中国数量型和价格型货币政策的价格时变效应——基于CPI与PPI“虚假背离”的分析

The Time-varying Effects of Quantitative and Price-based Monetary Policy in China:An Analysis Based on “Spurious Divergence” Between CPI and PPI

近年来,中国CPI与PPI多次出现背离式增长,中央银行的货币政策陷入两难。通过构建SVTVP-FAVAR模型,利用三维脉冲响应分析货币政策对CPI与PPI的时变效应及CPI与PPI相对背离的宏观经济效应。结果显示:数量型和价格型货币政策均具有价格效应,效应维度、效应极值与经济周期、价格指标有关;因此,从CPI与PPI背离的宏观经济效应看,CPI与PPI的阶段性背离实属"虚假背离",并未带来"外部不经济"。新常态下,中央银行应充分认识CPI与PPI的背离态势,破解物价调控失效的"货币政策之谜"。

In recent years,China's CPI and PPI repeatedly showed divergent growth,which put the Central Bank's monetary policy into a dilemma.This paper analyzes the time-varying effects of the monetary policy on CPI,PPI and macroeconomic effects of the relative divergence between CPI and PPI through three-dimensional impulse responses based on the SV-TVP-FAVAR model.The results show that:quantitative and price-based monetary policies have price effects;and the effect dimension and the effect extreme value are related to the economic cycle and price index;Viewing from the macroeconomic effects of the divergence between CPI and PPI,the phased divergence between CPI and PPI is"spurious divergence",which doesn't bring forth"external diseconomies".Under the new normal,the Central Bank should fully recognize the divergence between CPI and PPI and crack the"monetary policy paradox"of price controlling failure.