商业研究
商業研究
상업연구
Commercial Research
2015年
4期
1~8
,共null页
利率 货币供给 通货膨胀 产出缺口 TVP-VAR模型
利率 貨幣供給 通貨膨脹 產齣缺口 TVP-VAR模型
리솔 화폐공급 통화팽창 산출결구 TVP-VAR모형
interest rate; monetary supply; inflation; output gap; TVP-VAR model
本文运用时变参数向量自回归模型,考察我国银行间同业拆借利率和广义货币供给增长率对通货膨胀、产出缺口冲击的响应动态,发现我国货币政策具有明显的相机抉择特征,而且数量型和价格型货币政策对宏观经济冲击的时变反应规律存在显著差异;数量型货币政策对宏观经济冲击的反应能力较差,价格型货币政策对通货膨胀和产出缺口冲击的反应时滞表现出逐渐缩短的趋势,但在反应强度上有所减弱。所以,现阶段不同政策工具的协同运用可以有效弥补其指标可控性与最终目标的关联性等方面的差异和不足。
本文運用時變參數嚮量自迴歸模型,攷察我國銀行間同業拆藉利率和廣義貨幣供給增長率對通貨膨脹、產齣缺口遲擊的響應動態,髮現我國貨幣政策具有明顯的相機抉擇特徵,而且數量型和價格型貨幣政策對宏觀經濟遲擊的時變反應規律存在顯著差異;數量型貨幣政策對宏觀經濟遲擊的反應能力較差,價格型貨幣政策對通貨膨脹和產齣缺口遲擊的反應時滯錶現齣逐漸縮短的趨勢,但在反應彊度上有所減弱。所以,現階段不同政策工具的協同運用可以有效瀰補其指標可控性與最終目標的關聯性等方麵的差異和不足。
본문운용시변삼수향량자회귀모형,고찰아국은행간동업탁차리솔화엄의화폐공급증장솔대통화팽창、산출결구충격적향응동태,발현아국화폐정책구유명현적상궤결택특정,이차수량형화개격형화폐정책대굉관경제충격적시변반응규률존재현저차이;수량형화폐정책대굉관경제충격적반응능력교차,개격형화폐정책대통화팽창화산출결구충격적반응시체표현출축점축단적추세,단재반응강도상유소감약。소이,현계단불동정책공구적협동운용가이유효미보기지표가공성여최종목표적관련성등방면적차이화불족。
Using the time- varying parameter vector autoregressive model,this paper inspects the dynamic response of interbank lending rates and broad money supply growth rate to inflation and output gap in China. The results show that China＇s monetary policy is discretionary,and the time- varying response of quantitative and price- oriented monetary policy to macroeconomic impacts is significantly different; the response capability of quantitative monetary policy to the macroeconomic impacts is relatively poor,and the response of price- oriented monetary policy to inflation and output gap appears the weakening trend,even its time- lag is getting shorter. So,combining different policy tools can effectively make up for the differences and deficiencies of their controllability and relativity with ultimate goals.
