Can monetary policy tame asset price fluctuations? Evaluating the dynamic trade-offs

IF 4.7 2区 经济学 Q1 ECONOMICS
Yuzhe Huang , Long Jin , Changchun Pan
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Abstract

Using an external instrumental variable within a Proxy TVP-SVAR framework, we investigate the dynamic trade-offs involved in employing countercyclical monetary policy to moderate asset price fluctuations. Our findings show that tightening monetary policy simultaneously curtails the money supply, suppresses asset prices, and depresses economic activity. Notably, asset prices respond more aggressively, yet recover more quickly compared to output and inflation. These impulse responses illustrate that countercyclical monetary interventions can effectively stabilize asset markets—especially when timed strategically during pronounced asset price surges—thus minimizing associated economic costs. However, achieving asset price stability often entails sacrificing some degree of monetary stability, underscoring an inherent policy trade-off. Our results provide empirical guidance for policymakers, emphasizing that, with optimal timing, monetary policy interventions can mitigate asset price bubbles efficiently, achieving substantial financial stability benefits with manageable economic trade-offs.
货币政策能抑制资产价格波动吗?评估动态权衡
在Proxy TVP-SVAR框架内使用外部工具变量,我们研究了采用逆周期货币政策来缓和资产价格波动所涉及的动态权衡。我们的研究结果表明,收紧货币政策同时减少了货币供应量,抑制了资产价格,并抑制了经济活动。值得注意的是,与产出和通胀相比,资产价格的反应更为剧烈,但恢复速度也更快。这些冲动反应表明,逆周期货币干预可以有效地稳定资产市场——特别是在资产价格明显飙升的战略时机——从而最大限度地降低相关的经济成本。然而,实现资产价格稳定往往需要牺牲一定程度的货币稳定,这强调了一种内在的政策权衡。我们的研究结果为政策制定者提供了经验指导,强调在最佳时机下,货币政策干预可以有效地缓解资产价格泡沫,在可控的经济权衡下实现实质性的金融稳定效益。
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来源期刊
Economic Modelling
Economic Modelling ECONOMICS-
CiteScore
8.00
自引率
10.60%
发文量
295
期刊介绍: Economic Modelling fills a major gap in the economics literature, providing a single source of both theoretical and applied papers on economic modelling. The journal prime objective is to provide an international review of the state-of-the-art in economic modelling. Economic Modelling publishes the complete versions of many large-scale models of industrially advanced economies which have been developed for policy analysis. Examples are the Bank of England Model and the US Federal Reserve Board Model which had hitherto been unpublished. As individual models are revised and updated, the journal publishes subsequent papers dealing with these revisions, so keeping its readers as up to date as possible.
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