关键词: 货币政策, 系统性, 非系统性, 时变特征

Abstract:

To investigate the time-varying characteristics of structural shocks and propagation mechanism in the economy, we specify a VAR model with time-varying parameters and stochastic volatility. In the proposed empirical framework, this paper focuses on the time-varying effects of systematic and non-systematic monetary policies. Evidence of “price puzzle” and “output puzzle” is found in the non-systematic monetary policy. Systematic monetary policy seems to be passive against inflation. To explore the causal link between the monetary policy and macroeconomic stability, we conduct counter-factual exercises. The results show that, although the systematic and non-systematic monetary policy has been improved, it is not the main source of the Great Moderation. Combined with the theoretical results in the literature, we clarify the links between the two phenomena.

Key words: Monetary Policy, Systematic, Non-systematic, Time-varying