统计研究

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可预期与不可预期货币政策时滞的实证测度

肖卫国 刘杰   

  • 出版日期:2013-12-15 发布日期:2013-11-28

Measuring Time Lag of the Predictable and Unpredictable Monetary Policy

Weiguo Xiao & Jie Liu   

  • Online:2013-12-15 Published:2013-11-28

摘要: 本文利用SVAR模型将不同货币政策工具分解成为可预期与不可预期成分,并对各货币政策工具的产出时滞与通胀时滞进行了测度。实证结果表明,货币政策成分中,不可预期货币政策的时滞效应更短;相比较货币供应量增长率与利率,当银行信贷增长率作为货币政策工具变量时,其对产出和通货膨胀的时滞最短。因此,中国人民银行应继续实施相机抉择型货币政策,且在应对产出和通货膨胀波动时,应选择控制银行信贷总量和保持均衡的信贷增长率。

关键词: 货币政策分解, 货币政策工具, 货币政策时滞

Abstract: This paper uses SVAR model to decompose the different monetary policy instruments into the predictable and unpredictable composition, and measure the time lag of output and inflation. The result shows that, the time lag of unpredictable monetary policy is shorter than unpredictable monetary policy, and the time lag of bank credit growth is the shortest by comparing to the money supply growth rate and interest rates. For this reason, the People's Bank of China should continue to implement the discretionary monetary policy, and control the gross of bank credit as well as maintain the balance of credit growth.

Key words: Decomposition of Monetary Policy, Monetary Policy Instruments, Time Lag of Monetary Policy