中国货币政策的产业非对称效应——基于门限向量自回归模型的实证研究

Asymmetric Effects of Monetary Policy on Industries in China——Based on an Empirical Research of the Threshold Vector Autoregressive Model

在相机抉择思想指导下的货币政策,不仅对宏观经济总量波动具有调控作用,而且对不同产业的经济增长产生非对称的影响。通过建立门限向量自回归模型、取消对模型内不同方程赋予相同门限值的约束、利用历史数据和脉冲响应函数方法,实证检验出我国货币政策具有显著的产业非对称效应,为货币政策的产业结构调控功能提供了经验支持。研究结果表明:在我国目前的经济金融环境下,货币政策在总量调节基础上对不同产业实施差别调控具有合理性和必要性。

The discretionary monetary policy not only affects the aggregate economic variables,but also has asymmetric impacts on the economic development of different industries.By setting up a threshold vector autoregressive model,this paper allows different functions to have their own threshold values.Based on the historical data and the impulse response function method,it concludes that the monetary policy has significant asymmetric industrial effects.This result provides empirical support to regulating the industrial structure with monetary policies.In addition,the result suggests that it is reasonable and necessary for us,based on the gross adjustment,to implement differentiated regulations of the monetary policy on different industries in the current economic and financial environment.