作　　者： (金春雨）; (吴安兵）;

机构地区： 吉林大学商学院

出　　处： 《国际金融研究》 2017年第9期14-24,共11页

摘　　要： 本文基于IS曲线和菲利普斯曲线,运用时变状态空间模型测算出1997年第一季度至2016年第二季度G20国家的动态金融状况指数,进而对比分析不同时期发达国家与新兴经济体金融市场波动幅度的差异,基于泰勒规则方程采用面板平滑迁移回归模型实证分析不同金融状况下货币政策对产出与通胀的区域非对称效应。研究结果表明:发达国家的金融市场波动幅度比新兴经济体更为明显,随着金融状况指数由低区制平滑迁移至高区制,货币政策对产出与通胀的反应均呈现逐渐增强的正向效应,且低区制状态下新兴经济体货币政策调控效果更佳,而发达国家在高区制状态下货币政策调控效果较为明显,相比G20其他国家,中国货币政策调控效果较为突出。 In this paper, based on the IS curve and the Phillips curve equation, the Financial Conditions Index （FCI） of the G20 countries were calculated from the first quarter of 1997 to the second quarter of 2016 using the time-varying state space model. The paper compared the difference of the fluctuation range of the financial markets between the developed countries and the emerging economies in different periods. Based on Taylor＇s rule equation using panel smooth migration re- gression model, empirical analysis was conducted on the regional asymmetry effects of monetary policy on output and inflation under different financial situations. Empirical results showed that the volatility of financial markets in developed countries was more pronounced than in emerging economies. As the financial condition index migrates smoothly from the low zone to the high zone, the positive effect of monetary policy＇s response to output and inflation is gradually increasing. The effect of mone- tary policy regulation in emerging economies is better than that in the low-zone system, though monetary policy regulation in developed countries is more obvious. Compared with other G20 countries, the monetary policy control effect in China is more prominent.

关 键 词： 金融状况指数 货币政策 泰勒规则 非对称效应 面板平滑迁移回归