关键词: 非平稳, SVEC模型, 动态因果效应, 持久性成分, 暂时性成分

Abstract: In order to identify the dynamic causal effects of macroeconomic policy shocks on non-stationary variables and the decomposition of their permanent and temporary components, this paper analyzes the dynamic causal effects of China?s monetary policy. In the framework of potential outcomes, this paper proposes to estimate and infer dynamic causal effects using external instrumental variables based on the Structural Vector Error Correction (SVEC) model. Firstly, under the SVEC-IV condition, the dynamic causal effect of policy shocks is identified according to the Structure Vector Moving Average (SVMA) process of the SVEC model. Secondly, through the structured Beveridge-Nelson representation of SVEC model, the dynamic causal effect of policy shocks is decomposed into permanent components and temporary components, and the long-term causal trend effect and short-term dynamic causal effect of policy shocks are obtained. Finally, the empirical study on the dynamic causal effect of China?s monetary policy finds that the current monetary policy transmission in China is blocked in the first quarter and the commercial bank interbank lending market is weak and effective. The theoretical method constructed in this paper will provide a powerful analytical tool for evaluating the dynamic causal effect of macroeconomic policies.

Key words: Nonstationary, SVEC Model, Dynamic Causal Effect, Permanent Component, Temporary Component