| 我国货币政策传导成本渠道的存在性检验 |
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| 引用本文： | 田建强,刘志新.我国货币政策传导成本渠道的存在性检验[J].系统工程,2011(8). |
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| 作者姓名： | 田建强 刘志新 |
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| 作者单位： | 北京航空航天大学经济管理学院; |
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| 基金项目： | 国家自然科学基金资助项目(70821061) |
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| 摘 要： | 利用中国近10年宏观经济数据在新凯恩斯菲利普斯曲线框架下检验我国货币政策传导成本渠道的存在性。通过VaR模型脉冲响应发现紧缩的货币政策带来短期通货膨胀现象,说明货币政策能够影响经济的供给方面。应用GMM模型验证中国货币政策传导是否存在成本渠道。研究表明,我国货币政策传导的成本渠道显著存在;银行体系不能过滤基准利率的波动,反而使贷款利率的波动大于基准利率的波动。
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| 关 键 词： | 成本渠道 新凯恩斯菲利普斯曲线 广义矩估计 |
Testing the Existence of the Cost Channel of China's Monetary Transmission |
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| TIAN Jian-qiang,LIU Zhi-xin.Testing the Existence of the Cost Channel of China's Monetary Transmission[J].Systems Engineering,2011(8). |
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| Authors: | TIAN Jian-qiang LIU Zhi-xin |
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| Institution: | TIAN Jian-qiang,LIU Zhi-xin(School of Economic and Management,Beihang University,Beijing 100191,China) |
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| Abstract: | This paper empirically assesses the existence of the cost channel of china's monetary transmission within a New Keynesian Phillips Curve framework.The phenomenon of price puzzle found through a VAR model suggests the possibility of monetary policy effects on the supply side of macroeconomics.Then we estimate a GMM model and find that the cost channel significantly exists in china.The bank system can not filter the fluctuation of the benchmark interest rate but amplify it. |
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| Keywords: | The Cost Channel NKPC GMM |
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