中美两国货币增长不确定性与经济周期联动机制的差异性分析

Comparison of the Relationship between Monetary Growth Uncertainty and Business Cycle in China and the U.S.

本文基于时变参数马尔科夫阶段变迁模型,通过甄别中美两国货币增长不确定性与经济周期联动机制的差异性,发现中国(美国)货币增长不确定性处于"低波动状态"的持续性弱于(强于)其处于"高波动状态"的持续性,非预期货币政策对宏观经济稳定性产生微弱(显著)的冲击影响,由货币政策冲击引发的货币增长不确定性能够促进(阻碍)宏观经济增长,而由宏观经济冲击引发的货币增长不确定性能够抑制(微弱推动)宏观经济增长;与美国相比较,中国货币增长不确定性总体更为剧烈,其处在"低波动阶段"时的持续性更弱而处在"高波动阶段"时的持续性更强;中国货币增长不确定性主要由宏观经济冲击所引致,而在美国宏观经济冲击以及货币政策冲击共同产生货币增长不确定性,此外在美国货币增长不确定性较高的时期,货币政策冲击所引发的货币增长不确定性占主导地位。

Based on time-varying parameter Markov regime switching model and analysis of the differences between monetary growth uncertainty and business cycle linkage mechanism of China and the U.S,we find that 1） the persistence of monetary growth uncertainty in the ＂low volatility state＂China（U.S.）is weaker（stronger） than that it is in the ＂high volatility state＂,2） unexpected monetary policy has a weak（significant） impact of macroeconomic stability,3） the monetary growth uncertainty caused by monetary policy shocks can facilitate（hinder） macroeconomic growth and 4） the monetary growth uncertainty arising from macroeconomic shocks can inhibit（weakly promote） macroeconomic growth.Compared to the U.S,China＇s monetary growth uncertainty is more violent,the persistence is weaker in the ＂low volatility regime＂ and stronger in the ＂high volatility regime＂;China＇s monetary growth uncertainty is mainly caused by macroeconomic shocks.In the U.S,the shocks from both macroeconomic development and monetary policy changes constitute the monetary growth uncertainty.In addition,when the money growth uncertainty is high in the U.S,the shocks caused by monetary policy changes should usually play a dominant role.