商业研究

商业研究

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消费者信心、货币政策与经济波动 ——基于TVP-VAR模型的实证研究

姜伟，闫振坤   

  1. （青岛大学 经济学院，山东 青岛 266061）
  • 收稿日期:2018-06-19 出版日期:2018-12-10
  • 作者简介:姜伟（1975-），男，山东青岛人，青岛大学经济学院副教授，理学博士，研究方向：行为决策分析、行为金融与金融工程、动态经济学； 闫振坤（1994-），男，山东潍坊人，青岛大学经济学院研究生，研究方向：行为金融与金融工程、动态经济学。
  • 基金资助:
    国家自然科学基金项目，项目编号：71771129；山东省社科规划项目，项目编号：17CJJJ05；山东省自然科学基金项目，项目编号：ZR2017BG102；山东省高等学校人文社科计划项目，项目编号：J17RA224。

Consumer Confidence, Monetary Policy and Economic Volatility:An Empirical Study based on TVP-VAR Model

JIANG Wei,YAN Zhen-kun   

  1. (School of Economics, Qingdao University, Qingdao 266061,China)
  • Received:2018-06-19 Online:2018-12-10

摘要： 毋庸置疑，货币政策在稳定经济和促进经济增长方面发挥着极其重要的作用。本文选取我国的货币增长率、利率、汇率、消费者信心、通货膨胀率和经济增长率的月度数据，采用能够反映时变特性的TVP-VAR模型，分析在消费者信心的预期效应框架下我国的货币政策对宏观经济的时变影响。从时变的角度看，消费者信心和货币政策中介指标对货币政策最终目标的影响具有时变性；利率、汇率对通货膨胀的调节作用逐渐增强，基于货币增长率对经济增长的调节并未减弱，反而日渐成熟；消费者信心在货币政策传导渠道的预期效应是通畅的，能够长期有效抑制通货膨胀、促进经济增长。

关键词: 消费者信心, 货币政策, 经济波动, TVP-VAR模型

Abstract: There is no doubt that monetary policy plays an extremely important role in stabilizing economy and promoting economic growth.This paper chooses China′s monthly data of monetary growth rate, interest rate, exchange rate, consumer confidence, inflation rate and economic growth rate, and uses TVP-VAR model which can reflect the time-varying characteristics to analyze the time-varying impact of China′s monetary policy on macro-economy under the framework of the expected effect of consumer confidence.From a time-varying perspective, the impact of consumer confidence and monetary policy intermediary indicators on the ultimate goal of monetary policy is time-varying; the role of interest rates and exchange rates in regulating inflation has gradually increased, and the adjustment of economic growth based on monetary growth rate has not weakened, but has become increasingly mature; the expected effect of consumer confidence in monetary policy transmission channels is smooth and can effectively curb inflation and promote economic growth for a long-term.

Key words: consumer confidence, monetary policy, economic fluctuations, TVP-VAR model