货币调控方式与中国货币政策冲击的有效识别—

摘要基于符号约束的SVAR模型,选取2001年到2017年高频月度数据,构建包含数量型和价格型变量的货币政策冲击系统,对中国货币政策冲击进行识别。结果表明:基于符号约束的SVAR模型对货币政策的冲击识别可以同时纳入数量型和价格型货币政策变量,在紧缩性货币政策冲击下,产出水平下降,通货膨胀得到抑制;与传统模型估计结果相比,产出水平对冲击的反应速度更快,而反应深度有所减弱。国家在货币政策的转型中要兼顾量与价的平衡。

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	陈忱

关键词：货币政策数量型价格型符号约束 SVAR 货币政策数量型价格型符号约束 SVAR

Abstract： In order to effectively identify monetary policy shocks, this paper adopts the high-frequency monthly data between 2001 and 2017, and uses sign restriction SVAR model to set up a shock system of currency policy which includes both quantity and price variables. The empirical results show that the identification of currency policy shocks based on sign restriction SVAR can take in both variables of quantity and price-based monetary policy. Under the shocks of tight monetary policies, the productivity will decrease and inflation will be reduced effectively. When compared with traditional model, productivity reacts quicker to shocks but weaker in intensity. China should maintain the balance between quantity and price druing the transformation of monetary policies.

Keywords： Monetary Policy Quantity-based Price-based Sign Restriction SVAR Monetary Policy Quantity-based Price-based Sign Restriction SVAR

收稿日期 2018-11-08; 接受日期 2018-11-08;

基金资助:四川大学中央高校基本科研业务费项目(skbsh201818);四川大学创新火花项目库项目(2018hhs-02)

作者简介: 陈忱(1988— ),女,重庆人,博士(后),助理研究员,主要从事国际金融与货币政策研究。

引用本文:

陈忱.货币调控方式与中国货币政策冲击的有效识别——基于符号约束SVAR模型的研究[J]. 经济经纬, 2018,6: 143-149

CHEN Chen.Currency Regulation and the Effective Identification of Monetary Policy Shocks in China——Based on Sign Restriction SVAR Model[J] Economic Survey, 2018,V35(6): 143-149

链接本文:

http://www.jjjw.org.cn/CN/ 或 http://www.jjjw.org.cn/CN/Y2018/V35/I6/143