货币政策的非对称效应与有效性研究——LSTVAR模型及其应用
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摘要
货币政策的非对称性和有效性是货币政策领域的重要研究主题,也是政府关注的焦点。根据我国货币政策特征,本文首先借助LSTVAR模型分析货币政策非对称效应。研究发现,在低增长状态下,信贷正负冲击的产出效应和利率正负冲击的价格效应都具有显著非对称性;在高增长状态下,利率和信贷的正负冲击对产出具有显著非对称效应,货币、利率和信贷的正负冲击对价格皆具有显著非对称效应;在正向冲击方面,货币和信贷的产出效应以及利率和信贷的价格效应在不同经济状态下具有显著非对称性;在负向冲击方面,信贷的产出效应和价格效应都具有较明显非对称性。而且,低增长状态下,信贷的产出扩张效应和货币、信贷的价格扩张效应较强;高增长状态下,货币的产出紧缩效应和货币、信贷的价格紧缩效应较强。其次,本文借助LSTVAR模型估计结果从工具选择角度分析货币政策有效性,并提出相应的政策建议。
The asymmetr y and effectiveness of monetar y polic y is an important research topic in the field of monetary policy and the focus of policy authorities.According to the characteristics of China's monetar y policy,this paper first analyzes the asymmetric effect of monetary policy by means of LSTVAR model.It is found that under the low growth condition,the output effect of the positive and negative impact of the credit,and the price effect of the positive and negative impact of the interest rate have significant asymmetry.Under the high growth condition,the positive and negative impact of the interest rate and credit has significant asymmetry;the positive and negative impacts of the currency,the interest rate and the credit have significant asymmetric price effects.In the positive impact,the output effect of money and credit,and the price effect of interest rate and credit have significant asymmetry in different economic states.In the negative impact,the credit output effect and price effect are more obvious asymmetry.Moreover,under the condition of low growth,the expansion output effect of credit and the price effect of money and credit expansion are stronger.In the high growth state,the tightening output effect of money and the tightening price effect of money and credit are stronger.Secondly,this paper analyzes the validity of monetary policy from the perspective of tool selection by LSTVAR model estimation results,and gives the corresponding policy suggestions.
The asymmetr y and effectiveness of monetar y polic y is an important research topic in the field of monetary policy and the focus of policy authorities.According to the characteristics of China's monetar y policy,this paper first analyzes the asymmetric effect of monetary policy by means of LSTVAR model.It is found that under the low growth condition,the output effect of the positive and negative impact of the credit,and the price effect of the positive and negative impact of the interest rate have significant asymmetry.Under the high growth condition,the positive and negative impact of the interest rate and credit has significant asymmetry;the positive and negative impacts of the currency,the interest rate and the credit have significant asymmetric price effects.In the positive impact,the output effect of money and credit,and the price effect of interest rate and credit have significant asymmetry in different economic states.In the negative impact,the credit output effect and price effect are more obvious asymmetry.Moreover,under the condition of low growth,the expansion output effect of credit and the price effect of money and credit expansion are stronger.In the high growth state,the tightening output effect of money and the tightening price effect of money and credit are stronger.Secondly,this paper analyzes the validity of monetary policy from the perspective of tool selection by LSTVAR model estimation results,and gives the corresponding policy suggestions.
引文
曹小衡、张敬庭、刘雪燕:《中国货币政策效果非对称性——基于AS-AD模型的研究》,《山西大学学报(哲学社会科学版)》,2008年第2期。
曹永琴、李泽祥:《中国货币政策效应非对称性的实证研究》,《经济评论》,2007年第6期。
陈建斌:《政策方向、经济周期与货币政策效力非对称性》,《管理世界》,2006年第3期。
陈利平:《货币存量中介目标制下我国货币政策低效率的理论分析》,《金融研究》,2006年第1期。
戴金平、金永军、刘斌:《资本监管、银行信贷与货币政策非对称效应》,《经济学(季刊)》,2008年第1期。
国务院发展研究中心金融研究所货币政策传导机制研究组:《中国银行体系贷款供给的决定及其对经济波动的影响》,《金融研究》,2003年第8期。
李浩、胡永刚、马知遥:《国际贸易与中国的实际经济周期-基于封闭与开放经济的RBC模型比较分析》,《经济研究》,2007年第5期。
刘金全、郑挺国:《我国货币政策冲击对实际产出周期波动的非对称影响分析》,《数量经济技术经济研究》,2006年第10期。
刘金全、郑挺国:《我国货币政策冲击对实际产出周期波动的非对称影响分析》,《中国工业经济》,2008年第1期。
卢万青、陈建梁:《人民币汇率变动对我国经济增长影响的实证研究》,《金融研究》,2007年第2期。
王立勇、张代强:《金融变量的产出、价格效应及非线性效应研究》,《经济学动态》,2008年第12期。
王立勇、张代强、刘文革:《开放经济下我国非线性货币政策的非对称效应研究》,《经济研究》,2010年第9期。
王立勇、张良贵:《开放条件下我国货币政策有效性分析》,《数量经济技术经济研究》,2011年第8期。
王胜、邹恒甫:《开放经济中的货币政策》,《管理世界》,2006年第2期。
张屹山、张代强:《包含货币因素的利率规则及其在我国的实证检验》,《经济研究》,2008年第12期。
赵进文、闵捷:《央行货币政策操作效果非对称性实证研究》,《经济研究》,2005年第2期(2005a)。
赵进文、闵捷:《央行货币政策操作政策拐点与开关函数的测定》,《经济研究》,2005年第12期(2005b)。
赵振全、于震、刘淼:《金融加速器效应在中国存在吗》,《经济研究》,2007年第6期。
周英章、蒋振声:《货币渠道、信用渠道与货币政策有效性——中国1993-2001年的实证分析和政策含义》,《金融研究》,2002年第9期。
Abel,Andrew B.and Janice C.Eberly,A Unified Model of Investment under Uncertainty,American Economic Review,84:1369-1384,1994.
Bagliano,F.and Favero,C.,Measuring Monetary Policy with VAR models:an Evaluation,European Economic Review,42:1069-1112,1998.
Balke Nathan S.,Credit and Economic Activity:Credit Regimes and Nonlinear Propagation of Shocks,Review of Economics and Statistics,82:344-349,2000.
Beaudry,Paul and Gray Koop,Do Recessions Permanently Change output?Journal of Monetary Economics,31:149-163,1993.
Bec F.,M.B.Salem,F.Collard,Asymmetric in Monetary Policy Reaction Function:Evidence for the U.S.,French and German Central Bank,Studies in Nonlinear Dynamic and Econometrics,6(2):2002.
Bernanke,B.S.,Alternative Explanations of the Money-Income Correlation,Carniege-Rochester Conference Series on Public Policy,25:49-99.1986.
Bernanke,B.S.and A.S.Blinder,Credit,Money and Aggregate Demand,American Economic Review,78:435-439,1988.
Bernanke,B.S.,M.Gertler and S.Gilchrist,The Financial Accelerator in a Quantitiative Business Cycle Framework,in J.B.Taylor and M.Woodford(eds.),Handbook of Macroeconomics,1C,1341-1393,1999.
Blinder,A.S.,Credit Rationing and Effective Supply Failures,Economic Journal,97:327-352,1987.
Bruinshoofd,Allard and Bertrand Candelon,Nonlinear Monetary Policy in Europe:Fact or Myth?,Economics Letters,86:399-403,2005.
Christiano,L.J.,M.Eichenbaum and C.Evans,Monetary Policy Shocks:What Have We Learned and to What End?,in J.Taylor and M.Woodford(eds.),Handbook of Macroeconomics,1A,65-148,1999.
Cover,James,Asymmetric Effects of Positive and Negative Money-Supply Shocks,Quarterly Journal of Economics,107:1261-1282,1992.
Cukierman,A.,The Inflation Bias Result Revisited,Tel-Aviv Foerder and Sackler Institute for Economic Research,Working Paper 99/38,1-19,1999.
Florio,Anna,The Asymmetric Effects of Monetary Policy,Journal of Economic Surveys,18:409-426,2004.
Garcia,Rene,and Huntley Schaller,Are the Effects of Monetary Policy Asymmetric?,Economic Inquiry,40:102-119,2002.
Granger,Clive W.and Timo Ter?svirta,Modeling Nonlinear Economic Relationships,New York:Oxford University Press,1993.
Kandil,Magda,Asymmetric Nominal Flexibility and Economic Fluctuations,Southern Economic Journal,61:674-695,1995.
Karras,Georgios,Are the Output Effects of Monetary Policy Asymmetric?Evidence from a Sample of European Countries,Oxford Bulletin of Economics and Statistics,58:267-278,1996.
Kashyap,A.K.,J.C.Stein and D.W.Wilcox,Monetary Policy and Conditions:Evidence from the Composition of External Finance,American Economic Review,83:78-98,1993.
Kaufmann,Sylvia,Is There an Asymmetric Effect of Monetary Policy over Time?,Empirical Economics,27:277-297,2002.
Kim Dong Heon,Denise R.Osborn and Marianne Sensier,Nonlinearity in the Fed’s Monetary Policy Rule,Journal of Applied Econometrics,20:621-639,2005.
Koop Gray,M.Hashem Pesaran,and Simon M.Potter,Impulse Response Analysis in Nonlinear Multivariate Models,Journal of Econometrics,74:119-147.1996.
Morgan,Donald P.,Asymmetric Effects of Monetary Policy,Federal Reserve Bank of Kansas City Economic Review,78:21-33,1993.
Sichel,Daniel E.,Inventories and the Three Phases of the Business Cycle,Journal of Business and Economic Statistics,12:269-277,1994.
Stiglitz Joseph E.,and Andrew Greenwald,Credit Rationing in Markets with Imperfect Information,American Economic Review,71:393-410,1981.
Stiglitz Joseph E.,and Bruce Greenwald,Towards a New Paradigm in Monetary Economics,Cambridge University Press,2003.
Taylor,J.B.,Discretion versus Policy Rules in Practice,Carnegie-Rochester Conference Series on Public Policy,39:195-214,1993.
Ter?svirta,T.,and H.M.Anderson,Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models,Journal of Applied Econometrics,7:119-136,1992.
Thoma,Mark A.,Subsample Instability and Asymmetries in Money-Income Causality,Journal of Econometrics,64:279-306,1994.
Weise,Charles L.,The Asymmetric Effects of Monetary Policy:A Nonlinear Vector Autoregressive Approach,Journal of Money,Credit and Banking,31:85-108,1999.
A货币政策非对称效应意味着不同的货币政策取向(扩张或紧缩)在不同的经济状态下(低增长或高增长)对产出或价格具有不同程度的影响。可见,货币政策非对称效应既包括货币政策正负冲击具有不同效应,也包括不同经济周期状态(经济高增长状态和低增长状态)下冲击具有不同效应。
A非线性VAR模型描述的非线性货币政策并不一定意味着货币政策冲击具有非对称效应,二者有本质区别。只有获得能够准确描述货币政策实际操作的货币政策方程(线性或非线性),才能进一步考察货币政策非对称效应。
A如果我们将F(zt)=0指定为纯粹的“高速增长”状态,F(zt)=1指定为纯粹的“低速增长”状态,那么平滑参数λ=1.75意味着当yt-1偏离门限值一个标准差时,那么F(zt)大约为0.85(0.15)。这就意味着经济增长状态是低速增长状态和高速增长状态的线性组合,权重分别为0.85和0.15。
B本文以12.35%作为门限值具有现实合理性。根据这个门限值,中央银行可以将工业增长率高于12.35%的经济运行判断为经济高增长状态,将工业增长率低于12.35%的经济运行判断为经济低增长状态,根据不同的经济增长状态进而制定有差别的货币政策。
曹永琴、李泽祥:《中国货币政策效应非对称性的实证研究》,《经济评论》,2007年第6期。
陈建斌:《政策方向、经济周期与货币政策效力非对称性》,《管理世界》,2006年第3期。
陈利平:《货币存量中介目标制下我国货币政策低效率的理论分析》,《金融研究》,2006年第1期。
戴金平、金永军、刘斌:《资本监管、银行信贷与货币政策非对称效应》,《经济学(季刊)》,2008年第1期。
国务院发展研究中心金融研究所货币政策传导机制研究组:《中国银行体系贷款供给的决定及其对经济波动的影响》,《金融研究》,2003年第8期。
李浩、胡永刚、马知遥:《国际贸易与中国的实际经济周期-基于封闭与开放经济的RBC模型比较分析》,《经济研究》,2007年第5期。
刘金全、郑挺国:《我国货币政策冲击对实际产出周期波动的非对称影响分析》,《数量经济技术经济研究》,2006年第10期。
刘金全、郑挺国:《我国货币政策冲击对实际产出周期波动的非对称影响分析》,《中国工业经济》,2008年第1期。
卢万青、陈建梁:《人民币汇率变动对我国经济增长影响的实证研究》,《金融研究》,2007年第2期。
王立勇、张代强:《金融变量的产出、价格效应及非线性效应研究》,《经济学动态》,2008年第12期。
王立勇、张代强、刘文革:《开放经济下我国非线性货币政策的非对称效应研究》,《经济研究》,2010年第9期。
王立勇、张良贵:《开放条件下我国货币政策有效性分析》,《数量经济技术经济研究》,2011年第8期。
王胜、邹恒甫:《开放经济中的货币政策》,《管理世界》,2006年第2期。
张屹山、张代强:《包含货币因素的利率规则及其在我国的实证检验》,《经济研究》,2008年第12期。
赵进文、闵捷:《央行货币政策操作效果非对称性实证研究》,《经济研究》,2005年第2期(2005a)。
赵进文、闵捷:《央行货币政策操作政策拐点与开关函数的测定》,《经济研究》,2005年第12期(2005b)。
赵振全、于震、刘淼:《金融加速器效应在中国存在吗》,《经济研究》,2007年第6期。
周英章、蒋振声:《货币渠道、信用渠道与货币政策有效性——中国1993-2001年的实证分析和政策含义》,《金融研究》,2002年第9期。
Abel,Andrew B.and Janice C.Eberly,A Unified Model of Investment under Uncertainty,American Economic Review,84:1369-1384,1994.
Bagliano,F.and Favero,C.,Measuring Monetary Policy with VAR models:an Evaluation,European Economic Review,42:1069-1112,1998.
Balke Nathan S.,Credit and Economic Activity:Credit Regimes and Nonlinear Propagation of Shocks,Review of Economics and Statistics,82:344-349,2000.
Beaudry,Paul and Gray Koop,Do Recessions Permanently Change output?Journal of Monetary Economics,31:149-163,1993.
Bec F.,M.B.Salem,F.Collard,Asymmetric in Monetary Policy Reaction Function:Evidence for the U.S.,French and German Central Bank,Studies in Nonlinear Dynamic and Econometrics,6(2):2002.
Bernanke,B.S.,Alternative Explanations of the Money-Income Correlation,Carniege-Rochester Conference Series on Public Policy,25:49-99.1986.
Bernanke,B.S.and A.S.Blinder,Credit,Money and Aggregate Demand,American Economic Review,78:435-439,1988.
Bernanke,B.S.,M.Gertler and S.Gilchrist,The Financial Accelerator in a Quantitiative Business Cycle Framework,in J.B.Taylor and M.Woodford(eds.),Handbook of Macroeconomics,1C,1341-1393,1999.
Blinder,A.S.,Credit Rationing and Effective Supply Failures,Economic Journal,97:327-352,1987.
Bruinshoofd,Allard and Bertrand Candelon,Nonlinear Monetary Policy in Europe:Fact or Myth?,Economics Letters,86:399-403,2005.
Christiano,L.J.,M.Eichenbaum and C.Evans,Monetary Policy Shocks:What Have We Learned and to What End?,in J.Taylor and M.Woodford(eds.),Handbook of Macroeconomics,1A,65-148,1999.
Cover,James,Asymmetric Effects of Positive and Negative Money-Supply Shocks,Quarterly Journal of Economics,107:1261-1282,1992.
Cukierman,A.,The Inflation Bias Result Revisited,Tel-Aviv Foerder and Sackler Institute for Economic Research,Working Paper 99/38,1-19,1999.
Florio,Anna,The Asymmetric Effects of Monetary Policy,Journal of Economic Surveys,18:409-426,2004.
Garcia,Rene,and Huntley Schaller,Are the Effects of Monetary Policy Asymmetric?,Economic Inquiry,40:102-119,2002.
Granger,Clive W.and Timo Ter?svirta,Modeling Nonlinear Economic Relationships,New York:Oxford University Press,1993.
Kandil,Magda,Asymmetric Nominal Flexibility and Economic Fluctuations,Southern Economic Journal,61:674-695,1995.
Karras,Georgios,Are the Output Effects of Monetary Policy Asymmetric?Evidence from a Sample of European Countries,Oxford Bulletin of Economics and Statistics,58:267-278,1996.
Kashyap,A.K.,J.C.Stein and D.W.Wilcox,Monetary Policy and Conditions:Evidence from the Composition of External Finance,American Economic Review,83:78-98,1993.
Kaufmann,Sylvia,Is There an Asymmetric Effect of Monetary Policy over Time?,Empirical Economics,27:277-297,2002.
Kim Dong Heon,Denise R.Osborn and Marianne Sensier,Nonlinearity in the Fed’s Monetary Policy Rule,Journal of Applied Econometrics,20:621-639,2005.
Koop Gray,M.Hashem Pesaran,and Simon M.Potter,Impulse Response Analysis in Nonlinear Multivariate Models,Journal of Econometrics,74:119-147.1996.
Morgan,Donald P.,Asymmetric Effects of Monetary Policy,Federal Reserve Bank of Kansas City Economic Review,78:21-33,1993.
Sichel,Daniel E.,Inventories and the Three Phases of the Business Cycle,Journal of Business and Economic Statistics,12:269-277,1994.
Stiglitz Joseph E.,and Andrew Greenwald,Credit Rationing in Markets with Imperfect Information,American Economic Review,71:393-410,1981.
Stiglitz Joseph E.,and Bruce Greenwald,Towards a New Paradigm in Monetary Economics,Cambridge University Press,2003.
Taylor,J.B.,Discretion versus Policy Rules in Practice,Carnegie-Rochester Conference Series on Public Policy,39:195-214,1993.
Ter?svirta,T.,and H.M.Anderson,Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models,Journal of Applied Econometrics,7:119-136,1992.
Thoma,Mark A.,Subsample Instability and Asymmetries in Money-Income Causality,Journal of Econometrics,64:279-306,1994.
Weise,Charles L.,The Asymmetric Effects of Monetary Policy:A Nonlinear Vector Autoregressive Approach,Journal of Money,Credit and Banking,31:85-108,1999.
A货币政策非对称效应意味着不同的货币政策取向(扩张或紧缩)在不同的经济状态下(低增长或高增长)对产出或价格具有不同程度的影响。可见,货币政策非对称效应既包括货币政策正负冲击具有不同效应,也包括不同经济周期状态(经济高增长状态和低增长状态)下冲击具有不同效应。
A非线性VAR模型描述的非线性货币政策并不一定意味着货币政策冲击具有非对称效应,二者有本质区别。只有获得能够准确描述货币政策实际操作的货币政策方程(线性或非线性),才能进一步考察货币政策非对称效应。
A如果我们将F(zt)=0指定为纯粹的“高速增长”状态,F(zt)=1指定为纯粹的“低速增长”状态,那么平滑参数λ=1.75意味着当yt-1偏离门限值一个标准差时,那么F(zt)大约为0.85(0.15)。这就意味着经济增长状态是低速增长状态和高速增长状态的线性组合,权重分别为0.85和0.15。
B本文以12.35%作为门限值具有现实合理性。根据这个门限值,中央银行可以将工业增长率高于12.35%的经济运行判断为经济高增长状态,将工业增长率低于12.35%的经济运行判断为经济低增长状态,根据不同的经济增长状态进而制定有差别的货币政策。