摘要
本文基于包含随机波动率的时变参数向量自回归(SV-TVP-VAR)模型研究了货币供给冲击作用下我国货币政策传导的动态响应机制。实证结果表明:我国的货币传导机制具有明显的时变效应,SV-TVP-VAR模型能够很好的刻画货币传导机制中的时变特征。同时,货币政策传导机制中时变效应大于惯性效应。此外,我国的货币供给过程表现为逐渐增强的产出缺口驱动特征。进一步研究发现,增加货币供给量这种扩张性的货币政策在短期内具有真实效应,能够显著的影响实际利率和产出水平,然而从长期来看对实际利率和产出水平却缺乏永久性影响。
Based on the time - varying Parameter VAR model with stochastic volatility model, this paper studies the dynamic response of Chinese monetary policy transmission mechanism under the impact from supply of money. Empirical results indicate that： Chinese monetary transmission mechanism obviously has time --varying effect. The SV -TVP- VAR model can vividly depicts time -varying characteristics of Chinese monetary transmission mechanism. Meanwhile, time - varying effect is greater than the inertia effect for monetary policy transmission mechanism. In addition, the process of money supply increasingly shows characteristic of the output gap driving. Further study shows that expansionary monetary policy by increasing the money supply not only has a real effect in the short term, but also can significantly impact the real interest rate and the output level. However, it lacks permanent impact on the real interest rate and the output in the long term.
出处
《南方经济》
CSSCI
2014年第2期24-41,共18页
South China Journal of Economics
基金
国家社科基金重大项目“‘十二五’期间我国金融风险监测预警研究”(10ZD&010)和国家社科基金一般项目“系统性金融风险与宏观审慎监管研究”(12BJY158)的资助
