摘要
基于中美经济周期与货币政策非一致,中国正完善跨周期政策调节,以加快构建新发展格局的现实,本文基于经济周期与货币政策不确定性的双重视角,从“价格型”与“数量型”货币政策两个维度,分析经济周期不同阶段,两国货币政策及其不确定性对经济状况的双向溢出效应。首先,运用TVP-FAVAR模型构建经济周期的代理指标变量,经济状况指数(ECI);然后根据货币政策指标、货币政策不确定性(MPU)以及经济状况指数(ECI)构建LT-TVP-VAR模型。研究发现,与过去的三个经济周期相比,当前经济周期中,中国货币政策及其不确定性对美国经济状况的影响在增强,且中国应对美国货币政策溢出效应以及不确定性冲击的能力在增强。这表明中国在新发展格局构建阶段,跨周期调节政策实施后,中国宏观调控在不断优化,面对外来不确定性冲击的应对能力上升。
In view of the inconsistency between China US economic cycle and monetary policy,China is improving cross cycle policy adjustment to speed up the construction of a new development pattern.Based on the dual perspective of economic cycle and monetary policy uncertainty,this paper analyzes the two-way spillover effects of monetary policy and its uncertainty on economic conditions in different stages of economic cycle from the two dimensions of"price type"and"quantity type"monetary policy.Firstly,TVP-FAVAR model is used to construct the proxy index variable of economic cycle,economic condition index(ECI).Then LT-TVP-VAR model is constructed according to monetary policy indicators,monetary policy uncertainty(MPU)and economic condition index(ECI).Finally,the results show that:compared with the past three economic cycles,the impact of China’s monetary policy and its uncertainty on the U.S.economic situation is increasing in the current economic cycle,and China’s ability to deal with the spillover effect of U.S.monetary policy and the impact of uncertainty is increasing.This shows that in the construction stage of China’s new development pattern,after the implementation of the cross cycle regulation policy,China’s macro-control is constantly optimized,and its ability to cope with the impact of external uncertainty is rising.
作者
崔百胜
鲍冠豪
Cui Baisheng;Bao Guanhao
出处
《金融发展》
2022年第2期18-45,共28页
Financial Development
基金
国家社会科学基金重点项目:综合、一致与协调框架下的跨周期政策设计与逆周期调节研究(21AJY024)
