开放经济背景下中国货币财政政策的非对称效应

Asymmetric Effects of China's Monetary and Fiscal Policy in the Open Economy

在后金融危机时期,以货币和财政政策为代表的宏观调控受到理论界和政策制定者的空前关注。本文选取1996年1月-2010年8月的月度数据,通过构建多变量的马尔可夫区制转移向量自回归(MSVAR)模型,检验了开放经济条件下我国货币财政政策的非对称效应。模型估计结果支持以通货膨胀率、股市收益率和人民币兑美元汇率的升值速度作为描述三区制经济状态的指标变量。分区制的累积脉冲响应分析表明,在不同状态区制下,货币供应量、信贷、利率、财政支出和人民币汇率对经济系统具有非对称的影响。

Macro-economic adjustments, represented by monetary and fiscal policies, have been attracting unprecedented attention from the theoretic field and those decision makers alike. Based on China＇s monthly data from 1996：01 to 2010： 08, this paper uses a multivariate Markov-switching vector auto-regression model to test the asymmetric effects of China＇s monetary and fiscal policies in the open economy. The estimation results justify the adoption of inflation, stock market returns and the appreciation speed of the RMB/$ exchange rate as indicator variables to define those three different regimes. Regimedependent impulse response analysis indicates that monetary supply, bank loan, interest rate and RMB exchange rate have asymmetric effects on the economic system in different regimes.