摘要
运用2003—2019年宏观季度数据,构建随机波动时变参数的向量自回归(TVP-SV-VAR)模型,分阶段考察货币政策不确定性对宏观经济的影响效应。研究发现,货币政策不确定性对宏观经济存在非对称影响效果。在经济周期上行阶段,货币政策不确定性对投资、消费、经济产出和价格水平具有正向促进作用;在经济周期下行阶段,货币政策不确定性对投资、消费和经济产出具有负向抑制作用,对价格水平的影响呈现正向但影响强度显著降低。从时间看,货币政策不确定性对价格水平的作用时间较短,对投资、消费和经济产出的影响在中长期持续存在。货币政策不确定性削弱了货币政策自身对宏观经济的逆周期调控效力,因此,中央银行应把握货币政策调整节奏,降低货币政策不确定性程度,保障货币政策调控有效。
The macro quarterly data from 2003 to 2019 was used to construct a vector autoregressive(TVP-SV-VAR)model by timevarying parameters with random fluctuations, and the impact of monetary policy uncertainty on macro-economics in different economic situations was empirically examined. The research results show that: during the upward phase of the economic cycle, the uncertainty of monetary policy had a positive effect on investment, consumption, economic output and price levels;during the downward phase of the economic cycle, the uncertainty of monetary policy had a negative effect on investment, consumption and economic output, and the impact on price levels remained positive but the intensity of the impact was significantly reduced. Monetary policy uncertainty had an asymmetric effect on macro-economy. In terms of impact time, the impact of monetary policy uncertainty on price levels was relatively short, and the impact on investment, consumption, and economic output persisted in the medium and long term. The monetary policy uncertainty weakened the effectiveness of monetary policy itself in counter-cyclical macroeconomic regulation. Therefore, the central bank should pay attention to the rhythm of monetary policy adjustment, reduce the degree of monetary policy uncertainty, and ensure the effectiveness of monetary policy regulation.
作者
李成
于海东
李一帆
LI Cheng;YU Haidong;LI Yifan(School of Economics and Finance,Xi’an Jiaotong University,Xi’an Shaanxi 710061,China)
出处
《北京理工大学学报（社会科学版）》
CSSCI
北大核心
2020年第5期49-58,共10页
Journal of Beijing Institute of Technology：Social Sciences Edition
基金
国家社会科学基金项目“新形势下货币政策传导缓阻的成因、监测与对策研究”(17BJY193)。
