产业结构升级中的货币政策与金融市场效应——基于BVAR模型与门限回归模型的分析  

The Monetary Policy and Financial Market Effects on China's Industrial Structure Adjustment and Upgrading——Based on the Analysis of BVAR Model and Threshold Model

作　　者：王朝明[1] 朱睿博[1] 

机构地区：[1]西南财经大学经济学院

出　　处：《财经科学》2016年第12期23-34,共12页Finance & Economics

摘　　要：本文在理论分析的基础上,将货币政策传导变量与金融市场发展程度纳入统一框架下,通过BVAR模型和门限回归模型,考察了产业结构调整升级是如何受到信贷规模、利率水平、房地产价格、汇率水平及股票市场发展规模的影响。实证结果表明,产业结构升级对五个变量的反应程度各不相同:实际有效汇率、信贷规模与股票市场发展规模对产业结构升级具有正向影响,其中实际有效汇率和信贷规模影响较为显著,股票市场的影响则较弱;而利率与房地产价格会对产业结构升级产生负向作用。Based on the theoretical analysis, this paper brings monetary policy transmission variables and the degree of fmancial market development into a unified framework. Using the BVAR model and threshold model, we investigates how credit scale, interest rate, real estate price, exchange rate and the scale of stock market affect the adjustment and upgrading of industrial structure. The empirical results show that the reactions of industrial structure adjustment and upgrading toward the five variables are different： real effective exchange rate, credit scale and the scale of stock market impose positive effects, and the effects of real effective exchange rate are significant, comparing with the weak effect of the scale of stock market; interest rate and real estate price impose negative effects. Then, an investigation of the non - linear relationship between industrial structure upgrading and the variables is conducted to obtain a more accurate result comparing with the linear model. This paper provides the explanations for the empirical results and relevant conclusions and enlightenment.

关 键 词：货币政策 金融市场 产业结构升级 

分 类 号：F822.0[经济管理—财政学] F832.5