货币政策区域非对称性在中国的实证检验

随着经济快速发展和区域经济差距逐渐拉大,货币政策的区域非对称性也逐渐成为理论界关注的焦点。使用SVAR模型与脉冲响应函数,定量分析了货币政策对我国各经济区域产出和物价影响的动态过程。研究结论表明,长期内我国货币政策对各地区的人均产出影响趋同,而对各地区的物价水平影响存在显著差异,而短期内货币政策冲击对各地区产出和物价在响应程度和时滞上都具有显著差异。     

基于SVAR模型的货币政策冲击效应检验

随着区域经济发展不平衡程度的逐渐扩大,货币政策区域非对称性研究也成为理论界关注的焦点。使用SVAR模型与脉冲响应函数方法,定量分析了1994～2007年我国统一货币政策冲击对各区域产出和物价的影响。结果表明我国货币政策传导机制在不同区域存在不同效应,表现为货币政策冲击对各地区产出和物价在反应程度和时滞上具有显著差异。     

美国货币政策对中国股票市场溢出效应的实证研究

本文认为:美国货币政策对我国股票市场真实回报具有显著的溢出效应,即扩张性的货币政策使我国股票市场真实回报下降;在短期,美国货币政策冲击对我国股票市场真实回报波动贡献大,而在中长期美国的通胀、产出冲击贡献大;美国货币政策溢出效应经由美国股票市场价格示范效应传递的机制不显著。     

中国货币政策的区域效应研究——来自信用观点的解释

本文以货币政策的"信用观点"为理论前提,运用VAR模型对我国货币政策的区域效应进行了实证研究.分析结果表明,在我国直接融资还不发达、东、中、西部地区的银行体系特征还存在较大差异的现实背景下,中央银行统一的货币政策通过各地区的银行体系进行传导时,将通过影响各地区银行系统提供信贷的能力而影响各地区私人部门的信用可得性,从而导致各地区的经济发展水平体现出较大的差异,最终表现为货币政策的区域效应.为此中央银行必须实施差别化的货币政策和信贷政策以促进区域经济的协调发展.     

基于政策工具视角的我国货币政策冲击效应研究

本文在SVAR框架下构建一种混合识别法以考察主要货币政策工具(公开市场业务、准备金率、利率工具)实施的冲击对产出和价格的影响。研究发现:(1)紧缩性货币政策冲击对产出和价格施加负向影响;公开市场卖出或提高准备金率引致的冲击对产出有更强的影响;利率工具冲击使价格经历一个更持久的下跌过程;(2)准备金率冲击和公开市场冲击对产出预测方差有更大解释份额,而利率冲击对价格的长期限预测方差有更强解释力。     

油价冲击、货币政策调整与产出波动——基于中国的经验证据

本文基于我国2001-2010年宏观经济月度数据,采用SVAR模型分析了国际油价波动时,央行货币政策在排除回应油价干扰与未排除干扰下的反应差异及油价波动对产出的影响。研究发现,在排除货币政策回应油价波动干扰后,通过脉冲响应函数反映的油价波动对产出的短期负面影响消失。方差分解结果显示,长期内产出波动由油价冲击和货币政策解释的比例分别为5716%和32480%,比排除干扰前分别下降了2569%和4560%。这说明我国油价冲击带来的经济衰退主要是因为货币政策及其回应油价冲击紧缩所致。此外,面对油价的短期冲击,CPI指数并未随着生产者购进价格指数上升而上升,产出也未发生明显的衰减;但在较长时间内,油价上升会因为相对价格的改变,而影响CPI水平和货币政策,从而对产出产生显著的负面影响。     

宏观政策对中国经济波动的影响模拟

文章通过建立一个包含货币政策、具有自动稳定机制的财政政策、金融中介机构以及粘性价格、粘性工资等特性的新凯恩斯主义动态随机一般均衡模型(DSGE),在校准模型结构参数的基础上,运用脉冲响应技术手段分析了财政政策、货币政策以及贷款、消费偏好等8个外生随机冲击对我国经济波动的影响。研究发现：货币供应量、消费偏好和政府购买支出等冲击均导致我国经济上升,即产出和通货膨胀均上升,贷款和技术冲击导致产出增加而通货膨胀下降,投资调整成本冲击导致产出和通货膨胀均下降,价格加成和工资加成冲击均导致产出下降、通货膨胀上升;货币供应量、技术和投资调整成本冲击是我国经济波动的主要来源,财政政策对中国经济波动的影响相对较小。     

中国货币政策的宏观经济效应——基于不同中介目标SVAR模型的比较分析

本文首先采集中国1999—2011年季度数据,构建由GDP、外汇储备、CPI和不同货币政策中介目标组成的四变量SVAR模型族,然后通过Cholesky分解施加约束,测算出不同货币政策冲击对产出波动和价格波动的具体效应。研究结果表明,货币政策冲击在中短期内对产出波动具有最多不超过11%的影响,且数量型中介目标的冲击效应要强于价格型中介目标;多数货币政策冲击对物价波动的影响要大于其对产出波动的影响,且解释程度多在12%左右。货币政策在一定程度上既是价格波动的根源,也是应对通货膨胀的有效手段;随着M2可控性的逐步减弱和国内信贷调节有效性的逐渐丧失,中国未来货币政策中介目标应向利率转移。     

总需求冲击下的国际货币政策协调研究

本文在总需求冲击的假定下,从产出波动的角度研究了两国货币政策的国际协调。研究表明:需求冲击不变,两国进行货币政策协调会提高两国的实际利率,但不改变产出、实际汇率和需求;需求冲击改变,两国进行政策协调会改变两国的产出、实际汇率和需求;从总需求冲击对产出波动的角度看,两国的货币政策协调均衡很难实现。     

我国经济周期波动率的成分分解及稳定性研究

随着世界经济周期波动的减缓,我国经济波动也呈现出稳定性趋势.文章通过建立具有货币政策干预的产品市场均衡模型,对我国实际产出波动率进行了成分分解,并将实际产出波动的来源归结为需求冲击、供给冲击和货币冲击的作用.通过这些经济冲击方差序列的度量,又对实际产出波动率进行了冲击方差序列的回归检验,发现我国需求冲击和货币冲击强度的逐渐平稳是经济周期波动率降低的主要原因,而供给冲击对实际产出波动率没有产生显著影响.因此,我国宏观经济调控仍然需要坚持需求管理的政策导向,以保持经济持续稳定增长.     

货币政策的区域总量性与结构性研究——基于中国的实际情况

我国是一个发展中大国,不同区域发展情况存在很大差异,这必然使国家自上而下的区域总量性货币政策在各区域产生差异化效果.我国市场化改革使货币政策运作的市场化成分越来越高,面对区域经济、金融的巨大差异,货币政策不可能倒退到行政控制的老路上去,因而研究区域结构性货币政策问题在我国当前显得十分重要.     

Examining asymmetries in the transmission of monetary policy in the euro area: Evidence from a mixed cross-section global VAR model

I estimate the transmission of a common euro area monetary policy shock across individual euro area economies. To do so, I develop a global VAR model in which all euro area economies are included individually while, at the same time, their common monetary policy is modelled as a function of euro area aggregate output growth and inflation. The results suggest that the transmission of monetary policy across euro area economies displays asymmetries, and that, in line with economic theory, these are driven by differences in economies׳ structural characteristics. In particular, euro area economies in which a higher share of aggregate output is accounted for by sectors servicing interest rate sensitive demand exhibit a stronger transmission of monetary policy to real activity. Similarly, even though the evidence is less conclusive, euro area economies which feature more real wage and/or fewer unemployment rigidities also appear to display a stronger transmission of monetary policy to real activity.     

应对资产价格波动的最优货币规则研究——基于福利损失函数的实证分析

通过构建最优货币政策模型对中国货币政策进行的实证检验,发现中国的货币政策主要以盯住通货膨胀为主要目标,同时关注产出的变化,但对股票价格波动的变化并没有给予充分的关注。而通过中国预设货币政策操作框架下对股票价格波动不同反应状况的分析,发现货币政策对资产价格赋予较小权重时,中央银行的福利损失函数将会有所改善;如果继续加大对资产价格干预的权重,则会导致中央银行福利损失函数的迅速恶化。因此可以认为,中央银行还不适宜对资产价格进行过度的关注,只适合在关注通胀和产出的基础上,对资产价格给予适度的关注。     

Firm Size, Industry Mix and the Regional Transmission of Monetary Policy in Germany

Abstract. This paper estimates the impact of interest rate shocks on regional output in Germany over the period from 1970 to 2000. We use a vector autoregression (VAR) model to obtain impulse responses, which reveal differences in the output responses to monetary policy shocks across ten German provinces. Next, we investigate whether these differences can be related to structural features of the regional economies, such as industry mix, firm size, bank size and openness. An additional analysis of the volatility of real GDP growth for the period 1992–2000 includes the Eastern provinces. We also present evidence on the interrelationship between firm size and industry, and compare our measure of firm size with those used in previous studies. We conclude that the differential regional effects of monetary policy are related to industrial composition, but not to firm size or bank size.     

我国货币政策区域效应的度量与成因分析

本文利用时变参数状态空间模型估计了1985—2007年我国(及主要区域)的动态货币政策乘数,从新的视角论证了货币政策区域效应的显著存在性。此外,还从供给视角对货币政策区域效应的成因做了新的解释。研究表明,经济开放度、劳动生产率对货币政策区域效应有显著的正向影响,而地方政府行为对货币政策区域效应有显著的负向影响,这说明地方政府干预经济过多反而会削弱货币政策效力。     

The effect of monetary policy on output in EMU3: A sign restriction approach

This paper examines the effects of monetary policy shocks on output in the three largest euro area economies – Germany, France and Italy (EMU3) – by applying a new VAR identification procedure. The results show that monetary policy innovations are at their most potent in Germany. However, apart from Germany, it remains ambiguous as to whether a rise in interest rates concludes with a fall in output, showing a lack of homogeneity in the responses. Homogeneity in response to a monetary shock is crucial in a one-size-fits-all framework. Nonetheless, the lack of similarity between the responses, which is hypothesised to cause de-synchronised business cycles in optimal currency area literature, is often based on the premise that monetary policy itself is a major source of business cycle fluctuations. This paper concludes that monetary policy innovations play, at most, a modest role in generating fluctuations in output for the EMU3. Consequently, it is less important whether the effects of monetary policy are homogenous.     

Is East Asia an optimum currency area?

This paper assesses the empirical desirability of the East Asian economies to an alternative exchange rate arrangement (a monetary union) that can potentially enhance the exchange rate stability and credibility in the region. Specifically, the symmetry in macroeconomic disturbances of the East Asian economies is examined as satisfying one of the preconditions for forming an Optimum Currency Area (OCA). We extend the existing literature by improving the methodology of assessing the symmetry shocks in evaluating the suitability of a common currency area in the East Asian economies employing the Bayesian State-Space Based approach. We consider a model of an economy in which the output is influenced by global, regional and country-specific shocks. The importance of a common regional shock would provide a case for a regional common currency. This model allows us to examine regional and country-specific cycles simultaneously with the world business cycle. The importance of the shocks decomposition is that studying a subset of countries can lead one to believe that observed co-movement is particular to that subset of countries when it in fact is common to a much larger group of countries. In addition, the understanding of the sources of international economic fluctuations is important for making policy decisions. The falling share of country specific factor and the rising role of region factor indicate that East Asia has become increasingly favorable for a monetary union. However, the share of country-specific factor that is still significant implies that it could be costly to renounce individual currencies to advance into a monetary union in East Asia.     

Liquidity risk, economic development, and the effects of monetary policy

Empirical evidence indicates that monetary policy is not super-neutral in many countries. In particular, in high inflation economies, inflation is negatively related to economic activity. By comparison, inflation may be positively correlated with output in low inflation countries. We present a neoclassical growth model with money in which the incidence of liquidity risk is inversely related to aggregate capital formation. Interestingly, there may be multiple monetary steady-states where the effects of monetary policy vary. In poor economies, the financial system is highly distorted and higher rates of money growth are associated with less capital formation. In contrast, in advanced economies, a Tobin effect is observed. Since inflation exacerbates distortions from a coordination failure in the low-capital steady-state, individuals become much more exposed to liquidity risk. Consequently, optimal monetary policy depends on the level of development.     

Monetary policy effectiveness and stock market cycles in ASEAN-5

This article examines the asymmetric effects of monetary policy on real output in bull and bear phases of stock market in five ASEAN economies (Malaysia, Singapore, Indonesia, the Philippines and Thailand) using the recently developed pooled mean group (PMG) technique. Stock market cycles are identified by employing Markov switching models and the rule-based nonparametric approach. Estimating the models using monthly data from 1991:1 to 2011:12, the results show that monetary policy (measured by short-term interest rate) has a negative and statistically significant long-run effect on real output in bull and bear market periods while the effects are stronger in bear periods than bulls. In the short run, there is no statistically significant relationship between monetary policy and real output. These results are consistent with finance constraints (capital market imperfection) models that predict that monetary policy is more effective during bear periods than bulls.