我国货币政策的非对称性研究
摘要
货币政策作为市场经济条件下最具影响力的宏观政策之一，具有很强的灵活性，因此各个国家政府都把货币政策作为一项重要工具，通过调整其强度和方向来预防过度的经济波动所带来的风险，促进经济快速平稳的增长。但是在央行的实际操作中，货币政策对经济所带来的影响往往却是很难准确预测的，货币政策的执行效果在不同的时间、不同区域、不同产业甚至不同产品的价格的反应都不一样，这是因为不同的区域、产业、商品价格和时间对货币政策的敏感程度是不一样的，所以货币政策有效性就会随客观环境的变化而产生非对称的效应。
这说明货币政策的非对称性是货币政策实际操作的过程中有待于研究和解决的关键问题，正确的理解和认识在市场经济条件下我国货币政策的非对称性已经成为货币经济学研究的核心内容。本论文在向量自回归相关的拓展分析方法的基础上，对我国货币政策非对称性进行了检验分析，实证研究结果表明我国的货币政策在区域、产业、商品价格和时间四个维度上都存在非对称性，并且分别对四个维度上货币政策的非对称性形成机理进行了分析。在区域维度上,本文第三章证实了货币政策的传导在省级行政区之间存在显著的非对称性，并从经济增长、产业结构、社会发展、居民生活水平等方面对货币政策的区域非对称性形成的机理做出进一步的理论解释和说明。最终的研究结果表明，社会保障情况、非农发展情况都与货币政策冲击所引起的省级区域价格波动的周期呈线性负相关的关系。另外，不同区域内的产业结构差异是货币政策的区域非对称性存在的根本原因之一。我们发现第一产业比重越大的省级区域，通常货币政策引起的通货膨胀周期越长。而第三产业中批发零售业、房地产业及金融业的发展水平越高，货币政策引起的通货膨胀周期越短。
在产业维度上,本文第四章应用大量与文中研究产业相关的经济指标和财务指标作为总体经济变量来反映各个产业经济状态有代表性的子空间，在这些子空间中提炼出公共产业因子，刻画产业因子之间的互动关系。实证结果显示，货币政策在不同产业之间存在显著的非对称效应，其中房地业对货币政策的变动反应最为敏感，农业和重工业次之，而服务业与轻工业对货币政策的冲击反应敏感度较低。
在商品价格维度上，本文第五章研究了货币政策对各类消费品价格所表现出的非对称性。通过对居民食品消费价格指数、居民交通和通信消费价格指数、居民医疗保健和个人用品消费价格指数这三类商品消费价格指数的货币冲击的响应进行实证分析后，发现货币政策对于不同消费品价格存在明显的非对称效应。其中居民食品消费价格指数对货币政策的变动反应最为敏感，居民医疗保健和个人用品消费价格指数次之，而居民交通和通信消费价格指数的冲击反应敏感度较低。同时为了证明上述结果的稳健性，本文又在不同区域进行了货币政策对商品价格的非对称性实证分析。
在时间维度上，本文第六章分析了我国不同时间的货币政策变化对通货膨胀率所带来的不同影响，进而得到以下实证结论。一，发现不同时间阶段的货币冲击变化的剧烈程度是不同的。二，不同时间点的同向货币冲击对通货膨胀的影响是不同的。三，不同时间点的异向货币冲击对通货膨胀的影响存在比较显著的非对称性。更重要是，本文发现短期内负向货币冲击比正向货币冲击对通货膨胀率的影响要大，但是长期的情况下正向货币冲击就比负向货币冲击所产生的影响要大了。
本文以VAR的拓展模型为主线，首先使用SVAR模型考察了货币政策对于区域的非对称性，随后将SFAVAR模型引入了对于货币政策产业非对称性的分析框架当中。使用PVAR模型从商品价格渠道入手分析了货币政策冲击对经济的非对称影响。最后本文基于TVP-SV-VAR模型对货币政策时间的非对称性进行了研究。
The effective monetary policy, being the most penetrative and influential policyin a market economy, is regarded as an important economic tool by variousgovernments. Monetary Policy is applied to promote steady and rapid economicdevelopment and control the risks caused by excessive economic fluctuation. Whenthe central bank operate in practice, it is hard to predict monetary policy’s impact oneconomy. The effects of monetary Policy on different stages、regions、industries andcommodity prices are different. Because different regions、industries、stages ofeconomic development and commodity prices with their own Sensitive to monetarypolicy will change according to the environment, which is called the asymmetriceffects of monetary policy. In other words, the asymmetric effects of monetarypolicy are the key issues to research and solve for operation of the process ofmonetary policy in practice. Aware and understand the asymmetry of monetarypolicy in our country accurately in the market economy, which has become a core ofresearch for monetary economics. Based on extension analysis method from vectorautoregressive, this paper analyzes the asymmetry of monetary policy in China, andthe empirical results show that in our country the asymmetric effects of monetarypolicy show in the following four dimensions: region, industry, commodity price andtime, then this paper analyzes the mechanism of asymmetry effects of monetarypolicy in the four dimensions separately. In the regional dimension, this papertestifies the existence of asymmetry effects of monetary policy during whichtransmit in the provincial administrative region, and explain the mechanism of theasymmetric effects of monetary policy from economic and social development、industrial structure and living standards. The final result shows that it is found thatthe relationship between factors, which are social security and non-agriculturaldevelopment, and inflation cycle of the provincial administrative region caused bymoney shock is a negative correlation. Moreover, one of the fundamental reasonsthat why exit the asymmetric effects of monetary policy among different regions isthe different industrial structure in different regions.We find that the higherPercentage of primary industry is in the region, the longer inflation cycle is, and thatthe higher level of development of realty industry、financial industry and wholesaleand retail trade industry, the shorter inflation cycle caused by monetary policy is.
In the industrial dimension, we use economic indexes and financial indexes asvariables to reflect the subspace which represent every industry in the fourth chapter,and refine public industrial factors to describe the Interactive relationship amongindustrial factors. Therein asymmetric effect on realty industry is most remarkable,heavy industry and agriculture comes second, while asymmetric effect of monetarypolicy on service industry and light industry is least remarkable.
In the commodity price dimension, we research the asymmetric effect ofmonetary policy on various commodity prices in the fifth chapter. We testify theexistence of asymmetry effects of monetary policy during different commodityprices, by analyzing the respond to monetary impact on food price index、traffic andcommunication price index、medical care and personal supplies consumer price index.Therein asymmetric effect on food price index is most remarkable, medicalcare and personal supplies consumer price index comes second, while asymmetriceffect of monetary policy on personal supplies consumer price index is leastremarkable. This paper makes an empirical analysis for the asymmetric effect ofmonetary policy on various commodity prices in the different regions to prove therobustness of idea above-mentioned.
In the time dimension, we research the asymmetric effect of monetary policy oninflation in different time in the sixth chapter, and we arrive at the following review.Firstly, the variety of monetary shocks in different stages is different. Secondly, it isat different times that the effect of monetary impact in the same direction is different.Thirdly, it is at different times that the effect of monetary shock in the differentdirection is different. What's more, the effect of negative monetary impact oninflation is bigger than the effect of positive monetary impact on inflation in a shorttime, while the result was opposite when it is in a long time.
Following the VAR family models as principal method, this paper firstlystudies the asymmetric effects of monetary policy on different regions by structurevector autoregressive model, then draws structure factor augment vectorautoregressive model to analyze t the asymmetric effects of monetary policy ondifferent industries. We use panel vector autoregressive model to analyze theasymmetric effects from the commodity price channel. Based on time varyingparameters-stochastic volatility-vector autoregressive model, this paper researchesthe asymmetric effects of monetary policy on time.
这说明货币政策的非对称性是货币政策实际操作的过程中有待于研究和解决的关键问题，正确的理解和认识在市场经济条件下我国货币政策的非对称性已经成为货币经济学研究的核心内容。本论文在向量自回归相关的拓展分析方法的基础上，对我国货币政策非对称性进行了检验分析，实证研究结果表明我国的货币政策在区域、产业、商品价格和时间四个维度上都存在非对称性，并且分别对四个维度上货币政策的非对称性形成机理进行了分析。在区域维度上,本文第三章证实了货币政策的传导在省级行政区之间存在显著的非对称性，并从经济增长、产业结构、社会发展、居民生活水平等方面对货币政策的区域非对称性形成的机理做出进一步的理论解释和说明。最终的研究结果表明，社会保障情况、非农发展情况都与货币政策冲击所引起的省级区域价格波动的周期呈线性负相关的关系。另外，不同区域内的产业结构差异是货币政策的区域非对称性存在的根本原因之一。我们发现第一产业比重越大的省级区域，通常货币政策引起的通货膨胀周期越长。而第三产业中批发零售业、房地产业及金融业的发展水平越高，货币政策引起的通货膨胀周期越短。
在产业维度上,本文第四章应用大量与文中研究产业相关的经济指标和财务指标作为总体经济变量来反映各个产业经济状态有代表性的子空间，在这些子空间中提炼出公共产业因子，刻画产业因子之间的互动关系。实证结果显示，货币政策在不同产业之间存在显著的非对称效应，其中房地业对货币政策的变动反应最为敏感，农业和重工业次之，而服务业与轻工业对货币政策的冲击反应敏感度较低。
在商品价格维度上，本文第五章研究了货币政策对各类消费品价格所表现出的非对称性。通过对居民食品消费价格指数、居民交通和通信消费价格指数、居民医疗保健和个人用品消费价格指数这三类商品消费价格指数的货币冲击的响应进行实证分析后，发现货币政策对于不同消费品价格存在明显的非对称效应。其中居民食品消费价格指数对货币政策的变动反应最为敏感，居民医疗保健和个人用品消费价格指数次之，而居民交通和通信消费价格指数的冲击反应敏感度较低。同时为了证明上述结果的稳健性，本文又在不同区域进行了货币政策对商品价格的非对称性实证分析。
在时间维度上，本文第六章分析了我国不同时间的货币政策变化对通货膨胀率所带来的不同影响，进而得到以下实证结论。一，发现不同时间阶段的货币冲击变化的剧烈程度是不同的。二，不同时间点的同向货币冲击对通货膨胀的影响是不同的。三，不同时间点的异向货币冲击对通货膨胀的影响存在比较显著的非对称性。更重要是，本文发现短期内负向货币冲击比正向货币冲击对通货膨胀率的影响要大，但是长期的情况下正向货币冲击就比负向货币冲击所产生的影响要大了。
本文以VAR的拓展模型为主线，首先使用SVAR模型考察了货币政策对于区域的非对称性，随后将SFAVAR模型引入了对于货币政策产业非对称性的分析框架当中。使用PVAR模型从商品价格渠道入手分析了货币政策冲击对经济的非对称影响。最后本文基于TVP-SV-VAR模型对货币政策时间的非对称性进行了研究。
The effective monetary policy, being the most penetrative and influential policyin a market economy, is regarded as an important economic tool by variousgovernments. Monetary Policy is applied to promote steady and rapid economicdevelopment and control the risks caused by excessive economic fluctuation. Whenthe central bank operate in practice, it is hard to predict monetary policy’s impact oneconomy. The effects of monetary Policy on different stages、regions、industries andcommodity prices are different. Because different regions、industries、stages ofeconomic development and commodity prices with their own Sensitive to monetarypolicy will change according to the environment, which is called the asymmetriceffects of monetary policy. In other words, the asymmetric effects of monetarypolicy are the key issues to research and solve for operation of the process ofmonetary policy in practice. Aware and understand the asymmetry of monetarypolicy in our country accurately in the market economy, which has become a core ofresearch for monetary economics. Based on extension analysis method from vectorautoregressive, this paper analyzes the asymmetry of monetary policy in China, andthe empirical results show that in our country the asymmetric effects of monetarypolicy show in the following four dimensions: region, industry, commodity price andtime, then this paper analyzes the mechanism of asymmetry effects of monetarypolicy in the four dimensions separately. In the regional dimension, this papertestifies the existence of asymmetry effects of monetary policy during whichtransmit in the provincial administrative region, and explain the mechanism of theasymmetric effects of monetary policy from economic and social development、industrial structure and living standards. The final result shows that it is found thatthe relationship between factors, which are social security and non-agriculturaldevelopment, and inflation cycle of the provincial administrative region caused bymoney shock is a negative correlation. Moreover, one of the fundamental reasonsthat why exit the asymmetric effects of monetary policy among different regions isthe different industrial structure in different regions.We find that the higherPercentage of primary industry is in the region, the longer inflation cycle is, and thatthe higher level of development of realty industry、financial industry and wholesaleand retail trade industry, the shorter inflation cycle caused by monetary policy is.
In the industrial dimension, we use economic indexes and financial indexes asvariables to reflect the subspace which represent every industry in the fourth chapter,and refine public industrial factors to describe the Interactive relationship amongindustrial factors. Therein asymmetric effect on realty industry is most remarkable,heavy industry and agriculture comes second, while asymmetric effect of monetarypolicy on service industry and light industry is least remarkable.
In the commodity price dimension, we research the asymmetric effect ofmonetary policy on various commodity prices in the fifth chapter. We testify theexistence of asymmetry effects of monetary policy during different commodityprices, by analyzing the respond to monetary impact on food price index、traffic andcommunication price index、medical care and personal supplies consumer price index.Therein asymmetric effect on food price index is most remarkable, medicalcare and personal supplies consumer price index comes second, while asymmetriceffect of monetary policy on personal supplies consumer price index is leastremarkable. This paper makes an empirical analysis for the asymmetric effect ofmonetary policy on various commodity prices in the different regions to prove therobustness of idea above-mentioned.
In the time dimension, we research the asymmetric effect of monetary policy oninflation in different time in the sixth chapter, and we arrive at the following review.Firstly, the variety of monetary shocks in different stages is different. Secondly, it isat different times that the effect of monetary impact in the same direction is different.Thirdly, it is at different times that the effect of monetary shock in the differentdirection is different. What's more, the effect of negative monetary impact oninflation is bigger than the effect of positive monetary impact on inflation in a shorttime, while the result was opposite when it is in a long time.
Following the VAR family models as principal method, this paper firstlystudies the asymmetric effects of monetary policy on different regions by structurevector autoregressive model, then draws structure factor augment vectorautoregressive model to analyze t the asymmetric effects of monetary policy ondifferent industries. We use panel vector autoregressive model to analyze theasymmetric effects from the commodity price channel. Based on time varyingparameters-stochastic volatility-vector autoregressive model, this paper researchesthe asymmetric effects of monetary policy on time.
引文
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