国货币政策效果的区域非对称性研究——来自混合截面全局向量自回归模型的证据

Regional Asymmetries in the Effects of Monetary Policy in China:Evidence from a Mixed Cross-section Global Vector Autoregression Model

本文采用1996至2015年中国30个省区市的季度数据，通过构建MCSGVAR模型，考察了货币政策冲击对区域经济影响的异质性。本文的主要贡献是，在考虑了区域经济溢出效应的同时，刻画了货币政策制定以总体经济状况为依据的特点，克服了现有文献的局限性；使用省区市实际地区生产总值（GRP）季度序列，对货币政策冲击进行了结构化识别，提高了实证结果的精确度。结果显示，各省区市经济活动对货币政策冲击的反应趋势特征相似，但程度却存在差异；同时，这种非对称性还表现出一定的地域特征，并与“八大综合经济区”的区域划分方式吻合；累积来看，货币政策的产出效应在东北和黄河中游地区最为明显，在长江中游、北部沿海、大西南和东部沿海地区程度相近，在南部沿海和大西北地区则相对较弱。这一研究对准确测度货币政策效果、提高货币政策有效性具有一定现实意义。

This paper investigates the effects of monetary policy across different regions in China. An MCSGVAR model is estimated for the 30 provinces of China from 1996Q1 to 2015Q4. It advances research in this area by explicitly modeling the determination of monetary policy as a function of nationwide output growth and inflation, as well as by taking into account the spillover effects among regional economic activities. Also, it provides more precise results by constructing and employing a quarterly series of real GRP for each province, as well as by considering structural identification of monetary policy shocks. The results suggest similar time patterns of regional economic activities in response to monetary policy shocks, but pronounced asymmetries with regard to the degree. Also, there appears to be a regional pattern to the heterogeneity. In cumulative sense, the effect of monetary policy on real output is the most noticeable in the northeast and the middle Yellow River region, similar across the middle Yangtze River, the northern coast, the southwest and the eastern coast region, while relatively modest in the southern coast and the northwest region. These results underscore the importance of accounting for regional heterogeneity when formulating and assessing national monetm＇y policy.