开放经济下我国非线性货币政策的非对称效应研究  

Asymmetric Effects of China’s Nonlinear Monetary Policy in the Open Economy

作　　者：王立勇[1] 张代强[2] 刘文革[1] 

机构地区：[1]中央财经大学经济学院,邮政编码100081 [2]吉林大学商学院,邮政编码130012

出　　处：《经济研究》2010年第9期4-16,共13页Economic Research Journal

基　　金：教育部新世纪优秀人才支持计划资助项目(NCET-10-0824);国家社会科学基金项目(08CJY001);全国统计科研计划重点项目(2009LZ032);中国博士后科学基金项目(20090450049);中央财经大学"211工程"三期资助

摘　　要：本文对开放条件下的VAR模型进行非线性检验后发现,我国货币政策具有非线性特征。在此基础上,应用LSTVAR模型分析发现,低增长状态下,信贷正负冲击的产出效应和利率正负冲击的价格效应都具有显著非对称性;高增长状态下,利率和信贷的正负冲击对产出具有显著非对称效应,货币、利率和信贷的正负冲击对价格皆具有显著非对称效应;在正向冲击方面,货币和信贷的产出效应以及利率和信贷的价格效应在不同经济状态下具有显著非对称性;在负向冲击方面,信贷的产出效应和价格效应都具有较明显非对称性。而且,低增长状态下,信贷的产出扩张效应和货币、信贷的价格扩张效应较强;高增长状态下,货币的产出紧缩效应和货币、信贷的价格紧缩效应较强。This paper tests nonlinearity of a VAR model of open economy, finding strong evidence supporting nonlinearity of China＇s monetary policy. By LSTVAR model, we find that under low-growth regime, both positive and negative shocks of credit have asymmetric effects on product as well as interest rate on price. Under high - growth regime, both shocks have asymmetric effects on product, as well as money, interest rate and credit on price. Within different economic regimes, as for positive shocks, product effect of money and credit has asymmetry as well as price effect of interest rate and credit. As for negative shocks, both product and price effect of credit have asymmetry. Further, within low-growth regime both expanding product effect of credit and price effect of money and credit are stronger. Within high-growth regime both contracting product effect of money and price effect of money and credit are stronger. At last, we use financial accelerator theory to explain the asymmetric effects.

关 键 词：货币政策 非线性 LSTVAR 非对称 广义脉冲响应 

分 类 号：F224[经济管理—国民经济] F822.0