货币供给、通货膨胀与产出波动的动态效应研究:1992-2013

发布时间：2018-04-17 08:01

本文选题：货币供给 + 产出波动　；参考：《南方经济》2014年02期

【摘要】：本文基于包含随机波动率的时变参数向量自回归(SV-TVP-VAR)模型研究了货币供给冲击作用下我国货币政策传导的动态响应机制。实证结果表明:我国的货币传导机制具有明显的时变效应,SV-TVP-VAR模型能够很好的刻画货币传导机制中的时变特征。同时,货币政策传导机制中时变效应大于惯性效应。此外,我国的货币供给过程表现为逐渐增强的产出缺口驱动特征。进一步研究发现,增加货币供给量这种扩张性的货币政策在短期内具有真实效应,能够显著的影响实际利率和产出水平,然而从长期来看对实际利率和产出水平却缺乏永久性影响。
[Abstract]:Based on the time-varying parameter vector autoregressive (SV-TVP-VARA) model including stochastic volatility, this paper studies the dynamic response mechanism of monetary policy conduction in China under the influence of money supply shock.The empirical results show that the monetary transmission mechanism in China has obvious time-varying effect. SV-TVP-VAR model can well describe the time-varying characteristics of monetary transmission mechanism.At the same time, the time-varying effect is greater than the inertia effect in the transmission mechanism of monetary policy.In addition, the money supply process in China is characterized by increasing output gap driving characteristics.Further studies have found that the expansionary monetary policy of increasing the amount of money supply has a real effect in the short term and can significantly affect the real interest rate and the level of output.In the long run, however, there is little permanent impact on real interest rates and output levels.
【作者单位】：吉林大学数量经济研究中心;吉林大学商学院;
【基金】：国家社科基金重大项目“‘十二五’期间我国金融风险监测预警研究”(10ZD&010)和国家社科基金一般项目“系统性金融风险与宏观审慎监管研究”(12BJY158)的资助
【分类号】：F822;F014.2;F224

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