开放经济下我国非线性货币政策的非对称效应研究

发布时间：2018-03-14 21:01

本文选题：货币政策　切入点：非线性　出处：《经济研究》2010年09期 　论文类型：期刊论文

【摘要】：本文对开放条件下的VAR模型进行非线性检验后发现,我国货币政策具有非线性特征。在此基础上,应用LSTVAR模型分析发现,低增长状态下,信贷正负冲击的产出效应和利率正负冲击的价格效应都具有显著非对称性;高增长状态下,利率和信贷的正负冲击对产出具有显著非对称效应,货币、利率和信贷的正负冲击对价格皆具有显著非对称效应;在正向冲击方面,货币和信贷的产出效应以及利率和信贷的价格效应在不同经济状态下具有显著非对称性;在负向冲击方面,信贷的产出效应和价格效应都具有较明显非对称性。而且,低增长状态下,信贷的产出扩张效应和货币、信贷的价格扩张效应较强;高增长状态下,货币的产出紧缩效应和货币、信贷的价格紧缩效应较强。
[Abstract]:This paper makes a nonlinear test of the VAR model under open conditions and finds that the monetary policy of our country has nonlinear characteristics. On this basis, the analysis of LSTVAR model shows that, under the condition of low growth, The output effects of positive and negative credit shocks and the price effects of positive and negative interest rate shocks are both significantly asymmetric, while under the condition of high growth, the positive and negative shocks of interest rates and credit have significant asymmetric effects on output. The positive and negative shocks of interest rate and credit have significant asymmetric effect on price, and the output effect of money and credit and the price effect of interest rate and credit have significant asymmetry in different economic conditions. In the negative impact, both the output effect and the price effect of credit have obvious asymmetry. Moreover, under the condition of low growth, the output expansion effect of credit and the price expansion effect of credit are stronger than that of high growth state. The effect of monetary output tightening and monetary, credit price tightening effect is stronger.
【作者单位】：中央财经大学经济学院;吉林大学商学院;
【基金】：教育部新世纪优秀人才支持计划资助项目(NCET-10-0824) 国家社会科学基金项目(08CJY001) 全国统计科研计划重点项目(2009LZ032) 中国博士后科学基金项目(20090450049) 中央财经大学“211工程”三期资助
【分类号】：F224;F822.0

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