货币政策传导的价格效应 ——“价格之谜”在中国的经验证据

首先通过一个简化的理论模型来说明货币政策传导的需求效应和供给效应,探讨了"价格之谜"产生的可能性,进而运用VAR模型分别从总量和行业层面分析了我国1997～2008年货币政策传导的价格效应。总量结果表明,利率政策的变化会产生明显的"价格之谜"现象,持续期大约在半年左右;行业层面结果显示,"价格之谜"现象在行业层面的反应程度更强、持续期更长,并根据现实数据给予了合理的解释,进一步支持了"价格之谜"产生的可能性。

Price effects of monetary transmission: an empirical evidence of the "Price Puzzle" in China

This paper first explains the demand effect and supply effect of monetary transmission through a simplified theory model, and discusses the possibility that the "price puzzle" would happen. Then, based on VAR model, the paper analyzes the price effects of monetary policy transmission respectively in terms of aggregate and industry during 1997-2008 in China. The empirical results of aggregate data show that interest policy changes can produce obvious "price puzzle" and will last for about half a year. The empirical results of industry data show that the "price puzzle" is even more powerful and will last longer and can be explained by real data, which further supports the phenomenon of the "price puzzle".