中国货币政策的动态有效性研究——基于TVP-SV-FAVAR模型的实证分析

The Dynamic Effectiveness of China's Monetary Policy: An Empirical Analysis Based on the TVP-SV-FAVAR Model

文章基于中国2000年1月至2014年12月的月度数据,利用带有随机波动的时变参数因子增强向量自回归(TVP-SV-FAVAR)模型,将中国经济发展过程中的结构突变特征考虑在内,对中国货币政策的动态有效性进行实证研究。实证结果表明:总体而言,货币政策能够对产出和通胀做出积极有效的调控;相较于价格型货币政策,数量型货币政策对宏观经济的调控作用更加明显;随着时间的推移,数量型货币政策对产出和通胀的调控作用呈现逐渐下降的趋势,价格型货币政策对产出的调控作用同样呈逐渐减弱的趋势,但其对物价水平的调控效果在危机之后逐渐改善;数量型货币政策对消费、投资、进出口、银行信贷等的调控效果较好,而价格型货币政策对存贷款利率、人民币汇率以及股票市场等的调控效果更好。文章研究结果也表明,"价格之谜"问题可以得到一定程度的解决甚至根本消除。

Based on Chinese monthly data from January 2000 to December 2014,and taking into account the structural mutation characteristics in the process of China' s economic development,this paper empirically studies the dynamic effectiveness of China' s monetary policy by using the factor-augmented vector autoregressive model with time-varying parameters and stochastic volatility( TVP-SV-FAVAR). The results indicate that: Overall,monetary policy can respond actively to both output and inflation rate.Quantitative monetary policy is more effective than price-based monetary policy in regulating macro economy. The regulatory effect of quantitative monetary policy on output and inflation rate shows a declining trend. The regulatory effect of price-based monetary policy on output weakens gradually,but its regulatory effect on the price level has gradually improved after the crisis. Quantitative monetary policy has a better regulatory effect on variables such as consumption,investment,import,export and bank credit.Price-based monetary policy is more effective in regulating deposit and loan rates,the RMB exchange rate,stock market and so on. In addition,the results show that the ' price puzzle' problem can be solved to a certain degree or even completely eliminated.