基于VAR模型的中国货币政策对于产出效果的实证检验
发布时间：2018-12-13 05:55
【摘要】：在2008年次贷危机来临之前,我国宏观货币政策是以防通胀从紧的,但在2008年9月之后,我国的宏观调控目标立刻转为保增长,并推出了空前的4万亿计划,然而随着世界各国不断退出积极的经济刺激政策之后,我国新一轮的宏观调控又立刻转为防止通货膨胀。 这一连串的变化之快,变化之急,番犹如过山车一般,这也引起了我对中国现阶段货币政策有效性的关注。相较西方的货币政策理论经过多年了实践争论再实践,中国的货币政策理论就显得相对的滞后。同时,由于我国经济结构的特殊性,西方的货币理论又无法直接拿来按套在中国经济上,所以本文从一个较新的角度来解析,现阶段我国各货币传导渠道的效用。 本文从当前我国货币政策传导途径的三个渠道：利率渠道、货币渠道和信贷渠道入手,分析和总结前人研究成果；并在第三章引入实证分析,再利用向量自回归模型VAR,对我国近十年的数据进行分析,得出部分结论和政策建议。从完善传导制度上看,应大力发展货币市场,逐步实现利率市场化,并避免过度频繁的货币政策操作。 本文得出的主要结论有以下几点： a)当前情况下,在我国利率、货币和信贷三种货币政策传导途径都是有效的； b)短期内货币政策是非中性的,而在长期是中性； c)货币途径和信贷途径的脉冲响应作用时间比利率途径更持久； d)M2、M1、MO三个指标中,M0对GDP、CPI的脉冲作用相对较弱,M2、M1对GDP的冲击作用较为接近,M1在对CPI冲击作用时比M2更为迅速； e)我国同样存在价格之谜——在紧缩的政策冲击下,产生正向脉冲响应； f)CS对与CPI在一开始都有负向的脉冲响应,这一负向冲击应该被视作政府投资的挤出效应。
[Abstract]:Before the subprime mortgage crisis came in 2008, China's macro-monetary policy was to prevent inflation from tightening, but after September 2008, China's macroeconomic control target immediately turned to growth, and launched an unprecedented $4 trillion program. However, with the countries in the world withdrawing from the positive economic stimulus policy, China's new round of macro-control immediately turned to prevent inflation. The speed and urgency of this series of changes, like a roller coaster, have also raised my concerns about the effectiveness of China's monetary policy at this stage. Compared with the western monetary policy theory, China's monetary policy theory lags behind after years of practice and argument. At the same time, because of the particularity of China's economic structure, the western monetary theory can not be directly applied to China's economy, so this paper analyzes the effectiveness of various monetary transmission channels in China from a relatively new point of view. This paper begins with three channels of transmission of monetary policy in China: interest rate channel, monetary channel and credit channel, and analyzes and summarizes the previous research results; In the third chapter, we introduce the empirical analysis, then use the vector autoregressive model (VAR,) to analyze the data of our country in the past ten years, and draw some conclusions and policy recommendations. From the point of view of perfecting transmission system, we should develop the money market vigorously, realize the marketization of interest rate step by step, and avoid the excessive frequent monetary policy operation. The main conclusions of this paper are as follows: under the current situation of: a), the monetary policy is non-neutral in the short term and is neutral in the long run in the short term of; b), which is effective through the transmission of interest rate, money and credit. C) the pulse response time of the monetary and credit channels is longer than that of the interest rate approach; D) the pulse effect of M0 on GDP,CPI is relatively weak, and the impact effect of M2CM1 on GDP is close, and M1 is more rapid than M2 in the impact on CPI. (e) there is also a price mystery in China, which produces a positive impulse response under the impact of austerity policies; F) CS has a negative impulse response to both CPI and CPI in the beginning, a negative shock that should be seen as an crowding out effect of government investment.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F822.0
本文编号：2376017
[Abstract]:Before the subprime mortgage crisis came in 2008, China's macro-monetary policy was to prevent inflation from tightening, but after September 2008, China's macroeconomic control target immediately turned to growth, and launched an unprecedented $4 trillion program. However, with the countries in the world withdrawing from the positive economic stimulus policy, China's new round of macro-control immediately turned to prevent inflation. The speed and urgency of this series of changes, like a roller coaster, have also raised my concerns about the effectiveness of China's monetary policy at this stage. Compared with the western monetary policy theory, China's monetary policy theory lags behind after years of practice and argument. At the same time, because of the particularity of China's economic structure, the western monetary theory can not be directly applied to China's economy, so this paper analyzes the effectiveness of various monetary transmission channels in China from a relatively new point of view. This paper begins with three channels of transmission of monetary policy in China: interest rate channel, monetary channel and credit channel, and analyzes and summarizes the previous research results; In the third chapter, we introduce the empirical analysis, then use the vector autoregressive model (VAR,) to analyze the data of our country in the past ten years, and draw some conclusions and policy recommendations. From the point of view of perfecting transmission system, we should develop the money market vigorously, realize the marketization of interest rate step by step, and avoid the excessive frequent monetary policy operation. The main conclusions of this paper are as follows: under the current situation of: a), the monetary policy is non-neutral in the short term and is neutral in the long run in the short term of; b), which is effective through the transmission of interest rate, money and credit. C) the pulse response time of the monetary and credit channels is longer than that of the interest rate approach; D) the pulse effect of M0 on GDP,CPI is relatively weak, and the impact effect of M2CM1 on GDP is close, and M1 is more rapid than M2 in the impact on CPI. (e) there is also a price mystery in China, which produces a positive impulse response under the impact of austerity policies; F) CS has a negative impulse response to both CPI and CPI in the beginning, a negative shock that should be seen as an crowding out effect of government investment.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F822.0
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相关期刊论文 前2条
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2 王振山,王志强;我国货币政策传导途径的实证研究[J];财经问题研究;2000年12期
，本文编号：2376017
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