| 中国货币增长的不确定性及其对宏观经济的影响 |
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| 引用本文： | 贾俊雪,郭庆旺,曹永刚. 中国货币增长的不确定性及其对宏观经济的影响[J]. 中国软科学, 2006, 0(11): 22-30 |
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| 作者姓名： | 贾俊雪 郭庆旺 曹永刚 |
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| 作者单位： | 中国人民大学,中国财政金融政策研究中心,北京,100872 |
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| 基金项目： | 教育部哲学社会科学基金;高等学校优秀青年教师教学科研奖励计划 |
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| 摘 要： | 本文以1994-2005年间的月度数据为基础,利用时变参数马可夫情势转换模型将我国货币增长不确定性分解为宏观政策层面引发的不确定性和经济冲击引发的不确定性,进而考察两类货币增长不确定性对我国宏观经济的影响。结果表明,经济冲击所引发的货币增长不确定性是我国货币增长不确定性的主要根源,且不利于我国宏观经济稳定,而宏观政策层面引发的不确定性则有助于我国宏观经济稳定。
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| 关 键 词： | 货币增长不确定性 宏观经济 时变参数马可夫情势转换模型 |
| 文章编号： | 1002-9753(2006)11-0022-09 |
| 收稿时间： | 2006-08-31 |
| 修稿时间： | 2006-08-31 |
The Monetary Growth Uncertainty and It''s Effects on Macroeconomic Activity in China |
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| JIA Jun-xue,GUO Qing-wang,CAO Yong-gang. The Monetary Growth Uncertainty and It''s Effects on Macroeconomic Activity in China[J]. China Soft Science, 2006, 0(11): 22-30 |
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| Authors: | JIA Jun-xue GUO Qing-wang CAO Yong-gang |
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| Affiliation: | China Financial Policy Research Center, Renmin University of China, Beijing 100872, China |
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| Abstract: | This paper decomposed monetary growth uncertainty into two components:the untertainty which reflecting mac- roeconomic policy changes and the uncertainty about economic shocks by applying time-varying parameter Markov regime switch model and then investigated the effects of the two different sources of monetary growth uncertainty on macroeconom- ic activity based on monthly data from 1994 to 2005.Our conclusion are as follows:The uncertainty which economic shocks brought about is main source of monetary growth uncertainty and had negative effect on macroeconomic stability,on the other band the uncertainty which macroeconomic policy changes brought about had positive effect on macroeconomic stability. |
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| Keywords: | monetary growth uncertainty macroeconomic activity time-varying parameter Markov regime switch model |
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