摘要
本文基于中国人民银行2001-2021年间储户问卷调查数据,应用区制转移向量自回归模型,研究公众异质预期对我国货币政策传导的影响,发现公众异质预期将阻碍货币政策传导、加剧经济的波动,甚至导致货币政策效果与政策目标相悖。文章理论部分构建了一个包含信息成本的异质性预期模型,刻画减弱政策调控效果的理论机制--随着个体信息程度与信息成本的差异扩大,公众预期的异质性增加、更多个体在权衡信息成本后采用不完全信息预期;不完全信息个体将货币政策作为未来经济信息的反映,加剧货币政策的信息效应,从而阻碍了政策的有效传导。进一步的定量分析说明,中央银行可通过加强预期引导和动态调节货币政策以减轻公众异质预期的负面影响。本文的实证和理论研究结果为强化预期管理与提高货币政策传导效率提供了参考。
Heterogeneous expectation lays confounding impacts on both social demand and supply sides,as well as the monetary policy transmission.While China employs macroeconomics policies in an effective and well-coordinated way and maintains positive trajectory over the long run,it still faces the pressures of shrinking domestic demand,uncertain external environment,and weakening expectations.In this context,macroeconomic uncertainty increases the difficulty for agents to precisely perceive the fundamental information about economic development,leading to the variation in expectations.Therefore,it is of great importance to assess how heterogeneous expectations affect the transmission of monetary policy in China.This study aims to answer the following questions:How do heterogeneous expectations affect the transmission of monetary policy in China?What are the underlying mechanisms through which heterogeneous expectations influence monetary policy?Furthermore,what measures can the central bank take to address the impacts of heterogeneous expectations?The empirical part of our paper examines the impacts of heterogeneous expectation on China's monetary policy transmission.Using household survey data on inflation expectations from the People's Bank of China for the period 2001 to 2021,we calculate the variable for heterogeneous expectations,and employ a smooth-transition vector autoregression(ST-VAR)model with the heterogeneous expectations as the regime variable.The empirical findings reveal that heterogeneous expectations negatively impact monetary policy in China.During periods of high heterogeneous expectations,a 1% monetary-easing shocks lead to inverse'effects,with output gaps decreasing by roughly 3% in the short run.Conversely,during periods of low heterogeneous expectations,monetary policies are carried out effectively.These results are consistent for both quantitative-based and price-based monetary policies.Our theoretical part introduces a New Keynesian model that incorporates information acquisition costs to explain
作者
宋芳秀
宋奎壁
Song Fangxiu;Song Kuibi(School of Economics,Peking University)
出处
《金融研究》
CSSCI
北大核心
2024年第7期1-19,共19页
Journal of Financial Research
基金
国家社会科学基金项目(23BJL025)的资助。
关键词
公众异质预期
信息成本
信息效应
预期管理
Heterogeneous Expectation
Information Acquisition Cost
Information Effect
Expectation Management
