章节

金融周期对自然利率的影响

摘要

本文以Krustev(2018)的框架为基础,在自然利率的估算中加入金融周期因子,构建状态空间模型,对中国的自然利率进行估算,并考察金融失衡对自然利率的影响。研究发现,金融周期因子对自然利率有显著影响,表征为金融加杠杆和去杠杆的金融失衡都会使自然利率偏离其长期趋势。通过分析产出缺口的估计结果发现,产出缺口受金融周期的显著影响,金融杠杆率越高产出缺口越大,相应的趋势产出越低。同时,自然利率还受风险溢价、政策不确定性的显著影响,但全球储蓄对中国自然利率的影响不显著。

作者

王博 ,南开大学金融学院教授。
陈开璞 ,南开大学金融学院博士研究生。

参考文献 查看全部 ↓
  • [1]贺聪、项燕彪、陈一稀:《我国均衡利率的估算》,《经济研究》2013年第8期。
  • [2]黄晶:《基于长期均衡利率测算的我国利率扭曲现象》,《数量经济技术经济研究》2018年第5期。
  • [3]李宏瑾、苏乃芳:《货币理论与货币政策中的自然利率及其估算》,《世界经济》2016年第12期。
  • [4]李宏瑾、苏乃芳、洪浩:《价格型货币政策调控中的实际利率锚》,《经济研究》2016年第1期。
  • [5]潘淑娟、叶斌:《中国自然利率及其货币政策意义——基于1998~2012年度数据的实证分析》,《金融经济学研究》2013年第1期。
  • [6]王曦、陈中飞:《发达国家长期停滞现象的成因解析》,《世界经济》2018年第1期。
  • [7]中国人民银行营业管理部课题组:《中央银行利率引导——理论、经验分析与中国的政策选择》,《金融研究》2013年第9期。
  • [8]Andrade,P.,Calí,J.,Bihan,H.L.,and Matheron J.,“The Optimal Inflation Target and the Natural Rate of Interest”,Technical report,National Bureau of Economic Research,No.24328,2018.
  • [9]Blanchard,O.J.,Furceri,D.,Pescatori,A.,“A Prolonged Period of Low Real Interest Rates?”,in Baldwin,R. and Teulings,C.,eds.,Secular Stagnation:Facts,Causes and Cures(CEPR Press,2014).
  • [10]Bonam,D.,Els,P.V.,End,JWVD.,Haan,L.D.,and Hindrayanto,I.,“The Natural Rate of Interest from a Monetary and Financial Perspective”,Netherlands Central Bank,Research Department Working Paper,No.1603,2018.
  • [11]Borio,C.,Disyatat,P.,and Juselius,M.,“Rethinking Potential Output:Embedding Information about the Financial Cycle”,BIS Working Paper,No.404,2013.
  • [12]Borio,C.,Disyatat,P.,and Rungcharoenkitkul.P.,“What Anchors for the Natural Rate of Interest?”,BIS Working Paper,No.777,2019.
  • [13]Brand,C.,and Mazelis,F.,“Taylor-rule Consistent Estimates of the Natural Rate of Interest”,ECB Working Paper,No.2257,2019.
  • [14]Caballero,R.J.,Farhi,E.,and Gourinchas,P.,“Safe Asset Scarcity and Aggregate Demand”,NBER Working Paper,No.22044,2016.
  • [15]Caballero,R.J.,Farhi,E.,and Gourinchas,P.,“The Safe Assets Shortage Conundrum”,Journal of Economic Perspectives,31(3),2017:29-46.
  • [16]Christensen,J.H.,and Rudebusch,G.D.,“A New Normal for Interest Rates? Evidence from Inflation-indexed Debt”,Federal Reserve Bank of San Francisco Working Paper,2019.
  • [17]Del Negro,M.,Giannone,D.,Giannoni,M.P.,and Tambalotti A.,“Global Trends in Interest Rates”,Federal Reserve Bank of New York Staff Reports,2018.
  • [18]Del Negro,M.,Giannone,D.,Giannoni,M.P.,and Tambalotti A.,“Safety,Liquidity,and the Natural Rate of Interest”,Brookings Papers on Economic Activity,(1),2017:235-316.
  • [19]Del Negro,M.,Giannoni,M.P. and Schorfheide,F.,“Inflation in the Great Recession and New Keynesian Models”,American Economic Journal:Macroeconomics,7(1),2015:168-196.
  • [20]Fiorentini,G.,Galesi,A.,Pérez-Quirós,G.,and Sentana,E.,“The Rise and Fall of the Natural Interest Rate”,Banco de Espana Working Paper,No.1822,2018.
  • [21]Gerali,A.,and Neri,S.,“Natural Rates across the Atlantic.Bank of Italy Temi di Discussion”,Working Paper,No.1140,2017.
  • [22]Gorton,G.,and Ordoñez,G.,“Good Booms,Bad Booms”,NBER Working Paper 22008,2016.
  • [23]Hamilton,J.D.,Harris,E.S.,Hatzius,J.,and West,K.D.,“The Equilibrium Real Funds Rate:Past,Present,and Future”,NBER Working Paper,No.21476,2015.
  • [24]He,D.,Wang,H.L.,and Yu,X.R.,“Interest Rate Determination in China:Past,Present,and Future”,Hong Kong Institute for Monetary Research Working Paper,No.4,2014.
  • [25]Holston,K.,Laubach,T.,and Williams,J.C.,“Measuring the Natural Rate of Interest:International Trends and Determinants”,Journal of International Economics,108(S1),2017:59-75.
  • [26]Johannsen,B.K.,and Mertens,E.,“A Time Series Model of Interest Rates with the Effective Lower Bound”,BIS Working Papers,No.715,2018.
  • [27]Krustev,G.,“The Natural Rate of Interest and the Financial Cycle”,ECB Working Paper,No.2168,2018.
  • [28]Laubach,T.,and Williams,J.C.,“Measuring the Natural Rate of Interest”,Review of Economics and Statistics,85(4),2003:1063-1070.
  • [29]Pescatori,A.,and Turunen,J.,“Lower for Longer;Neutral Rates in the United States”,IMF Working Paper,No.135,2015.
  • [30]Rungcharoenkitkul,P.,“Bank Competition and Credit Booms”,Bank for International Settlements Working Paper,No.488,2015.
  • [31]Taylor,J.B.,and Wieland,V.,“Finding the Equilibrium Real Interest Rate in a Fog of Policy Deviations”,Economics Working Paper,No.16109,2016.
  • [32]Wicksell,K.,Interest and Prices(Ludwig von Mises Institute,1936).Translation of the 1898 edition by R.F.Kahn.
  • [33]Woodford,M.,Interest and Prices:Foundations of a Theory of Monetary Policy(Princeton University Press,2003).
  • [34]Wynne,M.A.,and Zhang,R.,“Estimating the Natural Rate of Interest in an Open Economy”,Empirical Economics 55,(3),2018:1291-1318.

金融周期对自然利率的影响

可试读20%内容 PDF阅读 阅读器阅览

试读已结束,剩余80%未读

¥7.19 查看全文 >

VIP免费