基于MS-VECM模型的我国货币政策非对称研究与启示

Non-Symmetrical Study of Monetary Policy in China and Revelation Based MS-VECM Model

通过建立马尔可夫区制转移误差修正模型(MS-VECM)模拟我国货币政策对经济的非对称影响,以此分析我国货币政策的有效性。根据经济波动幅度,将我国经济划分为高波动和低波动两个区制状态,经济增长波动剧烈的区制下向均衡状态调整速度快于经济波动幅度较低区制下的调整,论证了我国货币政策对经济的影响在不同区制下存在非对称性。并用模型对我国经济状况进行了模拟预测,利用这种非线性的模型能够很好地预测货币与产出增长关系,表明现阶段我国经济运行状态是一低波动区制下的正常回落,目前不宜出台强扩张性的货币政策刺激经济增长。

In order to analyze the effectiveness of monetary policy we establish a Markov Regime Switching Error Correction Model （MS-VECM） to simulate the asymmetric impact of monetary policy on the economy. The economy in China？will be divided into two Regimes of high volatility and low volatility according to economic fluctuations. We find economy toward to the equilibrium in high volatility faster than low one. Demonstrate the existence of asymmetric impact of monetary policy on the economy in different regimes. The prediction results with this model simulating actual state of the economy have shown the Non-linear error correction model can well pre-dict the relationship between money growth and output. The current economic state in China is running normally in low volatility based on this article revelation. At this situation it is unnecessary to carry out some strong expansionary monetary policies to promote growth.