区制转移货币政策对消费者价格影响的非对称时变效应:基于庇古效应和超调理论的研究
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青岛大学

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Asymmetric Time-Varying Effects of zone transfer Monetary Policy on consumer Prices: A Study based on Pigou Effect and Overadjustment Theory
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qingdao university

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    摘要:

    本文首先基于价格超调理论和庇古财富效应理论,深入解析了货币政策对消费者物价指数(CPI)的动态影响机制,结果发现,货币供应量的增加不仅会直接提高CPI,而且会通过资产价格的超调效应间接影响到CPI。其次,文章进一步引入马尔科夫区制转移模型,对货币政策分区制进行分析,并从时变和非对称性角度实证测算了货币政策对资产价格和CPI的动态影响关系。实证研究表明:第一,货币政策具有明显的扩张和收缩二区制特征。第二,短期内货币政策对资产价格较之CPI有超调效应,长期看货币政策通过资产价格的庇古中介效应间接影响CPI。第三,货币政策对资产价格和CPI均存在非对称影响,扩张性货币政策效应小于紧缩性货币政策效应,同时资产价格对CPI同样存在非对称性影响,“损失规避”效应明显。

    Abstract:

    Based on the theory of price overadjustment and Pigou wealth effect, this paper first analyzes the dynamic mechanism of monetary policy on CPI from the theoretical level. It is found that the increase of money supply will not only directly increase CPI, but also indirectly affect CPI through the overshoot effect of asset prices. Secondly, markov zone transfer model is further introduced to analyze the zone system of monetary policy. Finally, TVP-SV-VAR model and NARDL model are used to measure the dynamic influence relationship of monetary policy on asset price and CPI from the perspective of time variation and asymmetry. The results show that: first, monetary policy has obvious characteristics of two zones of expansion and contraction. Second, in the short run, monetary policy has an overshoot effect on asset prices compared with CPI, while in the long run, monetary policy indirectly affects CPI through the Pigou vian intermediary effect of asset prices. Thirdly, monetary policy has asymmetric effects on both asset prices and CPI. The effect of expansionary monetary policy is smaller than that of contractionary monetary policy. Meanwhile, asset prices also have asymmetric effects on CPI, and the "loss aversion" effect is obvious.

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历史
  • 收稿日期:2020-12-24
  • 最后修改日期:2022-06-15
  • 录用日期:2022-06-23
  • 在线发布日期: 2022-06-25
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