央行沟通与实际干预的频域政策效果研究

发布时间：2018-03-26 03:18

本文选题：货币政策　切入点：央行沟通　出处：《管理科学学报》2017年08期

【摘要】：利用谱分析识别宏观变量的主导频域,进而采用小波方法分离出宏观变量的低频、经济周期频域以及高频三种频域成分,最后构建结构向量自回归模型考察实际干预工具和央行信息沟通在不同频域的政策效果.研究结果显示,中国经济增长的波动由长周期的低频波动所主导,经济周期频域次之,但是所有货币政策工具对低频波动的调控效果都不理想,而只在经济周期频域有较好表现.通货膨胀则是由经济周期频域的波动所主导,价格型货币政策和央行沟通都呈现出对此频域的良好调控效果.预期通胀在各个频域的波动分布较为均衡,央行沟通在低频和经济周期频域均起到了良好的调控效果,体现出其在预期管理中的突出作用.数量型货币政策整体表现均不理想.
[Abstract]:The dominant frequency domain of macro variables is identified by spectral analysis, and then three kinds of components in low frequency domain, economic cycle frequency domain and high frequency domain are separated by wavelet method. Finally, the structural vector autoregressive model is constructed to investigate the policy effect of practical intervention tools and central bank information communication in different frequency domain. The results show that the fluctuation of Chinese economic growth is dominated by the long-period low-frequency fluctuation, followed by the economic cycle frequency domain. However, all monetary policy instruments are not good at regulating low frequency fluctuations, but only in the frequency domain of economic cycles. Inflation is dominated by fluctuations in the frequency domain of economic cycles. The price type monetary policy and the central bank communication both show good control effect on this frequency domain. The fluctuation distribution of expected inflation in each frequency domain is more balanced, and the central bank communication has played a good control effect in the low frequency and economic cycle frequency domain. The overall performance of quantitative monetary policy is not ideal.
【作者单位】：中山大学岭南学院;清华大学五道口金融学院;暨南大学经济学院;暨南大学中国经济发展与创新战略研究中心;
【基金】：国家自然科学基金资助项目(71303264;71773147) 广东省普通高校创新团队资助项目(2016WCXT001)
【分类号】：F124;F822

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