双政策利率消息冲击的宏观经济效应——基于TVP-SV-VAR模型的分析

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中央财经大学学报 ›› 2025, Vol. 0 ›› Issue (5) : 48-64.

金融保险

王少林, 王茜

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Macroeconomic Effects of Dual Policy Rate News Shocks:An Analysis Based on the TVP-SV-VAR Model

WANG Shaolin, WANG Xi

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摘要

双政策利率是我国货币政策框架长期以来的重要特征。在我国强化短期政策利率的背景下,科学地测度双政策利率各自的宏观经济效应与讨论政策利率体系的改进方向尤为重要。本文创新性地将消息推动的经济周期理论融入具有时变参数和随机波动率的向量自回归(TVP-SV-VAR)模型中,通过对双政策利率消息冲击进行正交化处理,深入研究了其净宏观经济效应。研究发现:首先,中期政策利率的正向消息冲击能有效降低产出缺口和物价水平,且这种影响日益增强;而短期政策利率的正向消息冲击却导致产出缺口和物价水平上升。其次,在金融危机、新冠疫情等重大经济冲击下,双政策利率消息冲击对产出缺口和物价的影响更为显著。最后,与传统的TVP-SV-VAR模型相比,双政策利率消息冲击的分析结果存在显著差异,进一步凸显了本研究的必要性。本文的创新方法不仅评估了政策效果,而且为完善中国的价格型货币政策框架提供了宝贵的经验指导。

Abstract

Dual policy rates have long been an important feature of China's monetary policy framework. Against the backdrop of a strengthened focus on short-term policy rates, it is crucial to accurately assess the distinct macroeconomic effects of each rate and to explore avenues for improving the policy rate system.This paper introduces an innovative approach by integrating a news-driven economic cycle theory into a time-varying parameter and stochastic volatility vector autoregression(TVP-SV-VAR) model.By orthogonalizing the news shocks of the dual policy rates, the study provides a detailed examination of their net macroeconomic impact.The results indicate that a positive news shock in the medium-term policy rate effectively reduces both the output gap and price level, with this effect intensifying over time, whereas a positive news shock in the short-term policy rate leads to an increase in both.Moreover, during significant economic shocks such as financial crises and the COVID-19 pandemic, the influence of these news shocks on the output gap and prices become even more pronounced.In comparison with the conventional TVP-SV-VAR model, the analysis of dual policy rates news shocks reveals marked differences, underscoring the necessity of this research.The proposed methodology not only evaluates policy effectiveness but also offers valuable empirical insights for enhancing China's price-based monetary policy framework.

导出引用

王少林, 王茜. 双政策利率消息冲击的宏观经济效应——基于TVP-SV-VAR模型的分析[J]. 中央财经大学学报, 2025, 0(5): 48-64

WANG Shaolin, WANG Xi. Macroeconomic Effects of Dual Policy Rate News Shocks:An Analysis Based on the TVP-SV-VAR Model[J]. Journal of Central University of Finance & Economics, 2025, 0(5): 48-64

中图分类号： F822.0 F830.9

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