基于时变参数因子var模型的中国货币政策有效性分析-analysis of the effectiveness of chinas monetary policy based on var model with time-varying parameters.docxVIP

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基于时变参数因子var模型的中国货币政策有效性分析-analysis of the effectiveness of chinas monetary policy based on var model with time-varying parameters.docx

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基于时变参数因子var模型的中国货币政策有效性分析-analysis of the effectiveness of chinas monetary policy based on var model with time-varying parameters

ABSTRACTMonetarypolicyisoneofthemostimportanttoolsforgovernmenttodevelop economic,tostablethepriceandtoadjustmacro-economy,sotheresearchonthe effectivenessofmonetarypolicyhasalonghistoryandhasimportanttheoreticaland practicalsignificance.Inthetraditionalstudyofeffectivenessofmonetarypolicy,the researchersusepolicyvariableandoneortwoorthreemacro-economicvariablesto establishtheVARmodel,tofindoutaone-to-onerelationshipbetweenthepolicyand macroeconomicvariables.Duetoafewmacroeconomicvariablescannotfullyreflect theoveralldevelopmentofthemacroeconomic,one-to-onerelationshipcantreflect theoverallpolicyvariablesonthemacroeconomicdevelopment.Itsneededto increasethenumberofmacro-economicvariablesinordertogetcomplete informationofthedevelopmentofeconomy.BecauseofthelimitationoftheVAR model, when the dimension ofmodelishigh,thedegreeof freedomconsumpts severely,sothemodelneedsalargeamountofdataassupport.Thereleasefrequency ofmacro-economicvariablesin Chinais mainly month, season oryear,soit’s difficult fortheresearcherstoobtainenoughdata.Inordertofullyreflecttheoverall relationshipbetweenmonetaryandmacroeconomicdevelopmentsituation,andto overcomehighdegreesoffreedomexcessiveconsumptionandshortageofdata,this dissertationchoosefactor-augmentedVARmodel(FAVAR)asabasicmodel,select eightmacroeconomicvariables,useprincipalcomponentanalysistoextracttwo factors,whichcanrepresentthesituationofmacro-economicdevelopmentandthen choosethreemonetarypolicyvariables, moneysupply,exchangerates, interestrates, anduseeachofthepolicyvariablesandmacro-economicfactorstoestablishFAVAR model,tofindouttherelationshipbetweeneverypolicyvariablesandthe macro-economicfactors.Inrecentyears,inordertoadapttothemacroeconomicdevelopmentdirectionof thefuture,Chinahasbeencommittedtothemonetarypolicyreformand optimization. These reformmeasuresplay animportantroleonourcountryseconomydevelopment, alsomakealargeextentinfluenceontheeffectivenessofmonetarypolicyinour country.However,theconstantcoefficientofFAVARmodelca