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资产价格波动与货币政策应对——基于结构向量自回归模型的实证分析 被引量:13

The Volatility of Asset Prices and the Stance of Monetary Policy —— An Empirical Study Based on the SVAR Model
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摘要 根据以往研究资产价格与货币政策关系的相关文献和理论框架,本文利用2000-2009年的季度数据,通过一个同时施加长期约束和短期约束的结构向量自回归模型对我国资产价格波动与货币政策应对进行了研究。模型运用脉冲响应分析手段探讨了包括利率政策、货币和信贷在内的货币政策工具对产出、通货膨胀和资产价格的影响。结果表明,货币政策在稳定资产价格的同时对经济增长会造成不利影响,因此,本文认为货币政策不宜以盯住资产价格为目标。 Based on the conventional literature about asset prices and monetary policy, this paper studies the relationships between economic activity, asset prices and monetary policy in China, using quarterly data for 2000 - 2009. In particularly, this paper use a structural VAR model which is identified with a combination of contemporaneous and long - run restrictions to study the volatility of asset prices and the stance of monetary policy. This model analyses the effect of monetary policy including interest rate policy, monetary and credit on GDP and asset prices, using impulse responses. The conclusion is that using monetary policy to stabilize asset prices risks instability in GDP grow rate, so monetary policy need not target asset prices in China.
作者 李亮 Li Liang ( State Administration of Foreign Exchange, Hubei Branch)
出处 《上海经济研究》 CSSCI 北大核心 2010年第4期45-56,共12页 Shanghai Economic Review
关键词 资产价格 货币政策 结构向量自回归 SVAR Asset Prices Monetary Policy Structural Vector Autoregressive SVAR
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