我国货币政策宏观调控效应的时变特征

Time-Varying Characteristics of Monetary Policy Effect in China: Based on TVP-VAR model

通过建立时变参数向量自回归模型,分析我国实际同业拆借利率、实际贷款利率和实际利率缺口对通货膨胀率、产出缺口和失业变化率的冲击影响,以此考察我国货币政策宏观经济调控效果的时变特征。分析结果表明,我国货币政策对失业率的调控效果没有明显的时变特征,但对通货膨胀和经济波动的冲击影响却呈现出明显的弱化趋势。相比之下,实际利率缺口对目标变量的逆风向调控效果最为显著,实际贷款利率冲击次之。这些研究结果为进一步推进我国利率市场化改革、提高货币政策宏观调控的前瞻性和有效性提供了有益的经验参考和政策启示。

This paper analyses how China's interbank rate,real loan interest rate and real interest gap impact inflation rate,output gap and unemployment rate based on TVP-VAR model.The purpose of the study is to investigate timevarying characteristics on interest rate policy effect in China.According to our analysis,the impact of monetary policy on the unemployment rate does not show time-varying characteristics,the effect on inflation and economic fluctuation has been weakened.In contrast,the interbank rate has a prompt impact on target variables,but the real interest gap is the best tool for macroeconomic regulation and control according to its effect.It turns out that these results provide useful experience to promote interest rate market reform,to enhance forward looking and effectiveness of macroeconomic regulation and control policies in China.