bevictor伟德官网副院長譚小芬教授與bevictor伟德官网博士生耿亞瑩、徐慧倫合作的論文《美聯儲前瞻性指引的宏觀經濟效果——基于DSGE模型的研究》發表在《國際金融研究》2019年第5期。
前瞻性指引（ForwardGuidance）是指中央銀行就政策利率未來的可能走勢與公衆進行溝通，進而管理市場對未來政策的預期。目前中國并不存在零利率下限的問題，所以迄今為止中國央行尚未正式提出實施有關前瞻性指引的貨币政策，但是這并不意味着前瞻性指引不值得中國央行借鑒。前瞻性指引是央行溝通和預期管理的重要方式（Carney，2013）。在理性預期革命推動下，各國央行都意識到政策溝通和透明度對提高貨币政策效果的重要性（Blinder et al.，2008）。當前，中國貨币政策正處于由數量型向價格型轉型的過程中，面臨着數量型貨币政策有效性大幅下降而價格型貨币政策尚不健全的困境，使得貨币政策不可避免地陷入有效性大幅下降的局面（郭豫媚等，2016），因而更加需要注重央行與市場的溝通以加強貨币政策調控能力。基于此，準确把握和理解前瞻性指引，對于加強貨币政策溝通，提升貨币政策效果，具有非常重要的理論和現實意義。
目前，國外學者已對前瞻性指引進行深入探索，而中國對于前瞻性指引的研究起步相對較晚。為豐富這一領域的研究，本文在Smets & Wouters（2007）的基礎上，構建了新凱恩斯主義DSGE模型，考察美國前瞻性指引的效果。本文的模型主要從兩個方面區别于Smets & Wouters（2007），一個是本文采用Laseen & Svensson（2011）和DelNegro et al.（2012）等研究的做法，在貨币政策規則中加入已預期的政策沖擊，用于刻畫前瞻性指引下央行提前公布的政策調整；另一個是考慮到1993年第一季度至2018年第一季度央行通脹目标的變動特點，本文參考Campbell et al.（2012，2016）等研究的做法，在貨币政策規則中引入通脹目标沖擊。同時，由于2008年第三季度後聯邦基金利率觸及有效下限，本文結合Campbell et al.（2012，2016）和DelNegro et al.（2013）的做法，将2008年第三季度作為結構性斷點，分兩步對模型參數進行貝葉斯估計，并在此基礎上進行方差分解分析和脈沖響應分析。
本文主要得出以下四點重要結論：第一，2008年第四季度至2018年第一季度前瞻性指引能夠解釋産出、消費、投資、勞動和利率15~45%的波動，且其作用随時間推移而增強。同時，常規貨币政策的作用也較明顯；第二，當經濟處于正常時期，央行宣告未來利率調整時，前瞻性指引能夠通過引導公衆通脹預期，改變其當期消費和投資決策，使經濟在政策調整實施前做出反應。此外，結果中“前瞻性指引之謎”現象并不明顯；第三，在前瞻性指引傳導過程中，價格粘性和貨币政策反應系數會影響前瞻性指引的效果。價格粘性越強，貨币政策反應系數越小，前瞻性指引的效果越強；第四，當經濟處于衰退時期且名義利率受到零利率下限約束，央行宣布未來将利率維持在零利率下限的水平上，直至衰退結束後的一段時間。這種前瞻性指引能夠在經濟衰退時期避免實際利率過度上升，降低經濟衰退的程度，并且在衰退時期結束後加快實際利率回落，推動經濟複蘇。
上述結論說明，前瞻性指引作為央行溝通政策的一項前沿工具，能夠有效引導市場預期。當前，中國經濟處于新常态時期，需要貨币政策适應和引領中國經濟新常态。為提高貨币政策運行的效果，中國央行應當借鑒發達國家央行的成功實踐經驗，探索适合中國國情的前瞻性指引工具以引導市場預期。同時，央行應注重加強與市場的溝通，豐富央行溝通的内容，注重央行溝通的清晰度和及時性。
TheMacroeconomic Effect of Federal Reserve Forward Guidance:
AnalysisBased on DSGE Model
Forward guidance isthe central bank communicating with the public on the future trend of the policyinterest rate, and managing the market's expectation of future policies. Atpresent, there is no zero lower bound in China. Thus the People's Bank of China(PBC) has not formally proposed to implement the forward guidance so far, butthis does not mean that forward guidance is not worth learning. Forwardguidance is an important way for central bank communication and expectationmanagement (Carney, 2013). Under the revolution of rational expectation,central banks have realized the importance of policy communication andtransparency in improving the effectiveness of monetary policy (Blinder et al.,2008). Currently, China's monetary policy is transforming from quantity-orientedto price-oriented, facing the predicament that the effectiveness of quantity-orientedmonetary policy declines while price-oriented monetary policy is incomplete,which leads to the inevitable decline of the effectiveness of monetary policy(Guo et al., 2016). Thus more attention should be paid to the communicationbetween the central bank and the market in order to strengthen the regulating capacityof monetary policy. In view of this, exploring the forward guidance is of greattheoretical and practical significance for strengthening the monetary policycommunication and improving the effectiveness of monetary policy.
At present, foreignscholars have made deep exploration of forward guidance, while research onforward guidance is relatively new in China. In order to enrich the research inthis field, based on Smets & Wouters (2007), this paper establishes a newKeynesian DSGE model to examine the effect of forward guidance. This model isdifferent from Smets & Wouters (2007) in two ways. First, following Laseen& Svensson (2011) and Del Negro et al. (2012), we introduce anticipatedpolicy shock into the monetary policy rule to capture forward guidance. Second,considering the changing characteristics of central bank inflation target from 1993Q1to 2018Q1, we follow Campbell et al. (2012, 2016) and introduce inflationtarget shock into the monetary policy rule. Besides, the federal funds rate hitthe effective lower bound after 2008Q3, so following Campbell et al. (2012,2016) and Del Negro et al. (2013), we take 2008Q3 as a structural breakpoint, useBayesian method to estimate the parameters with U.S. data in two steps and usethe variance decomposition and impulse response to analyze the macroeconomiceffect of forward guidance.
The main findings ofthis paper can be summarized as follows. First, in the subsample from 2008Q4 to2018Q1, forward guidance can explain 15% to 45% of fluctuations in output,consumption, investment, labor and interest rate. Meanwhile, the effect ofconventional monetary policy is also significant. Second, during normal economicperiod, through guiding public inflation expectation, forward guidance canchange the current consumption and investment decision, which makes the economyrespond to policy adjustments in advance. Besides, there is no significantforward guidance puzzle in the results. Third, the degree of price stickinessand the policy response coefficients of inflation gap and output gap can affectthe macroeconomic effect of forward guidance. The larger the stickiness and thesmaller the coefficients, the stronger the effect. Fourth, during the economicdownturn, conventional monetary policy is constrained by the zero lower bound. Thecentral bank announces that it will keep the interest rate at the zero lowerbound until the end of recession. This forward guidance can not only alleviateeconomic recession, but also promote economic recovery.
The results show thatforward guidance, as an advanced tool of central bank communication policy, caneffectively guide the market expectation. Currently, China's economy hasentered a new normal, which requires monetary policy to adapt to and lead. Inorder to improve the effectiveness of monetary policy, PBC should learn fromthe successful experience of developed countries' central banks, and exploreforward guidance tools suitable for China. Furthermore, PBC should strengthenthe communication with the market, enrich the content of the communication, andpay attention to the transparency and timeliness of the communication.
