基于TVP-VAR模型的信心、货币政策与中国经济波动研究

A Study on Confidence,Monetary Policy and China′s Economic Fluctuation Based on TVP-VAR Model

企业家信心和消费者信心在宏观经济的发展中扮演着重要角色,而企业家信心和消费者信心往往为传统的货币政策文献所忽略。本文将企业家信心和消费者信心纳入能够反映时变特征的TVP-VAR模型中,研究中国经济波动的时变成因,研究结果表明:(1)企业家信心和消费者信心的提高扩大了内需,并通过影响货币政策中介变量推动了宏观经济的发展。(2)公众会通过货币政策的调整对未来进行预期,因此,货币政策的调整能够影响企业家信心和消费者信心,进而对内需产生影响。(3)从时变角度看,企业家信心的单位正向冲击在整个样本区间内均会促进经济的增长,货币增长率的提高在短期内对经济增长率有促进作用,在长期内会阻碍经济的增长,消费者信心、利率与经济增长率在短期内呈反向变动的关系,在长期内呈正向变动的关系。

Entrepreneurial confidence and consumer confidence play an important role in macroeconomic development,and entrepreneurial confidence and consumer confidence are often overlooked in traditional monetary policy literature.At the same time,due to the different changes of China′s macro-economy,in order to study the times-varying characteristics of China’s macroeconomic fluctuations,the data are selected from the first quarter of 2005 to the fourth quarter of 2017 and the TVP-VAR model is adopted,which can reflect the varying characteristics,to analyze the relationship between entrepreneur confidence,consumer confidence and monetary policy,the influence of entrepreneur confidence,consumer confidence and monetary policy on inflation rate and economic growth rate respectively.In particular,the summary is as follows.Method:In order to examine the time-varying characteristics of entrepreneur confidence,consumer confidence,monetary policy and Chinese macroeconomic fluctuation,TVP-VAR model is used to estimate.The complete estimate equation is as follows:yt=Xtβt+At-1Σtεt Where,yt={Rt,M2 t,QXt,XXt,CPIt,GDPt},let at=(a21,t,a31,t,a32,t,a41,t,…,a,kk-1t)′,which is the column vector formed by the non-zero and one elements in the lower triangle,meanwhile,let ht=(h1t,…,hkt)′,hjt=logσjt2,j=1,…,k,t=s+1,…,n.Data:Six variables of entrepreneur confidence,consumer confidence,interest rate,money growth rate,economic growth rate and inflation rate are chosen to construct TVP-VAR model.Among them,the entrepreneur confidence and consumer confidence respectively with QX and XX,as the 7 th interbank borrowing rate data can well reflect the supply and demand of short-term funds,so it is used to express interest rate R;M2 expresses the monthly growth rate of the generalized currency by the rate of currency growth;The CPI is used to represent the inflation rate,and the growth rate of GDP is represented by the growth rate of GDP.In order to eliminate the effect of seasonal trend,this paper makes census X-12 seasonal adjustment is made to all the data.All data is from wind database.Results:(1)The increase of entrepreneurs’confidence and consumer confidence has expanded domestic demand and promoted the development of macroeconomic by influencing the intermediary variables of monetary policy.(2)The public will anticipate the future through the adjustment of monetary policy,therefore,the adjustment of monetary policy can affect the confidence of entrepreneurs and consumer confidence,and thus have an impact on domestic demand.(3)From a time-variant perspective,the unit positive impact of entrepreneurial confidence in the entire sample range will promote economic growth;The increase in the growth rate of money in the short term to promote economic growth,in the long run will hinder economic growth,consumer confidence,interest rates and economic growth rate in the short-term reverse changes in the relationship,In the long-term positive changes in the relationship.Contribution:The application of TVP-VAR model provides a new research idea for the research of related problems,meanwhile,the research content of this paper is very important for the effective implementation of monetary policy,the prevention of excessive inflation and the promotion of high-quality economic growth.