PDF(3376 KB)
PDF(3376 KB)
PDF(3376 KB)
我国价格型和数量型货币政策效果比较——基于SVAR模型和TVP-VAR模型的实证研究
), 尚友芳()
The Effect Comparison of Quantity and Price-based Monetary Policy in China——An Empirical Study Based on SVAR Model and TVP-VAR Model
), Youfang SHANG()
本文利用SVAR模型研究了数量型和价格型货币政策对宏观经济主要变量的实施效果，并首次将符号约束纳入TVP-VAR模型研究两种货币政策对产出、通胀的时变冲击效应.研究结果表明：1）我国的货币政策传导渠道不畅通，汇率、股市资产价格传导渠道均不可行，货币政策对进出口、股价基本无影响.利率传导渠道堵塞.2）影子银行的迅速发展，造成利率和货币供应量都不能有效影响社会融资规模，不利于货币政策的传导.3）利率对产出和通胀率、货币供应量对产出的冲击效应均存在明显时变特征，主要体现在冲击影响的期限变短，说明近年来货币政策长期效果有所降低，同时利率政策即期效果优于货币供应量.建议货币当局进一步疏通货币政策传导渠道，保持经济稳定的同时降低影子银行规模，保持政策惯性，通过预期引导市场发展.
In this paper, we discuss the implementation effect of quantity and price-based monetary policy in China, and the time-varying impact effect on output and inflation based on SVAR model and TVP-VAR model. The results show that: 1) The transmission channels of monetary policy in China are not smooth, including the exchange rate and stock price channels, and the transmission channels of interest rate are blocked, which leads to the poor effect of price monetary instrument policy. 2) The impact of interest rate on output, inflation rate and money supply on output has obvious time-varying characteristics, mainly reflected in the shorter period of impact, which shows that the long-term effect of monetary policy has been reduced in recent years. 3) With the development of shadow banking, interest rate and money supply can not effectively affect the scale of social financing, which is not conducive to the transmission of monetary policy. It is suggested that monetary authorities should further dredge the transmission channels of monetary policy, maintain economic stability, reduce the scale of shadow banks, keep policy inertia, and guide market development through expectation.
货币政策 / 政策传导渠道 / 政策效果 / TVP-VAR模型 {{custom_keyword}} /
monetary policy / policy transmission channel / policy effect / TVP-VAR model {{custom_keyword}} /
表1 符号识别假设 |
| Monetary Policy Shock | |
| Rate | + |
| M2 | - |
| GDP | - |
| CPI | - |
| Consumption | - |
| Investment | - |
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PDF(3376 KB)
图1 M2同比增长率(右)与两种利率(左)图2 M2增长率(%, 右)、利率、CPI及GDP增长率图3 利率(右)、消费与投资增长率图4 利率、REER(右)与净出口图5 利率、M2同比增长率(%)与股指波动率(%)图6 利率与国房景气指数(右)
表1 符号识别假设图7 宏观变量对利率冲击的脉冲响应图(1996Q1–2019Q4)图8 宏观变量对货币量冲击的脉冲响应图(1996Q1–2019Q4)图9 宏观变量对利率冲击的脉冲响应图(2003Q1–2019Q4)图10 宏观变量对货币供应量冲击的脉冲响应图(2003Q1–2019Q4)图11 利率政策对产出和通胀的三维脉冲图12 利率政策对产出的时变冲击图13 利率政策对通胀的时变冲击图14 货币量政策对产出和通胀的三维脉冲图15 货币量政策对产出的时变冲击图16 货币量政策对通胀的时变冲击/
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