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在“三重压力”下，我国货币政策调控要实现“稳增长”和“防通胀”在水平值和波动率上的“双重稳定”,既要保持适度经济增速，又要防止通货膨胀快速上升，还要防止产出和通胀波动形成的经济风险。为此，文章使用了局部投影方法和VAR模型方法计算了数量型和价格型货币政策的冲击反应函数，以此刻画货币政策对产出增长率和通货膨胀率的水平值和波动率的动态效应。实证结果表明，数量型货币政策对经济增长率和通货膨胀率均具有水平值上的显著正向效应，同时具有降低产出波动而提升通胀波动的冲击效应；价格型货币政策也对经济增长率和通货膨胀率具有显著正向效应，同时具有降低产出波动率和通胀波动率的双重稳定功能。因此，当前货币政策操作仍然要以价格型货币政策为主，以此实现货币政策逆周期和跨周期调控功能。
Abstract：Under the “triple pressures”, China's monetary policy should achieve the “double stability” of “stable growth” and“inflation prevention” in the level and volatility, not only to maintain moderate economic growth, but also to prevent the rapid rise of inflation, and to prevent the economic risks caused by output and inflation fluctuations. Therefore, we use local projection method and VAR model to calculate the impulse response functions of quantitative and price-based monetary policies to characterize the dynamic effects of monetary policy on the level and volatility of output growth rate and inflation rate. The empirical study finds that quantitative monetary policy has significant positive effects on economic growth rate and inflation rate, and also has the impact effect of reducing output volatility and increasing inflation volatility; Price-based monetary policy has a significant positive effect on economic growth rate and inflation rate, and also has a dual stabilizing function of reducing output volatility and inflation volatility.Therefore, the current monetary policy operation should still focus on price-based monetary policy, so as to realize the counter-cyclical and cross-cyclical regulation of monetary policy.
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(1)由于可以获得的季度GDP数据最早期限为1992年,因此本文所选取的样本数据从1992年开始。
(2)本文比较了9个季度、16个季度和24个季度的滚动标准差,发现这些时窗长度下的条件标准差差距不大,为此本文选取了9个季度的滚动标准差。
(3)由于本文考察扩张性货币政策效应,因此此时冲击反应是降低一个单位利率的效应。
基本信息:
DOI：10.14134/j.cnki.cn33-1336/f.2023.01.007
中图分类号:F822;F124
引用信息:
[1]刘金全,孙玉祥,周欣.我国货币政策调控对产出和通胀影响的水平效应和波动率效应研究——基于VAR模型和局部投影模型冲击反应函数的实证分析[J].商业经济与管理,2023,No.375(01):86-96.DOI:10.14134/j.cnki.cn33-1336/f.2023.01.007.
基金信息:
国家社会科学基金重大项目“健全目标优化、分工合理、高效协同的宏观经济治理体系的理论与实践研究”(21ZDA042); 国家自然科学基金项目“经济周期形态变异、经济周期成分分解与经济政策周期相依性的动态机制研究”(72073040)
2023-01-15
2023-01-15