摘要
本文基于FAVAR模型实证研究了美国货币政策对中国价格体系的直接影响和间接传导机理。结果表明,美国紧缩性货币政策构成了中国价格体系短期下行的动力;虽然中国价格体系对美国投资市场收益率的波动具有短暂免疫性,但随后会形成具有差异性特征的冲击;M2主导的美国市场流动性对中国价格体系形成显著且持续性最长的正向溢出,而路径主要为贸易、信贷、利率和预期等渠道。因此,中国货币政策选择必须基于外部冲击表现出灵活性和针对性。
Based on the FAVAR model, this paper studies the direct influence and indirect transmission mechanism of American monetary policies to the price system of China. Empirical results indicate that： Firstly, American contractionary monetary policies make the price system of China downward in a short term. Although the price system of China has temporary immunity to the volatility of American investment market, it has divergent impacts later; the liquidity of American market, which is led by M2, continuously forms the most significant positive spillover effect to the price system of China. And its transmission path is still influenced by channels of trade, interest, credit and expectation, etc. So, the choice of Chinese monetary policies must fully consider external impacts so it could have enough flexibility and relevance.
出处
《数量经济技术经济研究》
CSSCI
北大核心
2012年第8期3-18,34,共17页
Journal of Quantitative & Technological Economics
基金
2010年国家自然科学基金项目(71073067)
2011年教育部人文社会科学重点研究基地重大项目(11JJD790010)
2010年教育部"新世纪"优秀人才计划的资助
2012年国家社科基金重点项目(12AZD021)
关键词
货币政策
价格体系
影响机理
FAVAR模型
Monetary Policy
Price System
Influence Mechanism
Factor- Augmented Vector Autoregressive Model
