中国货币政策波动性的评估及其宏观经济效应分析

The Estimation of Volatility of Monetary Policy and Its Macroeconomic Effect in China

本文运用马尔科夫区制转移模型和GARCH族模型,实证考察了中国货币政策的波动性及其原因,并通过构建时变参数向量自回归模型分析"价格型"和"数量型"货币政策波动的宏观经济效应。研究结果显示中国货币政策波动对宏观经济目标变量的影响存在显著的阶段性差异;货币政策波动性较大时,其对经济增长和通货膨胀的溢出效应明显减弱,甚至对宏观经济目标变量产生负面影响。因此,保持货币政策的稳定性和连贯性不仅有助于提高货币政策的宏观调控效果,更是新常态下维持经济中高速增长、促进经济结构升级转型的重要保障。

This paper empirically studied the volatility of monetary policy in China by Markov regime-switching model and GARCH model. Furthermore, it studied the macroeconomic effects of price-oriented and quantitative monetary poli-cies′volatility based on the time-varying parameter vector autoregressive model. The results show there is significant difference between different stages about the influence of the monetary policy volatility on macroeconomic target variables. When monetary policy volatility is severe, its spillover effect on economic growth and inflation is obviously weakened, e-ven turns into a negative impact. Thus, maintaining the stability and continuity of monetary policy can not only improve its effect of macroeconomic regulation and control, but also guarantee the moderate and high speed of economic growth and the upgrading and transformation of economic structure.