潜在因子构造与货币政策溢出效应:基于中美两国的实证比较  

Latent Factor Structure and Monetary Policy Spillovers: Based on Empirical Comparison between China and USA

作　　者：位雪丽 刘程程 Wei Xueli;Liu Chengcheng(School of Economics, Henan University of Economics and Law, Zhengzhou 450000, China;School of Statistics and Mathematics, Central University of Finance and Economics, Beijing 100081, China)

机构地区：[1]河南财经政法大学经济学院,郑州450000 [2]中央财经大学统计与数学学院,北京100081

出　　处：《统计与决策》2018年第10期148-152,共5页Statistics & Decision

摘　　要：文章使用TVP-FAVAR（4）模型从大量宏观经济指标中分别提取中美两国的经济活动因子及价格水平因子,以此来全面衡量两国的经济活动和价格水平,创造性地选择资产价格指数作为货币政策变量,并在不同情形下估计TVP-SVAR（2）模型进行稳健性分析。结果发现,中美两国货币政策均具有明显的溢出效应,且这种溢出影响具有时变性。应及时调整货币政策策略,以增强其正面溢出影响。In order to comprehensively measure the economic activity and price level of China and the United States, this paper employs TVP-FAVAR（4） model to respectively extract the two countries＇ economic activity factor and inflation factor from a broad set of economic indicators. And then the paper creatively selects the asset price index as the monetary policy variables, and makes a robustness analysis by estimating TVP-SVAR（2） model under different situations. The result shows that the monetary policies of both China and the United States have obvious time-varying spillover effects. The monetary policy strategy should be adjusted timely so as to enhance its positive spillover effects.

关 键 词：经济活动因子 价格水平因子 TVP-SVAR模型 溢出效应 

分 类 号：F224[经济管理—国民经济]