我国货币政策传导效应的时变特征研究——基于社会融资规模的TVP-VAR模型检验

The Study on Time-varying Characteristics of the Monetary Policy Transmission Effect in China——Test of TVP-VAR Model Based on Social Financing Scale

本文通过建立TVP-VAR模型,采用2003年一季度至2019年四季度的季度数据,从社会融资规模的总量和结构的双重视角绘制等间隔脉冲响应函数和时点脉冲响应函数,分阶段探讨货币政策传导至金融市场、金融市场传导至实体经济的时变特征。分析结果表明,社会融资规模中间目标的合理性逐步凸显,货币政策对其调控愈益有效;从总量上看,社会融资规模的扩大具有正向的产出效应和价格效应,但在一定程度上导致了货币政策传导的时滞效应;从结构上看,直接融资和间接融资仍具有较强的替代效应,直接融资能够更有力地促进经济繁荣。据此,本文提出了提高我国货币政策传导效应的相关政策建议。

This paper establishes a TVP-VAR model and uses quarterly data from the first quarter of 2003 to the fourth quarter of 2019 to draw the equal interval impulse response function and time-point impulse response function from the dual perspective of the total and structure of social financing scale,and discuss the time-varying characteristics of the transmission of monetary policy to the financial market and the transmission of the financial market to the real economyin stages.The conclusions of this paper are as follows:with the gradual progress of China’s monetary policy transformation,the rationality of the intermediate goal of social financing has gradually become apparent and monetary policy has become more effective in its regulation.From the perspective of scale,the expansion of social financing has positive effects on output and price,but to some extent the expansion of financing scale has led to the fact that the time delay is more obvious in China.From the view of structure,there is still a strong substitution effect between direct financing and indirect financing and direct financing can promote economic prosperity more effectively.Accordingly,this article puts forward relevant policy recommendations to improve the transmission effect of my country’s monetary policy.