker the expansionary monetary policy effective. The macroeconomic uncertainty decreases after expansionary monetary policy shocks and this reduction in uncertainty amplify the direct effects of expansionary monetary policy through the "uncertainty channel", which acts on investment, consumption and output, although this positive impact is not as large as the negative impact of macroeconomic uncertainty itself.
In recent years, with the highlight of macroeconomic uncertainty, the effectiveness of monetary policy will inevitably be affected by macroeconomic uncertainty. This paper investigates the effects of macroeconomic uncertainty on monetary policy effective from the endogenous perspective, based on the extraction of uncertainty components on macroeconomic variables and composition of macroeconomic uncertainty index. To fully capture the feedback effect of monetary policy shocks to macroeconomic uncertainty, macroeconomic uncertainty is modeled endogenously in the Self-Exciting IVAR. And then it further discusses the influence channels of macroeconomic uncertainty on monetary policy effective. Results show that expansionary monetary policy effective is weakened by macroeconomic uncertainty, and they change in reverse, namely, the higher the macroeconomic uncertainty, the weaker the expansionary monetary policy effective. The macroeconomic uncertainty decreases after expansionary monetary policy shocks and this reduction in uncertainty amplify the direct effects of expansionary monetary policy through the "uncertainty channel", which acts on investment, consumption and output, although this positive impact is not as large as the negative impact of macroeconomic uncertainty itself.
引文
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[14] 刘慧, 綦建红. 宏观经济不确定性与出口: 贸易中介是缓冲器还是推动器 [J]. 世界经济研究, 2018(4): 60-74.
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[16] PELLEGRINO G. Uncertainty and Monetary Policy in the US: A Journey into Non-Linear Territory [R]. Melbourne Institute Working Paper, 2017, No.6/17.
[17] PELLEGRINO G. Uncertainty and the Real Effects of Monetary Policy Shocks in the Euro Area [J]. Economics Letters, 2018, 162: 177-181.
[18] 苏治, 刘程程, 位雪丽. 经济不确定性会弱化货币政策有效性吗?——来自中国的经验证据 [R]. 经济研究编辑部, 2018, WP1258.
[19] CARRIERO A, CLARK T E, MARCELLINO M G. Measuring Uncertainty and Its Impact on the Economy [R]. Federal Reserve Bank of Cleveland Working Paper, 2017, 16-22R.
[20] 项后军, 周宇. 财政政策对私人消费非线性效应的存在性及触发条件研究 [J]. 财经研究, 2011(9): 16-27.
[21] 杨子晖. 财政政策与货币政策对私人投资的影响研究 ——基于有向无环图的应用分析 [J]. 经济研究, 2008(5): 81-93.
[22] 王立勇, 毕然. 财政政策对私人投资的非线性效应及其解释 [J]. 统计研究, 2014(11): 58-65.
[23] SIMS C A. Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy [J]. European Economic Review, 1992, 36(5): 975-1000.
[24] CASTELNUOVO E, SURICO P. Monetary Policy, Inflation Expectations and The Price Puzzle [J]. Economic Journal, 2010, 120(549): 1262-1283.
(1)股票市场波动率根据上证综指对数收益率的GJR(1,1)计算得到。
[2] MEINEN P, ROEHE O. On Measuring Uncertainty and Its Impact on Investment: Cross-country Evidence from the Euro Area [J]. European Economic Review, 2017, 92: 161-179.
[3] LEDUC S, LIU Z. Uncertainty Shocks Are Aggregate Demand Shocks [J]. Journal of Monetary Economics, 2016, 82: 20-35.
[4] BASU S, BUNDICK B. Uncertainty Shocks in a Model of Effective Demand [J]. Econometrica, 2017, 85(3): 937-958.
[5] BONCIANI D, ROYE B V. Uncertainty Shocks, Banking Frictions and Economic Activity [J]. Journal of Economic Dynamics & Control, 2016, 73: 200-219.
[6] 鲁晓东, 刘京军. 不确定性与中国出口增长 [J]. 经济研究, 2017(9): 39-54.
[7] BACHMANN R, ELSTNER S, SIMS E R. Uncertainty and Economic Activity: Evidence from Business Survey Data [J]. American Economic Journal, 2013, 5(2): 217-249.
[8] CARRIERO A, CLARK T E, MARCELLINO M. Common Drifting Volatility in Large Bayesian VARs [J]. Journal of Business & Economic Statistics, 2012, 34(3): 375-390.
[9] JURADO K, LUDVIGSON S C, NG S. Measuring Uncertainty [J]. American Economic Review, 2015, 105(3): 1177-1216.
[10] FERNANDEZ-VILLAVERDE J, GUERRON-QUINTANA P, RUBIO-RAMIREZ J F, et al. Risk Matters: The Real Effects of Volatility Shocks [J]. American Economic Review, 2011, 101(6): 2530-2561.
[11] NODARI G. Financial Regulation Policy Uncertainty and Credit Spreads in the US [J]. Journal of Macroeconomics, 2014, 41: 122-132.
[12] CAGGIANO G, CASTELNUOVO E, FIGUERES J M. Economic Policy Uncertainty and Unemployment in the United States: A Nonlinear Approach [J]. Economics Letters, 2017, 151: 31-34.
[13] BAKER S R, BLOOM N, DAVIS S J. Measuring Economic Policy Uncertainty [J]. Quarterly Journal of Economics, 2016, 131(4): 1593-1636.
[14] 刘慧, 綦建红. 宏观经济不确定性与出口: 贸易中介是缓冲器还是推动器 [J]. 世界经济研究, 2018(4): 60-74.
[15] AASTVEIT K A, NATVIK G J, SOLA S. Economic Uncertainty and the Influence of Monetary Policy [J]. Journal of International Money and Finance, 2017, 76: 50-67.
[16] PELLEGRINO G. Uncertainty and Monetary Policy in the US: A Journey into Non-Linear Territory [R]. Melbourne Institute Working Paper, 2017, No.6/17.
[17] PELLEGRINO G. Uncertainty and the Real Effects of Monetary Policy Shocks in the Euro Area [J]. Economics Letters, 2018, 162: 177-181.
[18] 苏治, 刘程程, 位雪丽. 经济不确定性会弱化货币政策有效性吗?——来自中国的经验证据 [R]. 经济研究编辑部, 2018, WP1258.
[19] CARRIERO A, CLARK T E, MARCELLINO M G. Measuring Uncertainty and Its Impact on the Economy [R]. Federal Reserve Bank of Cleveland Working Paper, 2017, 16-22R.
[20] 项后军, 周宇. 财政政策对私人消费非线性效应的存在性及触发条件研究 [J]. 财经研究, 2011(9): 16-27.
[21] 杨子晖. 财政政策与货币政策对私人投资的影响研究 ——基于有向无环图的应用分析 [J]. 经济研究, 2008(5): 81-93.
[22] 王立勇, 毕然. 财政政策对私人投资的非线性效应及其解释 [J]. 统计研究, 2014(11): 58-65.
[23] SIMS C A. Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy [J]. European Economic Review, 1992, 36(5): 975-1000.
[24] CASTELNUOVO E, SURICO P. Monetary Policy, Inflation Expectations and The Price Puzzle [J]. Economic Journal, 2010, 120(549): 1262-1283.
(1)股票市场波动率根据上证综指对数收益率的GJR(1,1)计算得到。
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