摘要
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 pricebased 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.
作者
刘向丽
尚友芳
LIU Xiangli;SHANG Youfang(School of Finance,Central University of Finance and Economics,Beijing 100081,China)
出处
《计量经济学报》
2021年第3期595-611,共17页
China Journal of Econometrics
基金
国家自然科学基金(71471182)
中央财经大学青年科研创新团队
作者简介
刘向丽,博士生导师,研究方向:金融工程,E-mail:lxlbxl@163.com;尚友芳,博士研究生,研究方向:金融学,E-mail:shangyoufang@126.com.
