中国经济波动分解及异质性货币政策冲击的动态响应机制

The decomposition of Chinese economic fluctuation and the dynamic response of monetary policy shocks

文章通过构建随机扰动变参数因子扩展的向量自回归模型(SV-TVP-FAVAR模型),对中国经济波动进行结构性及周期性因素分解,在此基础上给出异质性货币供给冲击对经济变量的动态影响特征。得出以下结论:结构性因素解释经济波动的34.12%,周期性因素解释经济波动的65.88%,两种因素的影响效果明显不同;样本期内,货币政策变量具有3个转折点,分别为1961年、1978年及1996年;不同经济波动成分对货币政策冲击的响应存在较大差异;不同的经济状态也会对货币政策的调控存在影响。

In this paper, we construct a factor-augmented vector auto-regressive model with time-varying coefficients and stochastic volatility, and use it to decompose the economic fluctuation. Based on this, we give the dynamic response of the mainly economic variables to the monetary policy shock. The results show that： 1）Structural factors explained 34. 12% of economic fluctuation, cyclical factors explained 65. 88%, the two factors have significant influence on the economy; 2） During the sample period, there are three break points. They are1961, 1987 and 1996; 3） Different variables have different response to the shock of monetary policy; 4） In different period, the response of the economic variables to the monetary policy shock has significant difference.