本文選題：貨幣政策 + 透明度�。� 參考：《財(cái)貿(mào)經(jīng)濟(jì)》2014年12期

【摘要】：20世紀(jì)90年代以來,世界各國(guó)普遍追求貨幣政策的透明化,這一制度選擇已成為央行實(shí)踐的重要現(xiàn)象,考察貨幣政策透明化的宏觀經(jīng)濟(jì)效應(yīng)則是理論界和實(shí)務(wù)界的關(guān)注焦點(diǎn)。為對(duì)中國(guó)貨幣政策透明化進(jìn)行實(shí)證分析,本文在傳統(tǒng)VAR模型的基礎(chǔ)上構(gòu)建PTVP-SV-FAVAR模型:首先,設(shè)定概率時(shí)變的斜率系數(shù)以刻畫轉(zhuǎn)軌經(jīng)濟(jì)體中經(jīng)濟(jì)結(jié)構(gòu)和經(jīng)濟(jì)主體行為的時(shí)變性;其次,引入隨機(jī)波動(dòng)率以捕捉經(jīng)濟(jì)結(jié)構(gòu)沖擊波動(dòng)的時(shí)變性;最后,通過擴(kuò)展因子的方法以最大程度地包含經(jīng)濟(jì)系統(tǒng)的完整信息。實(shí)證結(jié)果發(fā)現(xiàn):(1)中國(guó)貨幣政策透明化在1998-2006年期間降低了通貨膨脹水平,而在2007-2011年期間提高了通貨膨脹水平;(2)貨幣政策透明化增強(qiáng)了通貨膨脹持續(xù)性;(3)貨幣政策透明化在短期內(nèi)降低產(chǎn)出增長(zhǎng),長(zhǎng)期則是提高產(chǎn)出增長(zhǎng);(4)貨幣政策透明化有利于產(chǎn)出增長(zhǎng)的穩(wěn)定,但加劇了通貨膨脹的波動(dòng),對(duì)通貨膨脹波動(dòng)的惡化效應(yīng)在宏觀經(jīng)濟(jì)不確定增強(qiáng)時(shí)期更為明顯。
[Abstract]:Since the 1990s, countries all over the world have generally pursued the transparency of monetary policy. This system choice has become an important phenomenon in the practice of central banks. The study of the macroeconomic effects of transparency of monetary policy is the focus of attention in the theoretical and practical circles.In order to analyze the transparency of China's monetary policy, this paper constructs the PTVP-SV-FAVAR model based on the traditional VAR model. Firstly, the slope coefficient of probability time-varying is set to describe the time-varying economic structure and the behavior of economic agents in transitional economies.Secondly, the stochastic volatility is introduced to capture the time-varying of the economic structure shock volatility, and finally, the complete information of the economic system is included to the maximum extent by the method of the expansion factor.The empirical results show that the transparency of China's monetary policy reduced the level of inflation in the period 1998-2006.In the period 2007-2011, inflation was raised. (2) Transparency in monetary policy increased inflation sustainability. 3) Transparency in monetary policy reduced output growth in the short term.In the long run, the transparency of monetary policy is conducive to the stability of output growth, but it intensifies the fluctuation of inflation, and the worsening effect of inflation fluctuation is more obvious in the period of macroeconomic uncertainty.
【作者單位】： 廣東財(cái)經(jīng)大學(xué)金融學(xué)院;中山大學(xué)嶺南學(xué)院;
【基金】：國(guó)家自然科學(xué)基金“央行溝通、傳統(tǒng)貨幣政策與宏觀經(jīng)濟(jì)穩(wěn)定化”(71303264);國(guó)家自然科學(xué)基金“中國(guó)貨幣政策與匯率政策沖突機(jī)理及動(dòng)態(tài)調(diào)整模式研究”(71273066) 廣東省自然科學(xué)基金“中央銀行溝通的策略與宏觀經(jīng)濟(jì)效應(yīng)研究”(S2013040015332)的資助
【分類號(hào)】：F822.0;F224

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本文編號(hào)：1741234