货币政策结构变迁与宏观经济稳定——基于TVP-VAR模型的实证研究  

Monetary Policy Structural Changes and Macroeconomic Stability:Empirical Test Based on the TVP-VAR Model

作　　者：朱培金[1] 

机构地区：[1]中国人民银行杭州中心支行,浙江杭州310001

出　　处：《统计与信息论坛》2015年第7期51-57,共7页Journal of Statistics and Information

基　　金：教育部人文社会科学重点研究基地重大项目<开放经济条件下货币政策规则动态计量方法及应用研究>(12JJD790015)

摘　　要：通过构建包含货币供应量和利率指标的包有随机波动率的时变向量自回归(TVP-VAR)模型,实证分析中国货币政策变迁与宏观经济稳定之间的内在动态响应机制。研究发现:通货膨胀冲击在短期内对产出具有促进作用,而长期看对产出的影响十分微弱;货币政策传导机制具有显著的时变性;积极的货币政策(增加货币供应量和降低利率)在短期内具有真实效应,而长期来看缺乏持久性影响;中国货币政策存在短期利率上升导致长期利率下降的"利率之谜"现象。This paper aims to provide a comprehensive overview of the estimation methodology for TVP-VAR model with stochastic volatility. The TVP-VAR model, combined with stochastic volatility,can be estimated using Markov chain Monte Carlo （MCMC） methods in the context of a Bayesian inference, so it enables us to capture possible dynamic changes in underlying structure of the economy in monetary policy. The results show that inflation will have a promoting effect on output in the short term, while a weak effect in the long term. Meanwhile, the results vividly depict time-varying characteristics of Chinese monetary transmission mechanism. In addition, aggressive monetary policy, has real effects in the short term, but it lacks permanent impact on the output in the long term. Further, study found that China＇s monetary policy will produce ＂rate puzzle＂ phenomenon, which mean that monetary policy led to the existence of the short-term interest rates to rise and the long-term interest rate fall.

关 键 词：货币政策 中介目标 结构变迁 非对称性 时变参数向量自回归(TVP-VAR)模型 

分 类 号：F822.0[经济管理—财政学]