中国货币政策产业非对称效应实证研究

Asymmetric Effects of Monetary Policy on Industries in China

统一货币政策对三次产业的影响具有显著的差异性。本文运用ARMA模型和VAR模型分析了1978～2005年间中国三大产业对货币政策冲击的不同反应。研究发现,中国货币政策效应存在显著的产业非对称性,高有形资产产业对货币政策的敏感程度小于低有形资产产业,即第一产业对货币供给冲击的反应最为强烈,第三产业次之,第二产业最小。由于各产业的市场结构差异、产业内企业的规模和性质不同使得各产业所面临的金融摩擦存在较大差异,进而使得货币政策传导机制出现非对称性,在金融加速器机制的作用下货币政策效应在产业层面上表现出了非对称性。

Using ARMA and VAR models, this paper studies three industries＇ responses to monetary policy in China during 1978 to 2005. We find that there exists notable asymmetry of monetary policy effect in industries in China; sensitive degree of industry of high tangible asset to monetary policy is stronger than industry of low tangible asset. And response of primary industry to monetary policy is stron- gest, and tertiary industry is stronger, and the response of secondary industry is weakest. The financial frictions of industries are different, because each industry is faced with different market structure, and the sizes and properties of enterprises included in each industry are different. Which makes transmission mechanism of monetary policy asymmetry, hence asymmetric effects of monetary policy in indus- tries come out under the financial accelerator mechanism.