金融状况视角下货币政策的区域非对称效应研究——基于G20国家的PSTR模型分析

发布时间：2019-07-08 13:46

【摘要】：本文基于IS曲线和菲利普斯曲线,运用时变状态空间模型测算出1997年第一季度至2016年第二季度G20国家的动态金融状况指数,进而对比分析不同时期发达国家与新兴经济体金融市场波动幅度的差异,基于泰勒规则方程采用面板平滑迁移回归模型实证分析不同金融状况下货币政策对产出与通胀的区域非对称效应。研究结果表明:发达国家的金融市场波动幅度比新兴经济体更为明显,随着金融状况指数由低区制平滑迁移至高区制,货币政策对产出与通胀的反应均呈现逐渐增强的正向效应,且低区制状态下新兴经济体货币政策调控效果更佳,而发达国家在高区制状态下货币政策调控效果较为明显,相比G20其他国家,中国货币政策调控效果较为突出。
[Abstract]:Based on IS curve and Phillips curve, this paper calculates the dynamic financial situation index of G20 countries from the first quarter of 1997 to the second quarter of 2016 by using time-varying state space model, and then compares and analyzes the differences of financial market volatility between developed countries and emerging economies in different periods. Based on Taylor's rule equation, a panel smooth migration regression model is used to empirically analyze the regional asymmetric effects of monetary policy on output and inflation under different financial conditions. The results show that the fluctuation range of financial markets in developed countries is more obvious than that in emerging economies. With the smooth migration of financial situation index from low regional system to high regional system, the response of monetary policy to output and inflation shows a gradually enhanced positive effect, and the monetary policy regulation and control effect of emerging economies is better under the condition of low regional system, while the monetary policy regulation effect of developed countries is more obvious under the condition of high regional system. Compared with other G20 countries, China's monetary policy regulation and control effect is more prominent.
【作者单位】：吉林大学商学院;
【基金】：吉林大学哲学社会科学研究重大课题培育项目(项目号:2015ZDPY09)的资助
【分类号】：F821.0

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