基于SVAR模型的我国货币政策效应的实证分析  

An Empirical Analysis of the Effect of Monetary Policy in China Based on SVAR Model

作　　者：丁小松[1] 

机构地区：[1]安徽财经大学统计与应用数学学院,安徽蚌埠233030

出　　处：《鸡西大学学报（综合版）》2016年第12期75-80,共6页JOurnal of Jixi University:comprehensive Edition

摘　　要：为研究我国货币政策货币渠道和信贷渠道传递的有效性,考察货币政策与消费、投资和产出之间的相互影响关系,基于VAR模型设置合理的约束条件,运用结构向量自回归模型(SVAR),对工业总产值、货币供应量、居民消费价格指数、金融机构贷款余额、社会零售商品总额、固定资产投资完成额、一年期贷款利率共七个变量之间的因果关系、脉冲响应以及方差分解进行分析。研究结果表明:我国货币政策只存在短期效应,货币供应量存在内生性;货币渠道的产出效应大于信贷渠道,信贷渠道的价格效应大于货币渠道;因此,在制定货币政策时应注重货币渠道和信贷渠道作用的相互补充。In this paper, the structural vector autoregressive （SVAR） model is used to study the effectiveness of monetary policies and the relationships among consumption, investment and output. The Granger causality, impulse response and variance decomposition of the variables are analyzed by using the SVAR model. Empirical results show that there is only a short - term effect and an endogenous nature of monetary policies. The output effect of monetary channel is greater than that of credit channel , but the price effect of the credit channel of is greater than that of the monetary channel. Therefore, the functions between the monetary channel and the credit channel should be taken into consideration during the formulation of monetary policies.

关 键 词：货币渠道 信贷渠道 SVAR模型 有效性 

分 类 号：F224.0[经济管理—国民经济]