中央财经大学金融学院副院长谭小芬教授与金融学院博士生耿亚莹、徐慧伦合作的论文《美联储前瞻性指引的宏观经济效果——基于DSGE模型的研究》发表在《国际金融研究》2019年第5期。
前瞻性指引（ForwardGuidance）是指中央银行就政策利率未来的可能走势与公众进行沟通，进而管理市场对未来政策的预期。目前中国并不存在零利率下限的问题，所以迄今为止中国央行尚未正式提出实施有关前瞻性指引的货币政策，但是这并不意味着前瞻性指引不值得中国央行借鉴。前瞻性指引是央行沟通和预期管理的重要方式（Carney，2013）。在理性预期革命推动下，各国央行都意识到政策沟通和透明度对提高货币政策效果的重要性（Blinder et al.，2008）。当前，中国货币政策正处于由数量型向价格型转型的过程中，面临着数量型货币政策有效性大幅下降而价格型货币政策尚不健全的困境，使得货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与市场的沟通以加强货币政策调控能力。基于此，准确把握和理解前瞻性指引，对于加强货币政策沟通，提升货币政策效果，具有非常重要的理论和现实意义。
目前，国外学者已对前瞻性指引进行深入探索，而中国对于前瞻性指引的研究起步相对较晚。为丰富这一领域的研究，本文在Smets & Wouters（2007）的基础上，构建了新凯恩斯主义DSGE模型，考察美国前瞻性指引的效果。本文的模型主要从两个方面区别于Smets & Wouters（2007），一个是本文采用Laseen & Svensson（2011）和DelNegro et al.（2012）等研究的做法，在货币政策规则中加入已预期的政策冲击，用于刻画前瞻性指引下央行提前公布的政策调整；另一个是考虑到1993年第一季度至2018年第一季度央行通胀目标的变动特点，本文参考Campbell et al.（2012，2016）等研究的做法，在货币政策规则中引入通胀目标冲击。同时，由于2008年第三季度后联邦基金利率触及有效下限，本文结合Campbell et al.（2012，2016）和DelNegro et al.（2013）的做法，将2008年第三季度作为结构性断点，分两步对模型参数进行贝叶斯估计，并在此基础上进行方差分解分析和脉冲响应分析。
本文主要得出以下四点重要结论：第一，2008年第四季度至2018年第一季度前瞻性指引能够解释产出、消费、投资、劳动和利率15~45%的波动，且其作用随时间推移而增强。同时，常规货币政策的作用也较明显；第二，当经济处于正常时期，央行宣告未来利率调整时，前瞻性指引能够通过引导公众通胀预期，改变其当期消费和投资决策，使经济在政策调整实施前做出反应。此外，结果中“前瞻性指引之谜”现象并不明显；第三，在前瞻性指引传导过程中，价格粘性和货币政策反应系数会影响前瞻性指引的效果。价格粘性越强，货币政策反应系数越小，前瞻性指引的效果越强；第四，当经济处于衰退时期且名义利率受到零利率下限约束，央行宣布未来将利率维持在零利率下限的水平上，直至衰退结束后的一段时间。这种前瞻性指引能够在经济衰退时期避免实际利率过度上升，降低经济衰退的程度，并且在衰退时期结束后加快实际利率回落，推动经济复苏。
上述结论说明，前瞻性指引作为央行沟通政策的一项前沿工具，能够有效引导市场预期。当前，中国经济处于新常态时期，需要货币政策适应和引领中国经济新常态。为提高货币政策运行的效果，中国央行应当借鉴发达国家央行的成功实践经验，探索适合中国国情的前瞻性指引工具以引导市场预期。同时，央行应注重加强与市场的沟通，丰富央行沟通的内容，注重央行沟通的清晰度和及时性。
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.
