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货币政策冲击、短期经济增长与通货膨胀预期管理 被引量:2

The Shocks of Monetary Policy,Economic Growth in Short-term and Managing Inflation Expectations
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摘要 借鉴埃斯特雷亚(Estrella)和哈多维利斯(Hardouvelis)的方法检验中国国债长短期利差对宏观经济增长的预测能力,结果表明长短期利差对未来1—5个月和15—17个月的宏观经济增长变动具有显著预测能力。应用VAR模型获取货币政策冲击信息,将长短期利差分解为货币政策冲击因素和非货币政策冲击因素,考察长短期利差预测能力的影响因素,发现长短期利差的短期预测能力主要受货币政策冲击因素影响,中期预测能力主要受非货币政策冲击因素影响。表明央行实施影响国债长短期利差的货币政策可以间接影响短期宏观经济增长预期。对于金融市场主体,可以通过观察短期货币政策变动对国债长短期利差的影响预测短期经济增长趋势。研究结果表明,货币当局应重视通胀预期管理,并将利率期限结构作为货币政策预期管理的重要工具。 In light of the method created by Estrella and Hardouvelis,this paper checks the ability of the short and long term yield spread to forecast macroeconomic growth.The results show that the yield spread has a significant predictive power for the changes of macroeconomic growth in the next 1-5 months and 15-17 months.Further more,for studying the critical factors influencing the yield spread forecasting capabilities,we use VAR model to obtain the shocks of monetary policy,then descompose the yield spread into the shocks of monetary policy and non-monetary policy.The results show that the forecasting capability of the yield spread is mainly affected by the impact of monetary policy factors in short term,while it is mainly affected by the impact of a non-monetary policy factor in medium term.Empirical Evidence shows that the monetary authorities could formulate some targeted monetary policies to affect the yield spread of national bonds,and these policies also implement an impact on short-term macroeconomic growth indirectly.As for the financial market players,they can predict the short-term economic growth trends by observing the effects of changes in monetary policy for the yield spread of national bonds.The results show that the monetary authorities should pay attention to managing inflation expectations,and make the term structure of interest rates as an important tool in the management of monetary policy expectations.
作者 刘明 谌亦雄
出处 《陕西师范大学学报(哲学社会科学版)》 CSSCI 北大核心 2016年第4期122-130,共9页 Journal of Shaanxi Normal University(Philosophy and Social Sciences Edition)
基金 教育部人文社会科学重点基地重大项目(12JJD790020)
关键词 国债长短期利差 宏观经济景气指数 货币政策冲击 经济增长 预期管理 short and long term spreads of treasury bonds macroeconomic climate index impact of monetary policy economic growth expectation management
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