中国货币增长的不确定性及其对宏观经济的影响

The Monetary Growth Uncertainty and It’s Effects on Macrocconomic Activity in China

本文以1994—2005年间的月度数据为基础，利用时变参数马可夫情势转换模型将我国货币增长不确定性分解为宏观政策层面引发的不确定性和经济冲击引发的不确定性，进而考察两类货币增长不确定性对我国宏观经济的影响。结果表明，经济冲击所引发的货币增长不确定性是我国货币增长不确定性的主要根源，且不利于我国宏观经济稳定，而宏观政策层面引发的不确定性则有助于我国宏观经济稳定。

This paper decomposed monetary growth uncertainty into two components： the uncertainty which reflecting macroeconomic policy changes and the uncertainty about economic shocks by applying time - varying parameter Markov regime switch model and then investigated the effects of the two different sources of monetary growth uncertainty on macroeconomic activity based on monthly data from 1994 to 2005. Our conclusion are as follows： The uncertainty which economic shocks brought about is main source of monetary growth uncertainty and had negative effect on macroeconomic stability, on the other hand the uncertainty which macroeconomic policy changes brought about had positive effect on macroeconomic stability.