欧元区单一货币政策区域非对称效应的实证研究——基于VAR方法的检验  

Monetary Policy and Regional Asymmetric Effects in Euro Zone——Empirical Tests based on VAR Method

作　　者：蔡彤娟[1] 金山[2] 

机构地区：[1]对外经济贸易大学国际经济研究院 [2]广东金融学院华南金融研究所

出　　处：《国际金融研究》2012年第6期28-35,共8页Studies of International Finance

基　　金：国家社会科学基金重大项目"我国新一轮对外开放的战略布局;总体目标与政策选择研究"(11&ZD007);对外经济贸易大学学术创新团队资助项目;对外经济贸易大学校级科研课题"欧洲债务危机与欧元区的前景"(11QD01)的研究成果

摘　　要：本文试图在开放宏观框架下检验欧元区单一货币政策冲击给各成员国带来的区域非对称效应。首先,通过考察欧元区货币政策传导渠道检验区域非对称效应的产生机制;其次,运用VAR模型和脉冲响应函数(IRFs)检验货币政策区域效应的程度;最后,运用分时段VAR模型检验货币政策区域效应的内生性。结果表明,欧洲单一货币政策对各成员国产生非对称冲击,且非对称效应未出现收敛性,欧元区宏观政策协调的成本和难度加大。This article attempts to inspect the regional asymmetric effects of European single monetary policy under the framework of open cs. First of all, we test the generating mechanism of regional asymmetric effects through investigating the transmission channel of monetary policy; secondly, we use VAR model and impulse response functions （IRFs） to test the regional effects of monetary policy empirically; thirdly, we use time interval VAR model to test the endogenity of regional effects of monetary policy. The results show that, the European single currency policy has produced asymmetric shocks on each member, and the asymmetric effects have not presented convergence. Euro zone＇s macroeconomic policy coordination will be costly and difficult.

关 键 词：货币政策冲击 区域非对称效应 宏观政策协调成本 欧元区 VAR模型 

分 类 号：F831[经济管理—金融学]