中国货币政策透明化的宏观经济效应——基于PTVP-SV-FAVAR模型的实证研究

发布时间：2018-04-12 20:08

本文选题：货币政策 + 透明度　；参考：《财贸经济》2014年12期

【摘要】：20世纪90年代以来,世界各国普遍追求货币政策的透明化,这一制度选择已成为央行实践的重要现象,考察货币政策透明化的宏观经济效应则是理论界和实务界的关注焦点。为对中国货币政策透明化进行实证分析,本文在传统VAR模型的基础上构建PTVP-SV-FAVAR模型:首先,设定概率时变的斜率系数以刻画转轨经济体中经济结构和经济主体行为的时变性;其次,引入随机波动率以捕捉经济结构冲击波动的时变性;最后,通过扩展因子的方法以最大程度地包含经济系统的完整信息。实证结果发现:(1)中国货币政策透明化在1998-2006年期间降低了通货膨胀水平,而在2007-2011年期间提高了通货膨胀水平;(2)货币政策透明化增强了通货膨胀持续性;(3)货币政策透明化在短期内降低产出增长,长期则是提高产出增长;(4)货币政策透明化有利于产出增长的稳定,但加剧了通货膨胀的波动,对通货膨胀波动的恶化效应在宏观经济不确定增强时期更为明显。
[Abstract]:Since the 1990s, countries all over the world have generally pursued the transparency of monetary policy. This system choice has become an important phenomenon in the practice of central banks. The study of the macroeconomic effects of transparency of monetary policy is the focus of attention in the theoretical and practical circles.In order to analyze the transparency of China's monetary policy, this paper constructs the PTVP-SV-FAVAR model based on the traditional VAR model. Firstly, the slope coefficient of probability time-varying is set to describe the time-varying economic structure and the behavior of economic agents in transitional economies.Secondly, the stochastic volatility is introduced to capture the time-varying of the economic structure shock volatility, and finally, the complete information of the economic system is included to the maximum extent by the method of the expansion factor.The empirical results show that the transparency of China's monetary policy reduced the level of inflation in the period 1998-2006.In the period 2007-2011, inflation was raised. (2) Transparency in monetary policy increased inflation sustainability. 3) Transparency in monetary policy reduced output growth in the short term.In the long run, the transparency of monetary policy is conducive to the stability of output growth, but it intensifies the fluctuation of inflation, and the worsening effect of inflation fluctuation is more obvious in the period of macroeconomic uncertainty.
【作者单位】：广东财经大学金融学院;中山大学岭南学院;
【基金】：国家自然科学基金“央行沟通、传统货币政策与宏观经济稳定化”(71303264);国家自然科学基金“中国货币政策与汇率政策冲突机理及动态调整模式研究”(71273066) 广东省自然科学基金“中央银行沟通的策略与宏观经济效应研究”(S2013040015332)的资助
【分类号】：F822.0;F224

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