摘要
作为与财政政策并驾齐驱的国家宏观调控政策之一,货币政策由于其对经济具有财政政策不可替代的总体影响和短期微调的特点,随着我国市场经济体制的建立,其作用愈来愈大,对经济的影响相当巨大。资产价格波动不仅对实体经济的稳定运行产生了重大影响,而且由于其频繁引发的信贷紧缩、银行危机等系统性金融风险以及随后的经济衰退,对中央银行货币政策的制定和实施提出了严峻的挑战。本文通过建立MGARCH-BEKK模型,对货币政策、资产价格与经济增长之间的波动溢出效应进行研究,发现三者存在紧密联系。
As one of the national macro-control policies, monetary policy has the overall and short-term influences on the economy, and is developing an increasingly significant influence on the economy along with the establishment of the market economy. While asset price volatility not only impacts the stable operation of the real economy, but also challenges the design and implementation of the monetary policy of the central bank caused by credit crunch, banking crisis and other systemic financial risks and the subsequent recession. By establishing MGARCH-BEKK model, the paper researches the volatility spillover effects of monetary policy, asset prices and economic growth, and finds out their close interrelationship.
出处
《科技广场》
2016年第6期116-120,共5页
Science Mosaic
