央行货币政策操作政策拐点与开关函数的测定被引量：42

Measurement for the Breakpoints and Transition Functions for Monetary Policy Operation of China's Center Bank

导出

摘要货币政策操作是政府对经济进行宏观调控的重要手段。不同的国家和地区、不同的经济发展时期,其货币政策的运用效果及特点存在明显的差异。赵进文、闵捷(2005)的研究结果表明:在1993年第1季度至2004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。在此基础上,本文首先通过Terasvirta检验法判定了央行货币政策操作开关函数的类型,之后基于先进而复杂的T-O-O网格点搜索法,测定了我国货币政策操作的政策拐点与开关函数的具体形式。 The operation of monetary policy is an important instrument for the government to control the economy on the macro scope. Different country, different region and different period of economic progress have great difference in their impact and characteristics of the monetary policy. The research of Zhao jinwen and Minjie （2005） indicates that the effect of China＇ s monetary policy shows an obvious asymmetry and strong nonlinearity during the period of the first quarter of 1993 to the second quarter of 2004. On the basis of the previous research, this paper determined the type of the transition function for the central bank monetary policy operation by the Ter^isvirta test in the first place. Then, the breakpoints of Cbina＇s monetary policy operation and specific form of the transition function will be determined through the advanced and complicated T-O-O grid search. The conclusion has significant and direct implications for the improvement of China＇s macro-control policy and the persistent, fast, healthy and harmonious development of national economy.

作者赵进文闵捷

机构地区东北财经大学统计系

出处《经济研究》 CSSCI 北大核心 2005年第12期90-101,共12页 Economic Research Journal

基金 2004年度国家自然科学基金项目:"泛协整理论"框架下中国市场化利率稳健货币政策规则形成机制等的模型实证研究(批准号:70473012)的阶段性研究成果之一

关键词货币政策LSTR模型政策拐点开关函数网格点搜索法 Monetary Policy LSTR Model Breakpoints Transition Functions Grid Search

分类号 F224 [经济管理—国民经济]

引文网络
相关文献

参考文献9

1刘金全郑挺国.《我国货币政策冲击对实际产出周期波动的非对称影响分析》[A]..“经济与金融计量分析理论与应用”国际学术会议交流论文[C].,2005..
2赵进文,闵捷.央行货币政策操作效果非对称性实证研究[J].经济研究,2005,40(2):26-34. 被引量：134
3Luukkonen, R., Saikkonen, P., Terasvirta, T., 1988, "Testing Linearity against Smooth Transition Autoregression", Biometrika, 75,491-499.
4Granger, C. W.J., Terasvirta, T., 1993, Modeling Nonlinear Economic Relationships, Oxford University Press, Oxford.
5Ocal, N., 1995, Nonlinear Models for UK Macroeconomic Time Series. Discussion Paper 9526, School of Economic Studies. University of Manchester.
6Ocal, N., Osborn, D.R., 2000, Business Cycle Non-linearities in UK Consumption and Production. Journal of Applied Econometrics, Vol.15, pp. 27-43.
7Sensier, M., Osborn, D.R., Ocal, N., 2002, Asymmetric Interest Rate Effects for the UK Real Economy. Oxford Bulletin of Economics and Statistics, Vol. 64, pp.315-339.
8Terasvirta, T., 1994, Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models. Journal of the American Statistical Association, 89, 208-218.
9Tergsvirta, T., 1998, Modeling Economic Relationships with Smooth Transition Regressions. In: Ullah, A., Giles, D. E.A. (Eds.).Handbook of Applied Economic Statistics. Statistics: Textbooks and Monographs, Vol. 155. Dekker, New York, Basel and Hong Kong, pp. 507-552.

二级参考文献22

1赵进文,高辉.中国利率市场化主导下稳健货币政策规则的构建及应用[J].经济学（季刊）,2004,3(B10):41-64. 被引量：44
2Kim, D. H., Osbom, D. R., Semier, M., 2002. Nonlinearity in the Fed's monetary policy rule. CGBCR Discussion Paper 018, 1-36.
3Lin, C. - F., Terasvirta, T., 1994. Testing the Constanvy of Regression Parameters Against Continuous Structural Change, Journal of Econometrics, 62, 211-228.
4Luuldconen, R. , Saikkonen, P., Tergsvirta, T., 1988a. Testing Linearity against Smooth Transition Autoregression, Biometrika, 75,491-499.
5McCanum, B. T., 1994. Monetary policy and the term structure of interest rates. NBER Working Paper 4938, 1-26.
6McMiUan, D. G. , 2003. Non-linear predictability of UK stock market returns. Oxford Bulletin of Economics and Statistics, Vol. 65, pp.557-573.
7Seikkonen, P., Luukkonen, R., 1988. Lngrange Multiplier Tests for Testing Non-llnearities in Time Series Models, Scandinavian Journal of Statistics, 15, 55-68.
8Saikkonen, P. , Luukkonen, R., 1991. Power properties of a time series linearity test against some simple bilinear alternatives. Statistica Sinica 1(1991), pp.453--464.
9Sensier, M., Osborn, D.R., Ocal, N., 2002. Asymmetric interest rate effects for the UK real economy. Oxford Bulletin of Economics and Statistics, Vol. 64, pp.315-339.
10Terasvirta, T., 1998. Modeling economic relationships with smooth transition regressions. In: Ullah, A., Giles, D. E.A. ( Eds. ).Handbook of Applied Economic Statistics. Statistics: Textbooks and Monographs, Vol. 155. Dekker, New York, Basel and Hong Kong, pp. S507-552.