摘要
厘清行业价格指数对流动性冲击的反应模式对货币政策传导机制研究具有重要意义。利用中国FAVAR模型分析流动性冲击对不同行业价格变动的影响,发现用信贷规模衡量宏观流动性比用货币量M2更具有优势,对经济变化的解释能力更强,尤其在讨论价格变化时,信贷的影响更大。还发现流动性冲击对CPI的影响比PPI更为显著,而且PPI的数据显示流动性冲击是沿着产业链的下游往上游传导,其强度依次减弱。这种位于产业链不同位置的行业价格指数对流动性冲击的反应模式可能是CPI对PPI价格倒逼机制的内在原因。中央银行应该动态地监控产业链上不同行业之间的价格变化趋势,加强货币政策的前瞻性,以便进行有效的流动性管理。
It＇s significant for the research of the monetary policy transmission mechanism to clarify patterns of the response of industrial price indexes to the liquidity shock. This paper sets out to analyze the effect of liquidity shock to the relative price of different industries using FAVAR model. We choose credit size rather than M2 to measure the liquidity. Credit shock works better in explaining the fluctuations of economic indicators,especially the price indexes. We figure out that liquidity shock exerts bigger influence on CPI rather than PPI does,as PPI moves from lower industries to higher following the industrial chain.This mechanism can be used to understand the channel of price reverse pass-through from lower supply chain to the higher. The responses of relative price to liquidity shock play an important role in the dynamic adjustment of monetary policy. The central bank should monitor the price change in different industries within supply chain and carry on effective liquidity management.
出处
《产业经济研究》
CSSCI
北大核心
2016年第3期71-81,90,共12页
Industrial Economics Research
基金
国家自科基金青年项目(71503263)
中央高校基本科研业务费专项资金项目(2015KJJCA06)
