数量经济技术经济研究
數量經濟技術經濟研究
수량경제기술경제연구
The Journal of Quantitative & Technical Economics
2012年
8期
3~18
,共null页
货币政策 价格体系 影响机理 FAVAR模型
貨幣政策 價格體繫 影響機理 FAVAR模型
화폐정책 개격체계 영향궤리 FAVAR모형
Monetary Policy; Price System; Influence Mechanism; Factor- Augmented Vector Autoregressive Model
本文基于FAVAR模型实证研究了美国货币政策对中国价格体系的直接影响和间接传导机理。结果表明，美国紧缩性货币政策构成了中国价格体系短期下行的动力；虽然中国价格体系对美国投资市场收益率的波动具有短暂免疫性，但随后会形成具有差异性特征的冲击；M2主导的美国市场流动性对中国价格体系形成显著且持续性最长的正向溢出，而路径主要为贸易、信贷、利率和预期等渠道。因此，中国货币政策选择必须基于外部冲击表现出灵活性和针对性。
本文基于FAVAR模型實證研究瞭美國貨幣政策對中國價格體繫的直接影響和間接傳導機理。結果錶明，美國緊縮性貨幣政策構成瞭中國價格體繫短期下行的動力；雖然中國價格體繫對美國投資市場收益率的波動具有短暫免疫性，但隨後會形成具有差異性特徵的遲擊；M2主導的美國市場流動性對中國價格體繫形成顯著且持續性最長的正嚮溢齣，而路徑主要為貿易、信貸、利率和預期等渠道。因此，中國貨幣政策選擇必鬚基于外部遲擊錶現齣靈活性和針對性。
본문기우FAVAR모형실증연구료미국화폐정책대중국개격체계적직접영향화간접전도궤리。결과표명，미국긴축성화폐정책구성료중국개격체계단기하행적동력；수연중국개격체계대미국투자시장수익솔적파동구유단잠면역성，단수후회형성구유차이성특정적충격；M2주도적미국시장류동성대중국개격체계형성현저차지속성최장적정향일출，이로경주요위무역、신대、리솔화예기등거도。인차，중국화폐정책선택필수기우외부충격표현출령활성화침대성。
Based on the FAVAR model, this paper studies the direct influence and indirect transmission mechanism of American monetary policies to the price system of China. Empirical results indicate that： Firstly, American contractionary monetary policies make the price system of China downward in a short term. Although the price system of China has temporary immunity to the volatility of American investment market, it has divergent impacts later; the liquidity of American market, which is led by M2, continuously forms the most significant positive spillover effect to the price system of China. And its transmission path is still influenced by channels of trade, interest, credit and expectation, etc. So, the choice of Chinese monetary policies must fully consider external impacts so it could have enough flexibility and relevance.
