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  本文關(guān)鍵詞：中國貨幣政策傳導(dǎo)渠道的產(chǎn)業(yè)非對稱性研究　出處：《上海大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 貨幣政策傳導(dǎo)渠道 產(chǎn)業(yè)非對稱 向量自回歸模型 門限向量自回歸模型

【摘要】：隨著我國經(jīng)濟(jì)的快速發(fā)展和金融體系的逐漸完善,我國貨幣政策對整個宏觀經(jīng)濟(jì)運(yùn)行的狀況及結(jié)果的影響逐漸增強(qiáng)。而貨幣政策傳導(dǎo)途徑是否合理有效,直接影響貨幣政策的實(shí)施效果和對經(jīng)濟(jì)的推動力。在一國經(jīng)濟(jì)發(fā)展的不同階段,各種傳導(dǎo)途徑所處的地位和起到的作用也會發(fā)生相應(yīng)變化。因此，如何協(xié)調(diào)、完善貨幣政策的各傳導(dǎo)途徑對經(jīng)濟(jì)的作用是目前我國非常重要的課題。 目前國內(nèi)外關(guān)于貨幣政策傳導(dǎo)機(jī)制理論的研究很少有研究是綜合全面地研究各個傳導(dǎo)途徑對于中國經(jīng)濟(jì)的產(chǎn)業(yè)非對稱性影響，而事實(shí)上貨幣政策各個傳導(dǎo)途徑是同時作用來影響我國宏觀經(jīng)濟(jì)運(yùn)行的。將研究重點(diǎn)應(yīng)該放在研究各個傳導(dǎo)機(jī)制對于產(chǎn)業(yè)或行業(yè)的影響程度，可以在制定貨幣政策的時候以不同產(chǎn)業(yè)為基礎(chǔ)來制定貨幣政策，從而達(dá)到貨幣政策預(yù)期效果。 本文主要研究代表利率、資產(chǎn)價格、信貸和匯率四種貨幣政策傳導(dǎo)途徑的產(chǎn)業(yè)非對稱效應(yīng)。以貸款利率、市價總值、金融機(jī)構(gòu)信貸規(guī)模和匯率作為主要研究對象，利用平穩(wěn)性檢驗(yàn)等時間序列方法，通過分三個產(chǎn)業(yè)分別構(gòu)造VAR(向量自回歸)模型來討論四種貨幣政策傳導(dǎo)途徑對我國經(jīng)濟(jì)的作用效果，并說明貨幣政策四種傳導(dǎo)途徑在分別作用于三個產(chǎn)業(yè)的政策效果差別，，即貨幣政策的產(chǎn)業(yè)非對稱效應(yīng)。最后用TVAR（門限向量自回歸）模型進(jìn)行參數(shù)估計(jì)與VAR（向量自回歸）模型進(jìn)行對比，來進(jìn)一步分析貨幣政策傳導(dǎo)渠道對GDP的影響。 通過實(shí)證分析認(rèn)為，在我國的四種貨幣政策傳導(dǎo)渠道——信貸、利率、匯率和資產(chǎn)價格，對于我國三大產(chǎn)業(yè)的政策效果各不相同。對第一產(chǎn)業(yè)的政策效果比較明顯的主要是匯率和信貸，對第二產(chǎn)業(yè)的更有效的貨幣政策傳導(dǎo)途徑是匯率和資產(chǎn)價格，而資產(chǎn)價格和匯率兩種傳導(dǎo)途徑兩種貨幣政策傳導(dǎo)渠道同樣對第三產(chǎn)業(yè)的影響更為明顯。
[Abstract]:With the rapid development of China's economy and the gradual improvement of the financial system, the impact of monetary policy on the state and results of the whole macro-economic operation is gradually strengthened, and whether the transmission path of monetary policy is reasonable and effective. It directly affects the effect of monetary policy and the driving force to economy. In different stages of a country's economic development, the position and role of various transmission channels will also change accordingly. Therefore, how to coordinate. It is very important to improve the transmission of monetary policy to the economy. At present, there are few studies on the transmission mechanism of monetary policy at home and abroad. It is a comprehensive and comprehensive study of the impact of various transmission channels on the industrial asymmetry of China's economy. In fact, all transmission channels of monetary policy act at the same time to affect the macroeconomic operation of our country. The research should focus on the impact of each transmission mechanism on the industry or industry. Monetary policy can be formulated on the basis of different industries in order to achieve the desired effect of monetary policy. This paper mainly studies the asymmetric effects of four monetary policy transmission pathways, I. e., interest rate, asset price, credit and exchange rate. The credit scale and exchange rate of financial institutions are the main objects of study, using time series methods such as stability test. This paper discusses the effects of four kinds of monetary policy transmission approaches on China's economy by constructing VAR (Vector autoregressive) model in three industries. It also shows that the four transmission channels of monetary policy have different effects on the three industries respectively. The industrial asymmetric effect of monetary policy. Finally, the TVAR (threshold vector autoregressive) model is used to estimate the parameters and the VAR (vector autoregressive) model is compared. To further analyze the impact of monetary policy transmission channels on GDP. Through empirical analysis, it is concluded that there are four transmission channels of monetary policy in China: credit, interest rate, exchange rate and asset price. For the three major industries in China, the policy effect is different. The policy effect on the primary industry is mainly the exchange rate and credit, and the more effective way of monetary policy transmission to the secondary industry is the exchange rate and asset price. The influence of asset price and exchange rate on tertiary industry is more obvious.
【學(xué)位授予單位】：上海大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F224;F822.0

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