中国货币政策冲击的测度与对经济波动的贡献

Measurement of Monetary Policy Shocks and Their Contribution to Economic Fluctuations

本文构建我国的宏观经济信息集并从中提取共同因子，基于共同因子组成的VAR模型，确定我国货币政策冲击的可靠测度，基于此分析货币政策冲击对经济波动的贡献。本文的主要结论是：短期利率的新息是货币政策冲击的可靠测度，所识别的货币政策冲击的效应和基本共识相符；2003-2006年我国货币政策容易过度，紧缩时“过紧”、宽松时“过松”，2009年后我国货币政策冲击的波动幅度显著下降，货币政策改进明显；货币政策冲击分别解释货币政策和产出波动的25．4％和11％，历史分解也显示货币政策冲击没有导致产出的持续大幅波动，因此货币政策冲击不是我国经济波动的主要冲击源。

This paper constructs a large macroeconomic information set, from which we extract a few common factors. Based on a factor-augmented VAR, we evaluate candidate indicators of monetary policy shocks, and analyze their contribution to economic fluctuations. We find that short-term interest rate innovations behave well as indicators of monetary policy shocks, because identified effects of monetary policy shocks are in line with basic consensus. Our results show that monetary policy was either too loose or too tight from 2003 to 2006, but the volatility of monetary policy shocks decreased after 2009 indicating monetary policy has been improved significantly. Monetary policy shocks explain 25.4 percent and 11 percent of monetary policy and output respectively. Historical decompositions show that most of sharp fluctuations in output were not explained by monetary policy shocks. Thus, monetary policy shocks are not the main source of China＇s economic fluctuations.