摘要
通过选取中国宏观经济季度数据,本文采用SVAR方法得出货币政策影响实际产出和居民消费的经验事实:扩张性货币政策在短期内增加产出的同时,抑制了居民消费,长期内则导致产出超调和消费持续性。基于刚性储蓄的动态新凯恩斯主义模型,不仅可以较好的解释上述事实,而且可以产生扩张性货币政策具有流动性效应的特征事实。基于该模型的中国货币政策传导机制分析表明,刚性储蓄下的流动性效应和可贷资金效应是扩张性货币政策增加实际产出的主要传导机制,价格粘性和投资调整成本则是导致产出超调的主要因素;扩张性货币政策主要通过刚性储蓄家庭的流动性约束和预防性储蓄抑制居民消费,而居民的消费习惯则是产生消费持续性的重要原因。
Based on China＇s quarterly macro -data, the paper applies SVAR method into impulse response a- nalysis of real output and private consumption under expansionary monetary policy. Our empirical facts show that expansionary monetary policy enhances output and inhibits consumption on impact, and results in output o- vershooting and consumption persistence in the long run. The dynamic new Keynesian model with rigidity sav- ings not only can match and explain the facts, but also is capable of generating an empirically plausible liquidity effect. Analysis of monetary policy transmission mechanism suggests that expansionary monetary policy increases output by the liquidity effect and the loanable funds effect under rigidity saving, generates output overshooting by price rigidity and investment adjustment cost, constraints private consumption mainly by cash - in - advance and precautionary saving, causes consumption persistence by habit formation.
出处
《金融研究》
CSSCI
北大核心
2013年第2期46-59,共14页
Journal of Financial Research
基金
上海财经大学优秀博士学位论文培育基金
上海财经大学研究生科研创新基金项目(CXJJ-2011-337)对本研究的资助
国家社科基金项目(10CJL014
12BJL044)
上海市教委科研创新重点项目(12ZS074)
上海市重点学科建设(B802)
上海财经大学"211工程"四期重点学科建设
上海市金融信息技术研究重点实验室等项目的资助
关键词
刚性储蓄
货币政策
实际产出
居民消费
Rigidity saving
Monetary policy
Real output
Private consumption
