Flexible Dynamic Regulation Orientation Measurement,Fitting Effect Test and the Real Effectiveness of Monetary Policy
In this paper,we use a large number of variable data reflecting the tightness of the monetary policy market to quantitatively measure China's flexible and dynamic monetary policy regulation orientation change index through the MI-TVP-FAVAR model.Then,we test its fitting effect and forward-looking guidance effect based on the Monetary Policy Implementation Report.Furthermore,we conduct a time-varying test on the Granger causality between monetary policy and output and inflation.On this basis,the LP method is used to analyze the growth and price effects.We find that the flexible and dynamic monetary policy regulation orientation change index has obvious time-varying attributes and dynamic characteristics,which has a good fitting effect on the static regulation orientation in the Monetary Policy Implementation Report and can reveal the micro change process of monetary policy tightness.We also find that,in most periods of the sample interval,there is a stable time-varying Granger causality between the flexible and dynamic monetary policy regulation orientation change index and the variables of economic fundamentals.In the whole sample interval,the monetary policy has obvious effects on growth effects and price effects.Under different tightening conditions,the"hunger effect"and"hangover effect"of monetary policy are different.
万方数据
维普
