摘要
通过货币政策的传导机制,本文论证了因子扩展的向量自回归(FAVAR)模型可以弥补VAR模型在宏观经济变量选取方面不足问题,并借助更有效的因子个数确定最小熵方法,从选取的我国35个具有代表性的宏观变量中提取了6个共同因子,基于这些因子扩展的VAR模型,分析了我国货币政策的有效性。实证表明FAVAR模型与VAR模型相比,FAVAR模型中产出变量和价格变量对货币政策冲击的效应能被更完整地反映出来。
This paper , using the transmission mechanism of monetary policy , demonstrates that factor augment vector autoregressive ( FAVAR) model could be adopted to make up the deficiency of the VAR model in terms of macro eco-nomic variables selection .Then, with the minimum entropy method which determines the factor number effectively , six common factors are extracted from 35 typical macro variables of China′s economy.Based on the FAVAR model , the pa-per analyzes the effectiveness of China′s monetary policy .The empirical results show that compared with the VAR model , the impact of output and price on the monetary policy can be reflected more fully in FAVAR model .
出处
《商业研究》
CSSCI
北大核心
2014年第4期25-30,共6页
Commercial Research
基金
国家自然科学基金项目
项目编号:71271142
甘肃省高校人文社科重点研究基地甘肃经济发展数量分析研究中心项目
项目编号:SLYB201204
关键词
货币政策
有效性
非对称性
FAVAR
monetary policy
effectiveness
asymmetry
FAVAR