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

Analysis of Asymmetric Effects of Monetary Policy Shocks to Output

本文运用马尔可夫转移模型和冲击响应分析等方法,检验了我国货币政策冲击与实际产出之间的动态关系,发现货币政策冲击对产出的影响存在明显的非对称性,并且产出对货币冲击的反应存在着“低度反应”和“高度反应”区制;我们通过时变转移概率方法进一步检验描述非对称反应的三种可能形式,即关于货币政策冲击方向、冲击规模和经济周期阶段的非对称形式。

In this paper, using regime- switching model and impulse response function, we investigate the dynamic relationship between China＇s monetary policy shocks and output. We find that significant asymmetry of monetary policy to output and the response of output to the shocks correspond to ＂low response＂ regimes and ＂high response＂ regimes respectively. According to the time- varing transition probability （TVTP） model, we further examine three possible types of asymmetry which include such as the direction, the size of the monetary policy and the phase of business cycle.