央行货币政策操作效果非对称性实证研究

Empirical Study on the Asymmetry of the Effect of Monetary Policy Operation of China's Center Bank

货币政策操作效果的对称与非对称性研究,近年来在国外金融界十分关注。研究表明:紧缩性货币政策与扩张性货币政策在抑制经济过热和治理经济衰退的效果上存在极大的差异,并且,不同国家和地区的货币政策运用效果及特点也有明显差别。KimD .H .( 2 0 0 2 )使用Hanmilton( 2 0 0 1 )提出的浮动法,分析了美国的货币政策。他得出的结论认为,1 979年前美国货币政策具有显著的非线性特征,即效果不对称,而在其后这一特征则不够明显。Bruinshoofd和Candelon( 2 0 0 4)使用STR模型和LM统计量检验了欧洲几个国家的货币政策效力,却得出与美国几乎相反的结论。那么,我国的货币政策操作效果是否具有对称性,目前还未见到相关的报道。本文采用LSTR模型和LM检验统计量,对此问题进行了深入细致的探讨。研究结果表明:在1 993年第1季度至2 0 0 4年第2季度期间,我国货币政策操作在效果上表现出明显的非对称性,具有很强的非线性特征。

In recent years, the research on both the symmetry and asymmetry of the effect of monetary policy has raised great concern abroad in the domain of finance. Evidence from research shows that the effects of contractionary and expansionary monetary policy differ from each other significantly when coping with the overheated and recessionary economy, respectively; besides, the distinctions of the effects and features of the monetary policies that are used in different countries and regions are also obvious. Through the flexible approach of Hamilton (2001), Kim D.H. (2002) analyses the monetary policy of U.S. The result indicated the significant nonlinearity of the American monetary policy before 1979, that is, asymmetric effect, while there is little such evidence for the subsequent period. By contrast, opposite results have been found by Bruinshoofd and Candelon(2004), test the effectiveness of monetary policy in some European countries using STR model and LM statistics. So far, few evidence shows whether the effect of monetary policy in China symmetric or not. This paper gives a thorough discussion on the issue using LSTR model and LM test statistics. The result indicates our monetary policy has a distinct asymmetry and a strong nonlinearity in its effect from the first quarter of 1993 to the second quarter of 2004.