紧缩性货币政策冲击、成本渠道与通货膨胀——来自中国的检验

On the Shock,Cost Channel and Inflation of Tight Monetary Policy:Evidence from China

本文在新凯恩斯主义动态宏观经济分析框架中引入成本渠道,构建了含成本渠道的"混合型"新凯恩斯主义菲利普斯曲线,进而分析了货币政策传导的成本渠道总供给效应对通货膨胀的影响。文章首先采用中国宏观经济季度数据和SVAR方法,验证了货币政策冲击对通货膨胀的动态影响,在此基础上运用GMM方法,对引入成本渠道的菲利普斯曲线进行了估计,检验了中国货币政策传导中成本渠道的存在性。结果表明,紧缩性货币政策在短期内增加企业融资成本,推高通货膨胀。因此,央行在最优货币政策的制定和执行上,不仅需要考虑货币政策的总需求效应,而且应该考虑它的总供给效应。

This paper examines the effect of aggregate supply via cost channel in monetary policy transmission. In this study, the authors develop a hybrid New Keynesianism Phillips Curve through introducing cost channel to DSGE, test the existence of cost channel, and then estimate the Phillips Curve using GMM approach. The empirical results show that： （1） cost channel exists in monetary policy transmission in China; （2） tight monetary policy will raise price level through increasing financial cost of firms in short term. Therefore, the central bank should not only consider the aggregate demand effect, but also should take into account aggregate supply effect in the design of optimal monetary policy.