我国货币政策的非对称性效应分析——基于金融状况视角  

The Asymmetric Effects of Monetary Policy of China:Based on the Perspective of Financial Condition

作　　者：肖强[1] 

机构地区：[1]兰州商学院甘肃经济发展数量分析研究中心,兰州730020

出　　处：《中央财经大学学报》2015年第3期41-46,共6页Journal of Central University of Finance & Economics

基　　金：教育部人文社科青年基金项目"中国金融状况指数的构建及其应用研究--基于FASTVAR模型"(14YJC790138)

摘　　要：笔者针对我国更广泛的金融变量,利用动态因子模型构建了我国金融状况指数(FCI)。并以FCI为金融市场的代理变量作为转移变量,构建了logistic向量自回归(LSTVAR)模型,分析以货币供给量为工具的货币政策对产出和价格冲击的非对称性效应。实证结果表明,金融状况良好情形下,扩张货币政策对增加产出短期有效而长期无效。而金融状况恶化情形下,扩张的货币政策不引起价格的显著上涨。因此,我国需要构建能反映国情的FCI,并且根据不同的金融状况采取相应的政策反应,从而避免或降低金融市场波动给宏观经济造成不利影响的可能性,进而维护金融秩序和稳定物价。Based on more extensive financial variables selected from Chinese macro economy,this paper employs dynamic factor model to construct China＇s financial conditions index（ FCI） that could be used to represent China＇s financial market condition. After that,FCI is taken as transfer variable to build the logistic smooth transfer vector auto-regression（ FALSTVAR）,with which this paper analyzes whether monetary policy with the tool of adjusting money supply has an asymmetric impact on the output and the price in different financial conditions. The empirical results show that： When in a good financial condition,expansionary monetary policy has a significantly positive short-term impact on the output,but invalid in the long run; in a deteriorating financial condition,however,expansionary monetary policy does not bring about significant price increase. Therefore,China needs to build its own FCI reflecting its real national condition,and to take measures according to different financial conditions so that unfavorable factors which the fluctuation of financial markets bring to the macro economy could be avoided or considerable reduced,hence,the financial order could be maintained,and the price could be stabilized.

关 键 词：货币政策 FCI 动态因子模型 LSTVAR 

分 类 号：F832.0[经济管理—金融学]