股票价格与货币政策：贝叶斯DSGE模型的分析

IF 4.2 2区经济学 Q1 ECONOMICS

Economic Modelling Pub Date : 2025-03-28 DOI:10.1016/j.econmod.2025.107075

Satoshi Hoshino , Daisuke Ida

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引用次数: 0

摘要

本研究评估1980年代日本股票价格对货币政策的反应。我们采用动态随机一般均衡模型的贝叶斯估计，揭示了日本股票价格上涨带来的财富渠道的存在。我们认为，日本央行（BOJ）可能已经通过瞄准股价稳定、通胀和产出缺口来实施其货币政策。我们的研究结果表明，虽然日本央行可能对股价做出了反应，但货币紧缩并不能阻止其偏离基本价值。

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Stock prices and monetary policy: Analysis of a Bayesian DSGE model

This study evaluates the reaction of stock prices to monetary policy in Japan during the 1980s. We employ Bayesian estimation of the dynamic stochastic general equilibrium model, revealing the presence of the wealth channel from increased stock prices in Japan. We argue that the Bank of Japan (BOJ) may have implemented its monetary policy by targeting stock price stability, inflation and the output gap. Our results indicate that, while the BOJ may have reacted to stock prices, a monetary contraction could not prevent deviations from their fundamental values.

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来源期刊

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 Examples are the Bank of England Model and the US Federal Reserve Board Model which had hitherto been unpublished.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.