基于STAR模型的中国货币政策对产出影响的非对称性研究

Asymmetric Effects of Monetary Shocks on Output Based on STAR Model

对中国GDP增长率建立以可预期到的货币冲击、未预期到的正向货币冲击和未预期到的负向货币冲击滞后三期为转移变量的LSTAR模型,拟合效果良好,分析不同类型的货币冲击对产出的非线性和非对称性影响,给出可预期到的货币冲击、未预期到的正向货币冲击和未预期到的负向货币冲击的阀值,分别为20.03%、2%和1.58%,说明不同类型的货币冲击对产出呈现不同的非对称性影响,强弱机制的转换区间存在差异,且负向货币冲击的阀值小于正向货币冲击的阀值。研究结果表明中国的货币政策存在显著的非线性和非对称性特征,且紧缩性货币政策比扩张性货币政策更有效。

In this paper ,the author makes the smooth transition auto regressive model （STAR） based on the growth rate of China＇s GDP ,and uses the expected positive and negative unexpected monetary shocks as transitional variables . T he imitative effect is good , and then it is show n that different of nonlinear and asymmetric influences are appeared among expected and unexpected monetary shocks .The threshold value can be used to measure the degree of the expected positive and negative unexpected monetary shocks ,20 .03% ,2% and 1 .58 respectively .It show s that there are some asymmetric effects of monetary shocks on output .The threshold value of negative unexpected monetary shocks is less than that of positive unexpected monetary shocks . The paper results shows that monetary policy is absolutely nolinear and asymmetric ,and the effect of tight -money policy is better than the easy monetary policy .