信用衍生品对货币政策传导效应的影响  

A Study on the Influence of Credit Derivatives on the Monetary Policy Transmission

作　　者：张学陶[1] 林宝瑞[1] 

机构地区：[1]湖南大学金融学院,湖南长沙410079

出　　处：《财经理论与实践》2009年第4期8-12,共5页The Theory and Practice of Finance and Economics

摘　　要：选取美国1981～2008年的数据，研究信用衍生品发展对货币政策传导效应的影响。通过运用协整回归、格兰杰因果检验及方差分解等实证分析方法的研究表明，信用衍生品的发展弱化了货币政策的效果，增大了货币政策时滞的不确定性。因此，中央银行制订货币政策时应考虑信用衍生品的因素。This paper selected the datas of United States from 1981 to 2008 to study the effects on the monetary policy transmission under the development of credit derivatives. By using analysis methods of Regression of cointegration, Granger causality test, Impulse response function and Variance decomposition as empirical studies, we found that the development of credit derivatives weaken the effectiveness and increased the time - delay uncertainty of monetary policy. Therefore, when carrying out monetary policy, the central bank should take into account the factors of credit derivatives.

关 键 词：信用衍生品 货币政策 传导效应 

分 类 号：F832[经济管理—金融学]