低利率环境下数量型和价格型货币工具效应检验  

Effect of Quantitative and Price-basedMonetary Policy under the Low Interest Rate Environment

作　　者：张小宇[1] 李秋儒 

机构地区：[1]吉林大学数量经济研究中心 [2]吉林大学商学院

出　　处：《价格理论与实践》2018年第9期115-118,共4页Price:Theory & Practice

基　　金：国家社会科学基金项目““十三五”时期我国货币政策规则与货币政策调控机制研究”(15BJY174);教育部人文社科重点研究基地重大项目“‘十三五’期间中国增长型经济波动态势与宏观调控模式研究”(16JJD790014);国家自然科学基金面上项目“中国非线性非对称货币政策规则的识别与形成:理论模型和计量框架”(71773079)阶段性成果

摘　　要：本文基于中国1996年7月至2018年6月的金融月度数据,通过Chow结构断点检验,发现我国货币政策效应在样本期内存在明显的结构断点。在此基础上,本文通过构建门限回归模型,并将利率作为门限变量,考察了我国货币政策在不同利率区间的货币政策效应非对称性。结果发现：在低利率区间,与数量型货币政策相比,价格型货币政策的产出效应相对较弱。这表明现阶段在低利率环境下,利率调控空间受限可能是导致价格型货币政策效应弱化的主要原因。未来一段时期,稳健中性货币政策将作为中央银行的重要货币政策选择。Based on the financial monthly data from July 1996 to June 2017 in China, this paper finds that there are obvious structural breakpoints in the monetary policy effect in China during the sample period by using the Chow Breakpoint test. On this basis, by constructing a threshold regression model and using interest rate as a threshold variable, we examine the asymmetry of the monetary policy effect of China＇s monetary policy in different interest rate regions. The result shows that in the low interest rate system, the output effect of pricing monetary policy was not significant, indicating that under the low interest rate environment, China＇s interest rate policy may be trapped in the＂liquidity trap＂. In the coming period, quantitative easing monetary policy can be used as an important policy option for＂pro-growth＂.

关 键 词：货币政策有效性 CHOW检验 门限回归模型 

分 类 号：F822.0[经济管理—财政学]