CAJ | 학술논문

本文在货币当局与市场主体存在信息不对称条件下，探讨了货币当局实施未预期的宽松性货币政策时，市场主体预期时变性在这一政策行动影响信贷市场融资成本过程中的机制。首先，采用外部融资溢价度量融资成本，提出在经济周期的不同阶段，未预期的宽松性货币政策通过作用于市场主体预期的时变性特征。进而影响外部融资溢价的非线性效应假说，然后，建立包含货币政策变量的马尔科夫区制转换信贷利差模型和市场主体预期形成模型进行检验。研究显示，未预期的宽松性货币政策会暴露出经济不良的私有信息，从而使市场主体对经济前景形成悲观的预期。而且，在经济衰退阶段，政策行动促使市场主体预期恶化的影响效应较小，会较大幅度地降低外部融资溢价；在经济扩张阶段，政策行动促使市场主体预期恶化的影响效应将会增大，进而较小幅度地降低外部融资溢价，这说明，市场主体预期形成方式的时变性，影响到未预期宽松性货币政策降低信贷市场融资成本的力度。
본문재화폐당국여시장주체존재신식불대칭조건하，탐토료화폐당국실시미예기적관송성화폐정책시，시장주체예기시변성재저일정책행동영향신대시장융자성본과정중적궤제。수선，채용외부융자일개도량융자성본，제출재경제주기적불동계단，미예기적관송성화폐정책통과작용우시장주체예기적시변성특정。진이영향외부융자일개적비선성효응가설，연후，건립포함화폐정책변량적마이과부구제전환신대리차모형화시장주체예기형성모형진행검험。연구현시，미예기적관송성화폐정책회폭로출경제불량적사유신식，종이사시장주체대경제전경형성비관적예기。이차，재경제쇠퇴계단，정책행동촉사시장주체예기악화적영향효응교소，회교대폭도지강저외부융자일개；재경제확장계단，정책행동촉사시장주체예기악화적영향효응장회증대，진이교소폭도지강저외부융자일개，저설명，시장주체예기형성방식적시변성，영향도미예기관송성화폐정책강저신대시장융자성본적력도。
Under the condition of asymmetric information between of central bank and market participant, the paper explores the role of time-varying expectation in the influence of unexpected easy policy on finance cost. First, using the borrower＇s external finance premium to depict finance cost in credit market, the nonlinear effect hypothesis is proposed that easy policy influences the external finance premium with the different stages of the economic cycle via time-varying effect of expectation formation. Second, the markov switching regime credit spread model including monetary policy variable and the expectation formation model is established. The result shows that, the easy policy exposes private information about bad economy so that the market participants formulate a gloomy economic outlook. And also, the effect of deterioration of market participant expectation is smaller, the reduction of external finance premium is greater in economic recession phase. Otherwise, the effect is greater, the reduction of external finance premium is smaller in economic expansion phase. This means that time-varying effect of expectation formation interferes with the mechanism of reduction of finance cost.