资产价格上涨阶段的利率政策规则研究

• 作 者: 何孝星 陈颖 孙涛
• 机 构: 厦门大学经济学院,广西壮族自治区财政厅,
• 出 处: 财政研究
• 发表日期: 2016年03期
• 关键词: 货币政策 SV-TVP-VAR 房地产价格 向量自回归模型 规则研究 金融危机 泰勒规则 内生化 时变参数 房地产泡沫

本文将资产价格反转引起金融危机这一小概率事件纳入并拓展IS-Phillips模型,以考察资产泡沫阶段的最优利率政策。基于行为金融理论,本文通过对市场微观个体的心理预期与资产价格的比较,将金融危机发生的概率内生化。通过求解央行效用损失函数,我们发现:最优利率政策不能用简单泰勒规则近似,而是具有非线性特征,依赖于私人部门的资产负债和金融危机发生的风险预期。本文进一步通过数值模拟和时变参数向量自回归模型进行了相应的实证研究。

In this paper, the IS-Phillips model is introduced into the small-probability event of financial crisis caused by the reversal of asset prices to examine the optimal interest rate policy in the asset bubble stage. Based on the theory of behavioral finance, this article compares the psychological expectation of individual microeconomy with the asset price to endanger the probability of financial crisis. By solving the central bank utility loss function, we find that the optimal interest rate policy can not be approximated by the simple Taylor rule but has a nonlinear characteristic, which depends on the private sector assets and liabilities and the risk expectation of the financial crisis. In this paper, the corresponding empirical research is carried out by numerical simulation and time-varying parametric autoregressive model.