商业研究
商業研究
상업연구
COMMERCIAL RESEARCH
2014年
4期
25-30
,共6页
货币政策%有效性%非对称性%FAVAR
貨幣政策%有效性%非對稱性%FAVAR
화폐정책%유효성%비대칭성%FAVAR
monetary policy%effectiveness%asymmetry%FAVAR
通过货币政策的传导机制,本文论证了因子扩展的向量自回归( FAVAR)模型可以弥补VAR模型在宏观经济变量选取方面不足问题,并借助更有效的因子个数确定最小熵方法,从选取的我国35个具有代表性的宏观变量中提取了6个共同因子,基于这些因子扩展的VAR模型,分析了我国货币政策的有效性。实证表明FAVAR模型与VAR模型相比, FAVAR模型中产出变量和价格变量对货币政策冲击的效应能被更完整地反映出来。
通過貨幣政策的傳導機製,本文論證瞭因子擴展的嚮量自迴歸( FAVAR)模型可以瀰補VAR模型在宏觀經濟變量選取方麵不足問題,併藉助更有效的因子箇數確定最小熵方法,從選取的我國35箇具有代錶性的宏觀變量中提取瞭6箇共同因子,基于這些因子擴展的VAR模型,分析瞭我國貨幣政策的有效性。實證錶明FAVAR模型與VAR模型相比, FAVAR模型中產齣變量和價格變量對貨幣政策遲擊的效應能被更完整地反映齣來。
통과화폐정책적전도궤제,본문론증료인자확전적향량자회귀( FAVAR)모형가이미보VAR모형재굉관경제변량선취방면불족문제,병차조경유효적인자개수학정최소적방법,종선취적아국35개구유대표성적굉관변량중제취료6개공동인자,기우저사인자확전적VAR모형,분석료아국화폐정책적유효성。실증표명FAVAR모형여VAR모형상비, FAVAR모형중산출변량화개격변량대화폐정책충격적효응능피경완정지반영출래。
This paper , using the transmission mechanism of monetary policy , demonstrates that factor augment vector autoregressive ( FAVAR) model could be adopted to make up the deficiency of the VAR model in terms of macro eco-nomic variables selection .Then, with the minimum entropy method which determines the factor number effectively , six common factors are extracted from 35 typical macro variables of China′s economy.Based on the FAVAR model , the pa-per analyzes the effectiveness of China′s monetary policy .The empirical results show that compared with the VAR model , the impact of output and price on the monetary policy can be reflected more fully in FAVAR model .