摘要
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。
To examine the op timal interest rate policy in the asset bubble time, this paper expanded the IS-Phillips model by containing the probability of financial crisis which is caused by the house price crisis.Based on the behavioral finance theory, through the comparison of psychological expectations of individuals and house prices, this paper has made the probability of financial crisis endogenous. By solving the bank utility loss function, we find that the optimal interest rate policy has non-linear characteristics, which cannot be approximated by simple Taylor rule, and also depended on the private sector＇s balance sheet and the risk of the financial crisis.At last, this paper made empirical research through the numerical simulation and SV-TVP-VAR model.
出处
《财政研究》
CSSCI
北大核心
2016年第3期54-67,共14页
Public Finance Research
