我国货币政策传导机制的结构式VAR分析

SVAR Analysis of Monetary Policy Transmission Mechanisms of China

使用结构式VAR模型分析中国的货币政策传导机制,向量自回归模型的识别约束是建立在成对变量的恩格尔-格兰杰因果检验和协整检验等实证关系基础上,而不是直接来源于经济理论,从产出、价格、短期利率、信贷以及资本价格五个渠道研究了我国货币政策的传导机制.研究发现,货币政策的效果主要通过利率渠道反映出来,而产出、价格、信贷以及资本价格等渠道则相对微弱,表明除短期利率之外,货币政策在金融机构内部的传导以及从金融机构到实体经济的传导效果微弱.

The study of monetary policy transmission mechanisms of China is empirical based on SVAR,not traditional economic theory.There are GDP,CPI,short term interest rate,credit,stock price in the SVAR model.It is found that monetary policy mainly works through short term interest rate channel,not the other four channels.The effect s of monetary policy transmission both in financial institutions and from financial institutions to real economics are weak.