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利用1996年1月至2014年10月的月度数据,采用HP滤波法分离出CPI、M2和工业企业增加值同比增长率序列的趋势成分和波动成分后,运用MS-VAR模型对我国货币政策的有效性进行了实证检验,并且使用动态非线性Granger因果关系检验确认了M2增长率波动与CPI增长率波动和工业企业增加值同比增长率波动之间的单向因果关系。研究结果表明:货币政策效应存在显著的非对称性,货币政策紧缩效应大于扩张效应;且货币政策的价格效应大于产出效应。
Using the monthly data from January 1996 to October 2014, using the HP filter method to separate the trend components and volatility components of the CPI, M2 and industrial enterprises’ year-on-year growth rate of growth rate, using MS-VAR model to analyze the monetary policy of our country Effectiveness of the empirical test, and the use of dynamic nonlinear Granger causality test confirmed the M2 growth rate fluctuations and CPI growth rate of increase and industrial enterprises increased year-on-year growth rate fluctuations between the one-way causal relationship. The results show that there are significant asymmetries in the monetary policy effect, the tightening effect of monetary policy is greater than the expansion effect, and the price effect of monetary policy is greater than the output effect.