我国货币政策工具变量效应的实证分析

An Empirical Analysis of the Effect of Monetary-Policy Instrumental Variables in China

本文利用国内生产总值GDP及相关的货币政策工具变量通过向量自回归模型(VAR模型 )的脉冲响应函数建立了货币政策冲击反应模型 ,在实证分析的基础上分析货币政策工具变量的冲击导致的实际国内生产总值GDP的上下波动。同时利用方差分解技术 ,考察不同货币政策工具变量冲击对国内生产总值GDP的影响及其贡献率的大小。从而为及时准确地调整我国的货币政策 ,实现我国货币政策目标提出参考性的政策建议。

In the paper, we construct a monetary-policy shock-response model by using impulse-response function of the Vector Auto-Regressive model. The model includes GDP and relative monetary-policy instrumental variables. The fluctuation of GDP caused by the shock of monetary-policy instrumental variables is empirically analyzed. Further, we use variance decomposition technology to examine the contribution-rate to the fluctuation of GDP caused by the shock of different instrumental variables. Finally, we put forward some policy suggestions on the monetary-policy in China.