中国货币政策传导的动态变化——基于TVP-SV-VAR模型的研究
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| Title | The Dynamic Change of the Transmission of China's Monetary Policy
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| 作者 | 徐亚平 王蕊 |
| Author | Xu Yaping and Wang Rui |
| 作者单位 | 安徽大学经济学院 |
| Organization | Anhui University |
| 作者Email | hfblackcat@163.com； |
| 中文关键词 | 货币政策传导 动态变化 冲击响应分析 TVP-SV-VAR模型 |
| Key Words | Monetary Policy; Dynamic Change; Stock Response Analysis; TVP-SV-VAR Model |
| 内容提要 | 本文借助可变系数的结构VAR模型，同时考虑了外生冲击的波动性，基于贝叶斯分析的MCMC方法，对近年来我国货币政策传导的动态变化进行了深入分析。研究显示，随着我国经济逐步进入新常态，货币冲击对GDP的短期和中期影响显著降低；同时，比较而言，货币冲击对通货膨胀的影响要明显大于对经济增长的影响。另一方面，利率变动对我国经济发展会产生较明显的负向冲击，但总体波动幅度不大。文章分析，我国货币政策传导变化的主要原因在于我国经济结构、社会融资结构、流动性创造机制等方面的深刻变化。我们要根据变化的原因，进一步完善我国的货币政策调控，提高货币政策传导的有效性。 |
| Abstract | In recent years, the development of China's economic structure and the financial structure has profound influence on China's monetary policy transmission process. In this paper, by means of time varying parameter VAR model with stochastic volatility (TVP-SV-VAR) , the dynamic change of China's monetary policy transmission is analyzed in detail. Research shows that the conduction effect of monetary policy is dynamic, along with Chinese economy gradually into the new normal state, the effectiveness of the quantitative adjustment policy which we more relied on in the past is gradually decreased. We should analyze the reasons of the change, optimize China's monetary policy adjustment continuously, and improve the effectiveness of monetary policy transmission. |
| 文章编号 | WP827 |
| 登载时间 | 2015-03-04 |
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