基于政策工具视角的我国货币政策冲击效应研究
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| Title | An Investigation of China’s Monetary Policy Shock from a Perspective of Instruments
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| 作者 | 田磊 陈浪南 |
| Author | Tian Lei and Chen Langnan |
| 作者单位 | 中山大学岭南学院；中山大学经济研究所 |
| Organization | LingnanCollege, Sun Yat-Sen University |
| 作者Email | tl19381@yahoo.com.cn；lnscln@mail.sysu.edu.cn |
| 中文关键词 | 货币政策工具 结构向量自回归 贝叶斯估计 符号限制识别法 |
| Key Words | Monetary Policy Instruments; SVAR; Bayesian Estimations; Sign Restrictions |
| 内容提要 | 本文在SVAR框架下构建一种结合纯符号限制识别法和基于传统识别法中零约束条件的混合识别法，考察由中国人民银行的某一政策工具，即公开市场业务、准备金率或利率工具实施的冲击对产出和价格的影响。我们发现：(1)紧缩货币政策冲击对产出施加负向影响；相比于利率工具实施的冲击，公开市场卖出、特别是提高准备金率，引致的冲击对产出有更强的影响。(2)紧缩货币政策冲击对价格施加负向影响；利率工具实施的冲击使价格经历一个更持久的下跌过程。(3) 提高准备金率或公开市场卖出引致的冲击对产出的预测方差有更大的解释份额，而利率工具实施的冲击对价格的长期限预测方差有更强的解释力。本文最后给出了今后实施紧缩货币政策时应优先考虑利率工具的建议。 |
| Abstract | This paper evaluates and compares the effects of a monetary policy shock implemented by one certain tool of the people’s bank of China ,say, open market operation, the required reserve ratio and interest rates, through constructing a mixed identification method that combines the pure sign restrictions method with some zero restrictions in a structural VAR model. We find, (i) a contractionary monetary policy shock exerts a negative effect on real output; a shock induced by raising the required reserve ratio brings the strongest effect, while a shock produced by raising interest rate exerts the weakest effect.(ii) a shock caused by raising interest rate brings price a persistent declining course (iii) a shock caused by raising the required reserve ratio or open market sales accounts for a bigger fraction of the forecast error variance in real output. A shock induced by raising interest rate explains a bigger fraction of the long-horizon forecast error variance in price. Our result implies the Chinese authority should give a priority to the instrument of interest rate when trying to tame inflation in the future. |
| 文章编号 | WP234 |
| 登载时间 | 2012-02-24 |
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