本文選題：貨幣政策 + 透明度　； 參考：《財貿(mào)經(jīng)濟》2014年12期

【摘要】：20世紀90年代以來,世界各國普遍追求貨幣政策的透明化,這一制度選擇已成為央行實踐的重要現(xiàn)象,考察貨幣政策透明化的宏觀經(jīng)濟效應則是理論界和實務界的關注焦點。為對中國貨幣政策透明化進行實證分析,本文在傳統(tǒng)VAR模型的基礎上構建PTVP-SV-FAVAR模型:首先,設定概率時變的斜率系數(shù)以刻畫轉軌經(jīng)濟體中經(jīng)濟結構和經(jīng)濟主體行為的時變性;其次,引入隨機波動率以捕捉經(jīng)濟結構沖擊波動的時變性;最后,通過擴展因子的方法以最大程度地包含經(jīng)濟系統(tǒng)的完整信息。實證結果發(fā)現(xiàn):(1)中國貨幣政策透明化在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,長期則是提高產(chǎn)出增長;(4)貨幣政策透明化有利于產(chǎn)出增長的穩(wěn)定,但加劇了通貨膨脹的波動,對通貨膨脹波動的惡化效應在宏觀經(jīng)濟不確定增強時期更為明顯。
[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】： 廣東財經(jīng)大學金融學院;中山大學嶺南學院;
【基金】：國家自然科學基金“央行溝通、傳統(tǒng)貨幣政策與宏觀經(jīng)濟穩(wěn)定化”(71303264);國家自然科學基金“中國貨幣政策與匯率政策沖突機理及動態(tài)調(diào)整模式研究”(71273066) 廣東省自然科學基金“中央銀行溝通的策略與宏觀經(jīng)濟效應研究”(S2013040015332)的資助
【分類號】：F822.0;F224

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本文編號：1741234