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财贸经济  2014 

中国货币政策透明化的宏观经济效应——基于PTVP-SV-FAVAR模型的实证研究

, PP. 64-74

Keywords: 货币政策,透明度,通货膨胀,产出

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Abstract:

20世纪90年代以来,世界各国普遍追求货币政策的透明化,这一制度选择已成为央行实践的重要现象,考察货币政策透明化的宏观经济效应则是理论界和实务界的关注焦点。为对中国货币政策透明化进行实证分析,本文在传统VAR模型的基础上构建PTVP-SV-FAVAR模型:首先,设定概率时变的斜率系数以刻画转轨经济体中经济结构和经济主体行为的时变性;其次,引入随机波动率以捕捉经济结构冲击波动的时变性;最后,通过扩展因子的方法以最大程度地包含经济系统的完整信息。实证结果发现:(1)中国货币政策透明化在1998-2006年期间降低了通货膨胀水平,而在2007-2011年期间提高了通货膨胀水平;(2)货币政策透明化增强了通货膨胀持续性;(3)货币政策透明化在短期内降低产出增长,长期则是提高产出增长;(4)货币政策透明化有利于产出增长的稳定,但加剧了通货膨胀的波动,对通货膨胀波动的恶化效应在宏观经济不确定增强时期更为明显。

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