摘要
通过构建中国宏观经济月度数据集,运用时变参数动态因子(TVP-FAVAR)模型,考察了产出和价格部门分量的波动特征及其在不同外生冲击下的脉冲响应,探讨了主要宏观经济变量的动态波动及货币政策冲击对变量脉冲响应的时变特征。实证结果表明:产出和价格月度部门分量的波动主要源自特质成分冲击,其可分别解释产出和价格分量总波动的85.4%和57.3%;新时期货币政策规则转变的效果显著,短期利率冲击对经济变量的影响效应明显增强。
Through the construction of the set of China’s macroeconomic monthly data,we applied the time-varying parameter dynamic factor(TVP-FAVAR)model to document the fluctuation characteristics of disaggregated output and prices,as well as the implulse response with different exogenous shocks.Here we aimed to analyze the time-varying characteristics of the variable impulse response with the dynamic fluctuation of macroeconomic variables and the shocks of monetary policies.We find that,the shock of trait components has mainly made the fluctuation of the monthly disaggregated price and output,which could explain the total fluctuation of output and price by 85.4%and 57.3%.Moreover,the change of monetary policy in new era has worked well,and the shock of shortterm interest rate has affected economic variables more significantly.
作者
李亮亮
LI Liang-liang(School of Economics,Sichuan University,Chengdu 610065,China)
出处
《山西财经大学学报》
CSSCI
北大核心
2019年第8期29-43,共15页
Journal of Shanxi University of Finance and Economics
关键词
特质成分
共同成分
时变动态因子模型
部门价格
货币政策
trait componets
common components
time-varying dynamic factor mode
sectoral price
monetary policy
