全球性因素对中国宏观经济及货币政策有效性的影响

发布时间：2018-09-17 20:30

【摘要】：本文首先对全球性因素与中国主要宏观经济变量之间的协同性进行了定量研究,并探讨了协同效应的历史演变,然后实证分析了1998-2011年全球性因素对我国货币政策有效性的影响及其动态变化。通过因子增强型向量自回归模型的实证分析,我们发现,世界经济与中国宏观经济之间呈现出一定的协同性。同时,全球性因素对各经济变量的解释力度随着时间的变化有着不同的表现,但没有证据表明它已成为系统更重要的因素。全球性因素引起了中国货币政策传导机制的部分改变,然而,全球性因素在中国不同经济变量响应货币冲击中有着不同的影响,由于全球性因素,某些经济变量对货币冲击的调整幅度和方向、持续性反应和时滞期发生了一定的变化。然而,全球性因素并没有使得我国的货币政策传导机制发生系统性、根本性的改变。
[Abstract]:In this paper, the synergy between global factors and China's main macroeconomic variables is studied quantitatively, and the historical evolution of synergy is discussed. Then the paper empirically analyzes the influence of global factors on the effectiveness of monetary policy and its dynamic changes from 1998 to 2011. Through the empirical analysis of the factor enhanced vector autoregressive model, we find that there is a certain synergy between the world economy and China's macro economy. At the same time, global factors have different interpretations of economic variables over time, but there is no evidence that it has become a more important factor in the system. Global factors have caused some changes in the transmission mechanism of China's monetary policy. However, global factors have different effects on the response of different economic variables in China to currency shocks, because of global factors, The adjustment range and direction of some economic variables to the currency shock, the sustained response and the time lag have changed to a certain extent. However, global factors do not make our monetary policy transmission mechanism systematic and fundamental change.
【作者单位】：对外经济贸易大学金融学院;
【分类号】：F124;F822.0;F224

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