基于政策工具视角的我国货币政策冲击效应研究

Effects of China's Monetary Policy Shocks:A Perspective of Instruments

本文在SVAR框架下构建一种混合识别法以考察主要货币政策工具(公开市场业务、准备金率、利率工具)实施的冲击对产出和价格的影响。研究发现:(1)紧缩性货币政策冲击对产出和价格施加负向影响;公开市场卖出或提高准备金率引致的冲击对产出有更强的影响;利率工具冲击使价格经历一个更持久的下跌过程;(2)准备金率冲击和公开市场冲击对产出预测方差有更大解释份额,而利率冲击对价格的长期限预测方差有更强解释力。

We evaluate and compare effectiveness of main instruments （i. e. open market operation, required reserve ratio and interest rates） of the PBOC through developing a mixed identification method that combines pure sign restrictions with some short restrictions in a structural VAR model. We find a contractionary monetary policy shock exerts negative effects on real output and price. In terms of impulse responses and variance decompositien, RRR and open market operation shocks bring stronger effects on real output while interest rate shock influences price dynamics more powerfully.