中国货币政策与物价指数的相互溢出效应研究——基于行业视角被引量：3

Bilateral spillover effect between monetary policy and price index in China:Evidence from the industry perspective

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摘要维持物价稳定是实施货币政策的重要目标.不同于以往的总量研究,本研究从行业层面出发,拓展柯布道格拉斯函数研究物价波动通过投入产出、资本关联等渠道进行跨行业溢出的作用机制,分析货币政策与物价指数的相互溢出效应并提出假说.然后,利用中国货币政策、供给端生产价格指数和需求端消费价格指数构建LASSO-VAR模型进行实证分析.结论表明供给端价格指数对需求端的溢出效应大于反方向溢出效应,数量型货币政策工具与物价指数之间具有更强的相互溢出效应;行业层面,价格型货币政策工具与物价指数之间具有更强的相互溢出效应;供给端物价指数波动的渠道分解方面,相比资本关联、投入产出关联,以货币政策和宏观经济波动为代表的共同冲击是物价波动的重要来源.本研究为我国货币当局有效稳定物价水平提供参考依据. Maintaining price stability is an important goal of monetary policy.Different from previous aggregate-level studies,this paper starts from the industry level,expands the Cobb-Douglas function,studies the cross-industry spillover of price fluctuations through input-output,capital correlation and other channels,analyzes the bilateral spillover effect of monetary policy and price,and puts forward the research hypotheses.Then,this paper uses monetary policy,supply-side production price index and demand-side consumer price index in China to build a LASSO-VAR model for empirical analyses.Results show that,the spillover effect of supply-side price index on the demand-side is greater than that in the opposite direction,and there is a stronger bilateral spillover effect between quantitative monetary policy tools and price index.At the industry level,there is a stronger bilateral spillover effect between price-based monetary policy tools and price index.In terms of channel decomposition for supply side price index,compared with credit correlation and input-output correlation,the common impact represented by monetary policy and macroeconomic fluctuation is an important source of price fluctuation.This paper provides valuable advices for China’s monetary authorities to effectively stabilize the price index.

作者荆中博贾妍妍方意李政 JING Zhong-bo;JIA Yan-yan;FANG Yi;LI Zheng(School of Management Science and Engineering,Central University of Finance and Economics,Beijing 100081,China;School of Finance,Tianjin University of Finance and Economics,Tianjin 300222,China;National Academy of Development and Strategy,Renmin University of China,Beijing 100872,China)

机构地区中央财经大学管理科学与工程学院天津财经大学金融学院中国人民大学国家发展与战略研究院

出处《管理科学学报》 CSSCI CSCD 北大核心 2023年第10期114-137,共24页 Journal of Management Sciences in China

基金国家自然科学基金资助项目(72271253,72173144,71850008) 国家社会科学基金资助项目(23CJY036) 中央财经大学青年科研创新团队支持计划

关键词物价指数波动机制货币政策投入产出关联资本关联 price index fluctuation mechanism monetary policy input-output correlation capital correlation

分类号 F822.5 [经济管理—财政学]

作者简介通讯作者:方意(1986-),男,湖北黄冈人,博士,教授,博士生导师.Email:fangyi@ruc.edu.cn