基于SVAR模型的货币政策传导效果研究

Empirical Study on Transmission Effect of Monetary Policy Based on SVAR Model

利用2004年1月至2011年3月中国大陆31个省(自治区、直辖市)的月度数据,建立结构向量自回归模型,利用脉冲响应函数,对我国货币政策的省际传导渠道和传导效果进行实证研究。结果表明:我国货币政策的传导效果——无论从政策工具到中介目标,还是从中介目标到实体经济,都存在明显的省际差异。依据实证结果,从稳物价、促增长和缩小地区间差距等方面,对构建差别化货币政策的实施体系提出建议。

Using the monthly data of 31 provinces, autonomous regions and municipalities in Chinese mainland from January 2004 to March 2011, this paper estimates the structural vector autoregression model and employs the impulse response function to study the provincial channels and the effects of China＇s monetary policy empirically. The result shows that there are the significant differences in the transmission effect of Chi- na＇s monetary policy at interprovincial level not only from policy tool to intermediary goal, but also from intermediary target to real econo- my. According to these empirical results,it offers some advices to the implementing system of differentiation monetary policy for the goals of sta- bilizing price, promoting economic growth and narrowing regional gap.