基于STR模型的我国货币政策非对称效应检验

Testing Asymmetric Effects of Monetary Policy Based on STR Model

尽管货币政策操作是货币当局实施宏观经济调控的重要手段，但货币政策的作用效果却可能随着货币冲击的方向、强度以及宏观经济所处经济周期阶段的不同而有所差异。本文利用非线性平滑迁移回归模型（STR）对货币政策上述三种非对称效应进行了检验。结果发现，我国货币政策存在冲击方向和经济周期非对称性。紧缩性货币政策对经济的减速作用大于扩张性货币政策对经济的加速作用，并且货币政策在经济扩张期的实际效应大于在经济收缩期的实际效应。

Although monetary policy is an important means of macroeconomic regulation, but the effect of monetary policy will vary with the sign, the size of monetary shocks, and the phase of the business cycle. In this paper, we use a smooth transition regression model （STR） to test the above asymmetry effects of monetary policy. It was found that there are asymmetric effects of monetary policy on output. Tight monetary policy slows the economy more than easy monetary policy accelerates the economy. And monetary policy had asymmetric impacts on economic activities in different phase of business cycle. Monetary policy had more effect on output in the booms than in the recessions.