经济新常态下价格型货币政策的动态有效性研究

Research on Dynamic Effectiveness of China's Price-based Monetary Policy Under the New Normal of Economy

本文利用TVP-FAVAR模型实证检验经济新常态下价格型货币政策工具的动态有效性。研究表明,在“新常态”的宏观环境下,利率对价格调控滞后3阶有效,随着利率市场化进程推进,2018年利率调控的时滞效应消除,且对价格和产出水平均能有效调控;汇率不能对价格和产出进行有效调控;利率对固定资产投资、房地产投资、进出口、贷款、股票市场等的调控效果较好,而汇率对社会消费品零售总额、进出口、股票市场等调控效果较好。总的来说,利率调控的效果比汇率调控的效果更好。

The TVP-FAVAR model is used to empirically study the dynamic effectiveness of China's price-based monetary policy.The results show that:under the“new normal”,the regulation of interest rate to price level lags behind the third order.With the passage of time,the time lag effect of interest rate regulation in 2018 is eliminated,and the price and output level can be effective regulation;the effectiveness of exchange rate regulation on output and price levels is not significant;interest rate has a better regulatory effect of fixed asset investment,real estate investment,import,export,loans,Shanghai composite index,Shanghai market capitalization and so on,while exchange rate policy has a better regulatory effect of retail sales of consumer goods,import,export,Shanghai composite index,Shanghai market capitalization and so on.In general,the regulatory effect of interest rate is better than the regulatory effect of exchange rate.