摘要
建立多个经济主体的DSGE框架,揭示金融机构的"三套利"行为机理,并实证分析了信贷规模、投资、产出和通货膨胀对中央银行前瞻性指引的动态响应特征。研究表明,当前金融机构的套利行为是引发社会资金"脱实向虚"的根源,且显著降低了中央银行前瞻性指引的有效性;"脱实向虚"现象增强了公众对资产价格的敏感性,致使公众学习性预期成为影响中央银行前瞻性指引有效性的重要因素。未来宏观审慎监管的重心应是切实抑制金融机构的套利行为。
Building a multi -agents DSGE framework to shed light on the triple arbitrage mechanism of financial institution, and empirically analyses the dynamic features of loan, invest- ment, output and inflation responding to central bank forward guidance, the results show that the arbitrage behavior between financial institutions is the origin of ＂the deviation from real economy to virtual economy＂ of social fund, and it significantly weakens the effectiveness of central bank forward guidance. The phenomenon of deviation from real economy to virtual economy also en- forces the sensitivity of capital prices towards the public, where the public learning expectation becomes the important factor which affects the effectiveness of central bank forward guidance. Therefore, the future emphasis of macro -prudential is the constraints on arbitrage behaviors be- tween financial institutions.
作者
刘喜和
穆圆媛
周扬
Liu Xihe Mu Yuanyuan Zhou Yang(School of Business, Shanghai University, Shanghai 20（044, China School of Business,Tianjin University of Finance ＆ Economics, Tianjin 300222, China)
出处
《金融经济学研究》
CSSCI
北大核心
2017年第4期14-23,共10页
Financial Economics Research
基金
天津财经大学研究生科研资助项目(2016TCS01)
关键词
金融机构套利
适应性学习
中央银行前瞻性指引
arbitrage of financial institutions
adaptive learning
forward - looking guidance of central bank
