欧元区单一货币政策区域非对称效应的实证研究——基于VAR方法的检验

Monetary Policy and Regional Asymmetric Effects in Euro Zone——Empirical Tests based on VAR Method

本文试图在开放宏观框架下检验欧元区单一货币政策冲击给各成员国带来的区域非对称效应。首先,通过考察欧元区货币政策传导渠道检验区域非对称效应的产生机制;其次,运用VAR模型和脉冲响应函数(IRFs)检验货币政策区域效应的程度;最后,运用分时段VAR模型检验货币政策区域效应的内生性。结果表明,欧洲单一货币政策对各成员国产生非对称冲击,且非对称效应未出现收敛性,欧元区宏观政策协调的成本和难度加大。

This article attempts to inspect the regional asymmetric effects of European single monetary policy under the framework of open cs. First of all, we test the generating mechanism of regional asymmetric effects through investigating the transmission channel of monetary policy; secondly, we use VAR model and impulse response functions （IRFs） to test the regional effects of monetary policy empirically; thirdly, we use time interval VAR model to test the endogenity of regional effects of monetary policy. The results show that, the European single currency policy has produced asymmetric shocks on each member, and the asymmetric effects have not presented convergence. Euro zone＇s macroeconomic policy coordination will be costly and difficult.