一种估计并分解宏观经济政策动态因果效应的方法

An Approach Estimating and Decomposing Dynamic Causal Effect of Macroeconomic Policies

为了甄别宏观经济政策冲击对非平稳变量的动态因果效应及其持久性和暂时性成分的分解,并以此分析我国货币政策的动态因果效应,本文在潜在结果框架下,基于结构向量误差修正(SVEC)模型提出利用外部工具变量方法进行动态因果效应的估计和推断。首先,在SVEC-IV条件下,根据SVEC模型的结构向量移动平均过程(SVMA)表示识别政策冲击的动态因果效应。其次,通过SVEC模型的结构化Beveridge-Nelson表示将政策冲击的动态因果效应分解为持久性成分和暂时性成分,获得政策冲击的长期因果趋势效应和短期动态因果效应。最后,对我国货币政策的动态因果效应进行实证研究,研究发现,当前我国货币政策传导存在一个季度阻滞且商业银行同业拆借市场具有弱有效性。本文所构建的理论方法将成为宏观经济政策动态因果效应分析的有力工具。

In order to identify the dynamic causal effects of macroeconomic policy shocks on non-stationary variables and the decomposition of their permanent and temporary components, this paper analyzes the dynamic causal effects of China’s monetary policy. In the framework of potential outcomes,this paper proposes to estimate and infer dynamic causal effects using external instrumental variables based on the Structural Vector Error Correction(SVEC) model. Firstly, under the SVEC-IV condition, the dynamic causal effect of policy shocks is identified according to the Structure Vector Moving Average(SVMA) process of the SVEC model. Secondly, through the structured Beveridge-Nelson representation of SVEC model, the dynamic causal effect of policy shocks is decomposed into permanent components and temporary components, and the long-term causal trend effect and short-term dynamic causal effect of policy shocks are obtained. Finally, the empirical study on the dynamic causal effect of China’s monetary policy finds that the current monetary policy transmission in China is blocked in the first quarter and the commercial bank interbank lending market is weak and effective. The theoretical method constructed in this paper will provide a powerful analytical tool for evaluating the dynamic causal effect of macroeconomic policies.