摘要
笔者采用马尔科夫区制转换向量自回归模型(MSVAR)和脉冲响应函数(IRF),基于我国1992年第1季度至2011年第4季度的宏观经济数据,探讨了我国货币政策的非对称效应。结果显示,我国货币政策的信贷传导机制和利率传导机制均具有非对称效应。经济扩张期紧缩性货币政策的抑制效应要显著大于经济紧缩期扩张性货币政策的刺激效应;利率市场化改革前后其区制发生明显转换,利率作为货币政策的中介目标,作用不断加强。
The paper discusses the asymmetry of China＇s monetary policy state with the help of state-dependent Impulsive Response Function（ IRF by the Markov Switching Vector Auto Regression （MSVAR）model and Impulsive Response Function based on China＇s macroeconomic data from first quarter of t992 to the fourth quarter of 2011. It is suggested that Chinag monetary policy transmission mechanisms are non-symmetric. The two-district MSVAR model can well reflect the role procedure of credit transmission path of mone tary policy on macroeconomic system, but the interest rate transmission path of monetary policy on the role procedure on the macroeconomic system requires three-district MSVAR model to describe, and obviously, the district characteristics of the transmission mecha nisms reflect the different response of monetary policy on the inflation rate and real output. We also find out that the inhibitory effect of tight monetary policy in economic expansion is significantly greater than the stimulate effect of expansionary monetary policy in economic contraction. Furthermore, the district system of interest rate has an apparent shift before and after the exchange rate reform, and inter est rate, applied as the intermediate target of monetary policy is playing an important role.
出处
《经济经纬》
CSSCI
北大核心
2013年第5期140-144,共5页
Economic Survey
