央行沟通与实际干预的频域政策效果研究

利用谱分析识别宏观变量的主导频域,进而采用小波方法分离出宏观变量的低频、经济周期频域以及高频三种频域成分,最后构建结构向量自回归模型考察实际干预工具和央行信息沟通在不同频域的政策效果.研究结果显示,中国经济增长的波动由长周期的低频波动所主导,经济周期频域次之,但是所有货币政策工具对低频波动的调控效果都不理想,而只在经济周期频域有较好表现.通货膨胀则是由经济周期频域的波动所主导,价格型货币政策和央行沟通都呈现出对此频域的良好调控效果.预期通胀在各个频域的波动分布较为均衡,央行沟通在低频和经济周期频域均起到了良好的调控效果,体现出其在预期管理中的突出作用.数量型货币政策整体表现均不理想.

Monetary policy effects of central bank communication and actual intervention in frequency domains

In the paper,spectral analysis is used to identify the dominant frequency domain of macroeconomic variables,and wavelets method is used to decompose these macroeconomic variables into low frequency,business cycle frequency and high frequency domain components.Finally,the effects of central bank communication and the actual intervention in different frequency domains are studied based on SVAR model.Results show that China's economic growth is dominated by the long-period low frequency variation,and that business cycle frequency variation plays the second role.However,none of the three monetary instruments works well in the low frequency domain.Instead,they only have desired effects on the business cycle frequency variation.Meanwhile,inflation is dominated by business cycle frequency variation,and price-type monetary instruments and central bank communication work well in this frequency domain.Frequency domain heterogeneity of expected inflation is not significant.Central bank communication has ideal effects on low and business cycle frequency variations of expected inflation,which shows its prominent role in macroeconomic expectation management.Quantitative tools do not work well in regulating macro economy.