公众信心与货币政策非对称效应
阅读全文
下载全文 |
| Title | Public Confidence and the nonlinear Effects of Monetary Policy
|
| 作者 | 苏梽芳 胡日东 王海成 |
| Author | Su Zhifang, Hu Ridong and Wang Haicheng |
| 作者单位 | 中国社会科学院经济研究所；华侨大学经济与金融学院；中国社会科学院研究生院 |
| Organization | Institute of Economics, CASS;Huaqiao University of Economics and Finance;Graduate school,CASS |
| 作者Email | suzufine@hqu.edu.cn；j_rdhu@hqu.edu.cn；mirrlees@163.com |
| 中文关键词 | 货币政策效应 信心 动态因子模型 平滑转换模型 |
| Key Words | Effect of Monetary Policy; Confidence; Dynamic Factor Model; Smooth Transition Model |
| 内容提要 | 2008年的全球金融危机促使学术界与政策制定者反思信心、信用危机下货币政策的实施效果。本文基于动态因子模型将中国消费信心指数和企业信心指数，合成一个合理反映公众信心水平指标，继而应用Logistic平滑转移向量自回归模型研究中国货币政策效应是否会随公众信心状态的变化而显著不同。研究结果发现:（1）当公众信心上涨时，正向的货币冲击对产出和价格水平的影响小于负向的货币冲击效应，而信心下滑时效应则相反；（2）对于同向的货币冲击，相对于上升状态，信心下滑状态下货币政策冲击的产出效应更小，而价格效应更大；（3）无论公众信心水平处于上升阶段还是下滑阶段，相对于大规模货币政策冲击，小规模货币冲击对产出和价格水平的影响更大。本文政策含义在于：公众信心的转换，已经成为制约经济异动时期货币政策能否奏效的关键因素，因此中央银行在运用宏观审慎管理框架时，应将消费信心指数、企业家信心指数作为一个重要的参考变量加以重点关注，以提高货币政策有效性。 |
| Abstract | The global financial crisis of 2008 promoted academics and policy makers to rethink the effects of monetary policy under confidence crisis and credit crisis. Based on China's consumer confidence index and entrepreneur confidence index, this paper employs the Dynamic Factor Model technique to compose public confidence index, then use logistic smooth transfer vector autoregression model to study whether the effect of monetary policy varies for different public confidence state, and finds that: (1) Under high public confidence state, the positive monetary shocks have weaker effects on output and inflation than negative shocks, and when the public confidence decreases, the positive monetary shocks have stronger effects on output and inflation than negative shocks.(2) For the monetary shock of same direction, the effect on out much is weaker, and the effect on inflation is stronger compared with the high public confidence state.(3)Under high confidence state, small size shocks have stronger effects on output and inflation than big size. The conversion of public confidence has become a key factor influences the effect of monetary policy in special period of economy, therefore the consumer confidence and entrepreneur confidence index may be regarded as important reference variables to improve the effect of monetary policy when the central bank apply prudential macroeconomic policy framework. |
| 文章编号 | WP439 |
| 登载时间 | 2013-04-26 |
|