| 信用衍生品对货币政策传导效应的影响 |
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| 引用本文： | 张学陶,林宝瑞.信用衍生品对货币政策传导效应的影响[J].财经理论与实践,2009,30(4). |
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| 作者姓名： | 张学陶 林宝瑞 |
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| 作者单位： | 湖南大学金融学院,湖南长沙,410079 |
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| 摘 要： | 选取美国1981~2008年的数据,研究信用衍生品发展对货币政策传导效应的影响。通过运用协整回归、格兰杰因果检验及方差分解等实证分析方法的研究表明,信用衍生品的发展弱化了货币政策的效果,增大了货币政策时滞的不确定性。因此,中央银行制订货币政策时应考虑信用衍生品的因素。
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| 关 键 词： | 信用衍生品 货币政策 传导效应 |
A Study on the Influence of Credit Derivatives on the Monetary Policy Transmission |
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| ZHANG Xue-tao,LIN Bao-rui.A Study on the Influence of Credit Derivatives on the Monetary Policy Transmission[J].The Theory and Practice of Finance and Economics,2009,30(4). |
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| Authors: | ZHANG Xue-tao LIN Bao-rui |
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| Institution: | School of Finanace;Hunan University;Changsha;Hunan 410079;China |
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| Abstract: | This paper selected the datas of United States from 1981 to 2008 to study the effects on the monetary policy transmission under the development of credit derivatives.By using analysis methods of Regression of cointegration,Granger causality test,Impulse response function and Variance decomposition as empirical studies,we found that the development of credit derivatives weaken the effectiveness and increased the time-delay uncertainty of monetary policy.Therefore,when carrying out monetary policy,the central... |
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| Keywords: | Credit derivatives Monetary policy Effect of transmission |
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