经济政策不确定性下货币政策有效性研究

Research on the effectiveness of monetary policy under the uncertainty of economic policy

通过MS-AR模型将经济政策不确定性指数划分为三个区制,运用LT-TVP-VAR模型来分析经济政策不确定性冲击对数量型与价格型货币政策工具有效性的影响,运用SV-TVP-VAR模型测度不同经济政策不确定性下,数量型与价格型货币政策工具对产出缺口和通胀缺口的时变反应。研究结果表明:经济政策不确定性程度上升,能够降低货币政策有效性,进而促使中央银行加大货币政策调控力度。在货币政策规则和工具选择上,数量型货币政策工具对产出缺口的长期调控效应明显,短期效应存在滞后性,且随着经济政策不确定性的上升会出现政策效应减弱现象;价格型货币政策工具在经济政策不确定性的不同水平下,都能够对产出缺口进行有效调控,但是当经济政策不确定性较低时,对通胀缺口的调控能力不足。上述实证结论,对在不同经济政策不确定性下选择货币政策规则和工具提供了经验证据和支持。

This paper exploits first MS-AR model to divide index of economic policy uncertainty into three regimes,then LT-TVP-VAR model to analyze the impact of economic policy uncertainty shocks on the effectiveness of quantitative and price-based policy tools,and finally the SV-TVP-VAR model to measure the time-varying effects of quantitative and price-based monetary policy tools on the output gap and inflation gap under different economic policy uncertainties.The results show that the increase of economic policy uncertainty can reduce the effectiveness of monetary policy and urge the central bank to increase the intensity of monetary policy.In terms of the selection of monetary policy rules and tools,quantitative monetary policy tools have obvious long-term regulation effect on the output gap,while the short-term effect is lagging behind,and with the increase of economic policy uncertainty,the policy effect weakens.Price-based monetary policy tools can effectively control the output gap under different levels of economic policy uncertainty,but when the economic policy uncertainty is low,the ability to regulate the inflation gap is insufficient.The above empirical conclusions provide empirical evidence and support for us to choose monetary policy rules and tools under different economic policy uncertainties.