G20国家差异化金融条件下货币政策的非对称性传导研究

Research on the Asymmetric Conduction of Monetary Policy under G20 Countries’ Differentiated Financial Conditions

本文基于动态模型选择-时变参数-因子扩展的向量自回归模型(DMS-TVP-FAVAR)构建金融条件指数(FCI),度量G20主要成员国的金融状况,进而建立以FCI为转移变量,包括货币供应量、利率以及经济增长等货币政策工具变量与目标变量在内的面板平滑转移回归模型(PSTR),以研究G20成员国及其中的发达国家和新兴经济体货币政策传导的非对称效应。研究结果表明:G20国家中的发达国家金融市场波动幅度比新兴经济体更大;数量型货币政策和价格型货币政策不仅在不同金融状况下表现出非对称性,也在不同类型国家之间表现出异质性;当金融状况低迷时,发达国家和新兴经济体数量型货币政策均对产出表现为正向冲击,同时,新兴经济体数量型货币政策的调控效果远高于发达国家,不同的是,价格型货币政策在发达国家表现为正向冲击,在新兴经济体表现为负向影响;当金融状况一般时,发达国家和新兴经济体货币政策估计系数更易平滑转移,说明此时货币政策调控具有不确定性;当金融状况良好时,发达国家数量型货币政策产生负向影响而新兴经济体表现为正向影响,表明货币政策调控效果存在差异性。

Using the Dynamic Model Selection with Time-varying Parameters Factoraugmented Vector Autoregressive model(DMS-TVP-FAVAR),this paper attempted to measure the financial status of key member countries of the G20 through the construction of the Financial Condition Index(FCI).To critically assess the asymmetric effects of the monetary policy transmission on emerging and developed markets of countries that became a part of the G20,the FCI was used as a transition variable so as to construct a Panel Smooth Transition Regression Model(PSTR).To realize this study,the parameters of the model were set to include monetary policy instrumental variables and target variables such as the money supply,interest rates,and economic growth.The results indicate that volatility is most prevalent in financial markets of developed countries in the G20 as compared to developing countries.The quantitative monetary policy and the price-based monetary policy do not only show asymmetry under different financial conditions but also indicate heterogeneity among different countries.Specifically,during sluggish financial conditions,the quantitative monetary policies of developed countries and emerging economies tend to have a positive impact on the output.Similarly,the effect of the quantitative monetary policy adjustments in emerging economies is much higher than that of developed countries.The price-based monetary policy has shown a positive impact in developed countries,while in emerging economies it has shown negative impacts.This suggests that under normal financial conditions,the monetary policy estimation co-efficient of developed countries and emerging economies is easily transferable,which shows the uncertainty of the monetary policy regulation at this point in time.During a financial boom,however,the quantitative monetary policy in developed countries has a negative impact whilst there is a positive effect on emerging economies.This goes on to show that there are differences in the effects of monetary policy regulation.