非预期货币政策,价格波动与实际产出

The Unanticipated Monetary Policy,Prices Fluctuations and Output

本文采用ARIMA模型将货币供给量分为预期货币供给量和非预期货币供给量,以非预期货币供给量作为因变量,运用协整,脉冲响应和方差分解等方法对我国目前货币政策的有效性进行了检验。实证结果表明:在长期,非预期的货币政策显著影响实际产出和物价水平,而且呈负相关;在短期,非预期货币供给量对实际产出的影响呈周期性变化,而对物价水平的影响则没有此特征。总之,目前我国增加货币供给量能够影响国内经济指标,即货币政策在我国是有效的。

In this paper, we use the ARIMA model to decompose money supply into unanticipated money supply and the anticipated money supply. Then, we use the unanticipated money supply as the dependent variable, and use the cointegration theory, impulse response analysis, and variance decomposition methods to test whether the monetary policy in our country is effective. The empirical results show that in the long term, the unanticipated monetary policy has a negative influence on the output and the price level. In the short term, the unanticipated money supply influences output cyclically, while the influence of the price level has no such characteristics. In a word, at present the increasing monetary supply in our country can affect domestic economic index, namely monetary policy in our country is effective.