摘要
去杠杆政策下,不同行业的信贷资金风险因生产要素、行业规模差异表现出异质性,研究货币政策的行业非对称性可以为分行业差异化去杠杆提供依据。本文构建TVP-SV-FAVAR模型研究货币政策工具对制造业不同要素密集型次级行业的动态传导效应和非对称效应,发现:(1)货币供给政策的行业非对称性较明显,扩张性货币供给政策对劳动密集型行业具有拉动效应,对其他要素密集型行业的调节效果不符合预期;(2)利率政策具有动态传导效应,紧缩性利率政策于2008年由正转负,扩张性利率政策具有周期非对称性。紧缩性货币供给政策对不同要素密集型行业的时变效应存在差异;(3)相比货币供给,利率政策的作用力度较小,体现出微调的特征;相比紧缩性政策,扩张性政策效应更加持久。
Under the deleveraging policy,the credit risk of different industries shows heterogeneity due to differences in production factors and industry scales.Therefore,studying the industry asymmetry of monetary policy can provide a powerful basis for differentiated deleveraging in different industries.This paper constructs a TVP-SV-FAVAR model,and studies the dynamic conduction mechanisms and asymmetric effects of different monetary policy tools for different factor-intensive sub-sectors of manufactu-ring.The study finds that:(1)the expansionary monetary supply policy has asymmetric effects.Its regulatory effects on capital-intensive and technology-intensive industries do not meet policy expectations and have a pulling effect on labor-intensive industries;(2)interest rate policy has a dynamic conduction effect.The tightening interest rate policy turns negative in 2008,and the expansionary interest rate policy has a cyclical asymmetry.The tightening money supply policy has different time-varying effects on different factor-intensive industries;(3)compared with money supply,interest rate policy has less effect and reflects the characteristics of fine-tuning.Compared with the tightening policy,the expansionary policy effect is more durable.
作者
陈文静
刘权盼
何刚
Chen Wenjing;Liu Quanpan;He Gang(School of Economics,Jinan University,Guangzhou 510632,China;Jianxin Financial Technology Co.,Ltd,Shanghai 200000,China;School of Economics,Guangdong University of Finance&Economics,Guangzhou 510000,China)
出处
《工业技术经济》
CSSCI
北大核心
2019年第12期59-67,共9页
Journal of Industrial Technological Economics
基金
国家自然科学基金面上项目“过度负债、金融压力与实体经济下滑:理论、证据与对策研究”(项目编号:71673312)
国家社会科学基金项目“环境经济均衡条件下宏观调控的作用机制及政策效应研究”(项目编号:17BJY066)
广东省教育厅省部级项目“PMCMC在市道轮换框架下带Levy跳的多因素利率结构模型的应用”(项目编号:2016WCXTD004)
