摘要
本文选取美国的国债收益率、商业银行贷款量、失业率、通货膨胀率、生产总值(GDP)、汇率和贸易共计7类25个非等频的变量序列,首先使用TRA-MO技术识别各序列的结构性变动点,然后利用SEATS技术进行预测并与实际值对比,定量地研究扭曲操作货币政策对美国经济和世界经济的影响。结果显示,美联储的扭曲操作对短期国债的收益率有影响而对中长期国债收益率并无影响,在增加贷款量、降低失业率与通货膨胀率等方面效果不显著;对人民币汇率、进口贸易和美国贸易逆差有影响,但对欧元汇率、日元汇率和美国出口没有显著影响。
This paper selects seven non-aligned variable sequences including U.S.Treasury bond yields,commercial bank lending,unemployment rate,inflation rate,GDP,exchange rate and trade which encompass 25 variables.Firstly,the TRAMO method is used to identify the structural change point of various sequences.Secondly,the SEATS technique is utilized to do a quantitative study of the effect of Operation Twist on American economy and world economy,where SEATS estimates are compared with actual values.The research comes up with the finding that Operation Twist has a significant impact on short-term Treasury yields but is non-influential on mid and long-term bond yields.There is also no significant effect found of the Operation Twist on loans quantity,unemployment rate and inflation rate.For RMB exchange rate,import trade and the U.S.trade deficit,the impact of Operation Twist is obvious.For the EUR and JPY exchange rates and the U.S.export,however,no significant effect of the Twist is detected.
出处
《国际贸易问题》
CSSCI
北大核心
2013年第6期157-167,共11页
Journal of International Trade
基金
国家社科基金重大项目"完善宏观金融调控体系研究--基于针对性
灵活性
前瞻性的视角"(12&ZD046)
教育部留学回国人员科研基金"资本约束与商业银行贷款行为选择研究"
中央高校基本科研业务费专项资金"资本约束下的货币政策传导机制研究"(20110202)的阶段性成果
关键词
扭曲操作
货币政策
效应分析
Operation Twist
Monetary policy
Effect analysis
