基于VAR模型的货币政策有效性研究
Research of monetary policy effectiveness based on VAR model

利用2004年1月到2015年9月的经济金融季度数据，通过对货币供应量M2、 工业生产总值GDPi、 公共财政支出和战略新兴产业产出进行分析，构建VAR模型及其脉冲响应函数对我国货币政策在战略新兴产业方面的有效性进行了实证检验. 结果表明：货币供应量M2、 工业生产总值GDPi和公共财政支出对战略新兴产业影响显著；公共财政支出和市场会对战略新兴产业有一个筛选过程；货币供应量M2的增加会使传统产业对战略新兴产业产生“挤兑效应”. 因此，央行在制定有利于战略新兴产业发展的相关货币政策时需更多地考虑货币供应量和财政政策的双重影响.
This paper collects quarterly economic and financial data from January 2004 to September 2015. Then we establish VAR models and impulse response to analyze the relationship among money supply M2，gross value of industrial output GDPi，public finance expenditure，and strategic emerging industry output. We conduct the empirical test to prove the effectiveness of China’s monetary policy in strategic emerging industries. The results show that: money supply M2，gross value of industrial output GDPi，and public expenditure have a significant impact on strategic emerging industries；public expenditure and markets will have a screening process for strategic emerging industries；the increase in the money supply M2 will cause the traditional industries to have a crowding out effect on strategic emerging industries. Therefore，central banks need to consider more of the dual effects of money supply and fiscal policy when formulating relevant monetary policies that are conducive to the development of strategic emerging industries