我国货币政策的宏观经济时变效应及其稳健性检验

The Time-varying Effects and Robustness Test of Monetary Policy on Macroeconomics in China

新常态下,我国经济复杂多变,货币政策操作受到严峻考验。本文首先基于SV-TVP-FAVAR模型分析货币政策对宏观经济的三维脉冲冲击效应,进一步运用混频Granger因果方法检验不同时期货币政策宏观经济效应的稳健性。结果表明:数量型和价格型货币政策具有宏观经济效应,调控效果与经济运行阶段有关。在经济萧条期,数量型和价格型货币政策是通货膨胀和产出的"纳什均衡";在经济高涨期,数量型和价格型货币政策是产出和通货膨胀的"纳什均衡";在经济平稳期,价格型货币政策是产出与通货膨胀的"占优策略",数量型货币政策是通货膨胀的"纳什均衡"。

Under the new normal, China’s economy is complicated and volatile, and the operations of monetary policy are severely tested. This paper first analyzes the three-dimensional impulse shocks of monetary policy on macroeconomics based on SV-TVP-FAVAR model, and then analyzes the macroeconomic time-varying effects of monetary policy by three-dimensional impulse responses. Further, the mixed Granger causality is used to test the robustness of macroeconomic effects of monetary policy in different periods. The results show that both quantitative and price-based monetary policies have macroeconomic effects;the regulatory effects are related to the economic operation stages. In the period of economic recession, the quantitative and price-based monetary policies are the "Nash Equilibrium" of inflation and output. In the period of economic prosperity, the quantitative and price-based monetary policies are the "Nash Equilibrium" of output and inflation. In the period of economic steady, the price-based monetary policy is the "Dominant Strategy" of output and inflation, the quantitative monetary policy is the "Nash Equilibrium" of inflation.