时变框架下中国货币流动性的影响研究:1992-2012 被引量：8

The Effect of Chinese Currency Liquidity in a Time-Varying Framework: From 1992 to 2012

下载PDF

导出

摘要本文运用时变参数向量自回归(TVP-VAR)模型对中国1992-2012年季度数据进行估计,结果表明:中国的货币流动性对产出、通货膨胀及资产价格的影响随着时间的变迁而具有明显的时变性,流动性冲击对宏观变量影响的时变特性依赖于经济所处的状态(资产价格繁荣—衰退、经济周期、通货膨胀周期及信贷周期等)。借助单方程方法估计不同的经济状态下流动性冲击对宏观经济的额外影响。本文的研究旨在为中国货币政策的制定和效果预测提供新的参考。 In this paper,we use the time-varying parameter vector autoregressive model( TVP-VAR) to estimate the quarterly data of China from 1992 to 2012. The results show that the effect of Chinese currency liquidity on output,inflation and asset prices varies greatly over time. The time-varying characteristic of liquidity shock on macro variables depends on the underlying state of the economy( asset price boom-bust,economic cycle,inflation cycle and credit cycle). We estimate the extra effect of liquidity shock on macroeconomy in different economic states by using a single-equation approach. We hope this paper could provide a new reference for making Chinese monetary policy and effect prediction.

作者郭永济李伯钧金雯雯

机构地区南京大学商学院

出处《当代经济科学》 CSSCI 北大核心 2014年第1期1-11,共11页 Modern Economic Science

关键词流动性通货膨胀资产价格 TVP—VAR模型 Liquidity Inflation Asset Price TVP-VAR Model

分类号 F822 [经济管理—财政学] F224 [经济管理—国民经济]

引文网络
相关文献

参考文献17

1Issing O. Monetary policy in a changing economic envi- ronment[M]. Presented at the Jackson Hole Symposium, Federal Reserve Bank of Kansas City, 2002 (8).
2Christiano L, Motto R, Motto R. Monetary policy and stock market boom -bust cycles [ R ]. Mimeo, Banque de France,2006.
3Detken C, Frank S. Asset price booms and monetary pol- icy[ J]. ECB Working Paper 364,2004.
4Hildebrand P M. Discussion of "money and monetary poli- cy: the ECB experience 1999-2006": The role of money - money and monetary policy in the twenty -first century [R]. European Central Bank Working Paper, 2008,176 - 189.
5Adrian T, Shin H S. Money, liquidity and monetary poli- cy[ J ]. Annual Meeting of the American Economic Asso- ciation, 2009.
6Adalid R, Detken C . Liquidity shocks and asset price boom/bust cycles [ R ]. ECB Working Paper 732,2007.
7Goodhart C, Hofmann B. House prices, money, credit, and the macroeconomy [ J ]. Oxford Review of Economic Policy, forthcoming,2007.
8Baumeister C , Durinck E, Peersman G. Liquidity, infla- tion and asset prices in a time - varying framework for the euro area[ R]. ECB Workinz Paper .2008.
9郑挺国,刘金全.我国货币—产出非对称影响关系的实证研究[J].经济研究,2008,43(1):33-45. 被引量：38
10王培辉.货币冲击与资产价格波动:基于中国股市的实证分析[J].金融研究,2010(7):59-70. 被引量：29