一种新扩展的向量自回归模型及应用

 本文提出一种新扩展的向量自回归模型MI-TVP-SV-VAR模型。该模型具有高度的灵活性，其可以容纳传统的VAR模型及其各种形式的扩展，更能体现让数据说话的精神。应用这种新扩展的向量自回归模型，本文实证研究了中国货币政策对通货膨胀与GDP的冲击效应,结论表明：①我国货币政策对通货膨胀与GDP的冲击效应表现出明显的时变特征，且其演进机制为渐进式；②随着时间推移，货币冲击对通货膨胀和GDP的短中期影有所弱化。

A New Extension of the Vector Autoregressive Model and its Application

This paper presents a new extension of the Vector Autoregressive Model: MI-TVP-VAR-SV Model. The new model is highly flexible and can accommodate the traditional VAR model and its former extensions. Based on the new model, this paper studies the shock effects of Chinese monetary policy on the inflation and GDP. The empirical result shows that: (1) the effects of Chinese monetary policy on the inflation and GDP are time varying and the evolution mechanism is gradual. (2) As time goes by, the short and medium term impacts of monetary policy on the inflation and GDP will become weaker.