摘要
本文通过构建包含对外贸易依存度、金融发展指数,以及工业生产指数为条件变量的PCHVAR模型,研究G20成员数量型与价格型货币政策溢出效应的非对称与异质性。实证结果表明,在不同条件变量及不同类型货币政策冲击下,实际产出缺口与通货膨胀呈现非对称与异质性。面对同等利率冲击,在上述三种条件指数较高的国家中,产出缺口均表现为负向响应,响应程度也存在差异性,但通货膨胀响应方向存在异质性;面对同等货币供应量冲击,对外贸易依存度高或工业生产指数高的国家,产出缺口呈正向响应,且通货膨胀的负向响应程度更大,对外贸易依存度低或工业生产指数低的国家,产出缺口响应不显著。金融发展指数高的国家,其产出缺口的负向响应程度更大,但通货膨胀的负向响应程度较小。
This paper studies the asymmetry and heterogeneity of spillover effects of quantitative and price-oriented monetary policies in G20 countries.It constructs a PCHVAR model with foreign trade dependence,financial development index and industrial production index as conditional variables.The empirical results show that with the impact of different conditional variables and different types of monetary policy,the real output gap and inflation show asymmetry and heterogeneity.Two situations have been put into considerations with the same size of shocks from interest rate and money supply.For the first situation,with the three higher conditional indices mentioned above,there are negative responses to all the output gaps,but the degree of responses differs,and the direction of inflation response is heterogeneous.For the second situation,there are two aspects to summarize.On the one hand,countries with higher foreign trade dependence or high industrial production index,the output gap has positive response,while the negative response of inflation is greater.Meanwhile,countries with lower foreign trade dependence or low industrial production index,the output gap response is not significant.On the other hand,countries with higher financial development indices have a greater negative response to the output gap,with less negative response to inflation.
作者
崔百胜
高崧耀
Cui Baisheng;Gao Songyao
出处
《国际金融研究》
CSSCI
北大核心
2019年第12期33-42,共10页
Studies of International Finance
基金
国家社会科学基金一般项目“周期不一致背景下的世界主要经济体货币政策溢出效应与中国经济的应对策略研究”(16BJY168)资助
关键词
货币政策
溢出效应
非对称性
对外贸易依存度
金融发展指数
Monetary Policy
Spillover Effect
Asymmetry
Foreign Trade Dependence
Financial Development Index
