南方经济
南方經濟
남방경제
South China journal of Economy
2014年
2期
24~41
,共null页
货币供给 产出波动 时变性检验SV—TVP—VAR
貨幣供給 產齣波動 時變性檢驗SV—TVP—VAR
화폐공급 산출파동 시변성검험SV—TVP—VAR
Monetary supply; Output fluctuation; Time - varying test; SV - TVP - VAR.
本文基于包含随机波动率的时变参数向量自回归（SV—TVP—VAR）模型研究了货币供给冲击作用下我国货币政策传导的动态响应机制。实证结果表明：我国的货币传导机制具有明显的时变效应，SV—TVP—VAR模型能够很好的刻画货币传导机制中的时变特征。同时，货币政策传导机制中时变效应大于惯性效应。此外，我国的货币供给过程表现为逐渐增强的产出缺口驱动特征。进一步研究发现，增加货币供给量这种扩张性的货币政策在短期内具有真实效应，能够显著的影响实际利率和产出水平，然而从长期来看对实际利率和产出水平却缺乏永久性影响。
本文基于包含隨機波動率的時變參數嚮量自迴歸（SV—TVP—VAR）模型研究瞭貨幣供給遲擊作用下我國貨幣政策傳導的動態響應機製。實證結果錶明：我國的貨幣傳導機製具有明顯的時變效應，SV—TVP—VAR模型能夠很好的刻畫貨幣傳導機製中的時變特徵。同時，貨幣政策傳導機製中時變效應大于慣性效應。此外，我國的貨幣供給過程錶現為逐漸增彊的產齣缺口驅動特徵。進一步研究髮現，增加貨幣供給量這種擴張性的貨幣政策在短期內具有真實效應，能夠顯著的影響實際利率和產齣水平，然而從長期來看對實際利率和產齣水平卻缺乏永久性影響。
본문기우포함수궤파동솔적시변삼수향량자회귀（SV—TVP—VAR）모형연구료화폐공급충격작용하아국화폐정책전도적동태향응궤제。실증결과표명：아국적화폐전도궤제구유명현적시변효응，SV—TVP—VAR모형능구흔호적각화화폐전도궤제중적시변특정。동시，화폐정책전도궤제중시변효응대우관성효응。차외，아국적화폐공급과정표현위축점증강적산출결구구동특정。진일보연구발현，증가화폐공급량저충확장성적화폐정책재단기내구유진실효응，능구현저적영향실제리솔화산출수평，연이종장기래간대실제리솔화산출수평각결핍영구성영향。
Based on the time - varying Parameter VAR model with stochastic volatility model, this paper studies the dynamic response of Chinese monetary policy transmission mechanism under the impact from supply of money. Empirical results indicate that： Chinese monetary transmission mechanism obviously has time --varying effect. The SV -TVP- VAR model can vividly depicts time -varying characteristics of Chinese monetary transmission mechanism. Meanwhile, time - varying effect is greater than the inertia effect for monetary policy transmission mechanism. In addition, the process of money supply increasingly shows characteristic of the output gap driving. Further study shows that expansionary monetary policy by increasing the money supply not only has a real effect in the short term, but also can significantly impact the real interest rate and the output level. However, it lacks permanent impact on the real interest rate and the output in the long term.
