摘要
文章构建TVP—VAR—SV模型考察了中国货币政策和周期波动对CPI和PPI通货膨胀的传导幅度、速度和持续时间的时变特征。结果表明:货币政策对CPI具有非对称性传导;货币政策和周期波动对PPI的影响幅度较大,传导速度较快但持续时间较短,而对CPI的影响幅度较小,传导速度较慢但持续时间较长;2008年之后,货币政策和周期波动对CPI和PPI的传导均发生了结构性变动,影响幅度降低但持续时间大幅延长。
This paper constructs the TVP-VAR-SV model to study the time-varying characteristics of the conduction amplitude,speed and duration of China's monetary policy and periodic fluctuations on CPI and PPI inflation.The results show that monetary policy has asymmetric transmission effects to CPI;monetary policy and cyclical fluctuations have a greater impact on PPI, with faster conduction speed but shorter duration,while the impact on CPI is small,with slow conduction speed but long duration; after 2008,the transmission of both CPI and PPI to monetary policy and cyclical fluctuations had structural changes,with the impact range reduced but the duration significantly extended.
作者
吴周恒
张晶晶
Wu Zhouheng;Zhang Jingjing(School of Economics and Trade,Guangdong University of Foreign Studies,Guangzhou 510006,China)
出处
《统计与决策》
CSSCI
北大核心
2018年第23期151-155,共5页
Statistics & Decision
基金
国家自然科学基金青年项目(71703029)
广东省自然科学基金资助项目(2016A030310354)
广东省哲学社会科学规划项目(GD15XYJ15)
