| 美联储利率承诺的宏观经济效应 |
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| 引用本文： | 潘敏,严春晓.美联储利率承诺的宏观经济效应[J].国际金融研究,2012(4):4-14. |
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| 作者姓名： | 潘敏 严春晓 |
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| 作者单位： | 武汉大学经济发展研究中心;武汉大学经济与管理学院金融系;武汉大学中国中部发展研究院 |
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| 基金项目： | 2010年教育部人文社会科学重点研究基地重大项目“逆周期宏观调控政策与中国经济平衡增长研究”(课题批准号:10JJD790003);2009年武汉大学自主科研项目(人文社会科学)“经济复苏背景下非常规货币政策退出机制研究”的阶段性成果 |
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| 摘 要： | 作为金融危机后美联储非常规货币政策的重要手段之一,利率承诺对美国宏观经济变化的影响颇受关注。本文选取美国2001年1月至2011年8月的月度数据,以2008年12月为分界点,采用VAR模型实证检验了美联储非常规货币政策实施前后利率承诺政策对金融市场和实体经济的影响。研究结果表明:(1)零利率承诺缩短了金融市场对基准利率变动响应的时滞,但作用持续期明显缩短,其中股票市场和商业房地产市场的响应尤为明显;(2)零利率承诺政策有利于提升消费者信心,并抑制通货紧缩;(3)零利率承诺措施对实体经济的影响要大于对金融市场的影响。
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| 关 键 词： | 利率承诺 实体经济 金融市场 VAR模型 |
The Macroeconomic Effects of FED’s Commitment Policy of Interest Rate |
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| n Min,an Chunxiao.The Macroeconomic Effects of FED’s Commitment Policy of Interest Rate[J].Studies of International Finance,2012(4):4-14. |
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| Authors: | n Min an Chunxiao |
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| Institution: | Pan Min Yan Chunxiao |
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| Abstract: | As a part of the Fed’s unconventional monetary policy,the commitment to maintain the federal funds rate at low levels has played an important role in stimulating the recovery in the United States.Taking December 2008 as the cutoff point,this paper examines the effects of the federal funds rate on the financial market and the real economy from January 2001 to August 2011 by using vector auto-regression model.The results show that:(1)the commitment makes the impact of the federal funds rate on financial market become more rapid within shorter time,especially on stock market and commercial real estate market;(2)the commitment plays an important role in boosting consumer confidence and combating deflation;(3)the effects of the commitment on real economy is greater than that on financial markets.This study will help us further understand the Fed’s interest rate policy and unconventional monetary policy. |
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| Keywords: | Interest Rate Commitment Real Economy Financial Market Vector Auto-regression Model |
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