Factor Influencing China's Monetary Policy Transparency——An Empirical Analysis Based on Directed Acyclic Graph andStructural Vector Auto Regression Model

Abstract

Abstract: Factor analysis is an important part of monetary policy transparency problem,however, up till now there has been a lack of study in this field both at home and abroad, especially in the empirical way. This paper uses the directed acyclic graph (DAG) and the structure of vector autoregressive (SVAR) model for the first time to study the influencing factors of China's monetary policy transparency. Research shows that most of the fluctuation in monetary policy transparency can be explained by its own factors. Excluding the inertia factors of itself, the main factors correlating with monetary policy transparency fluctuation are in the sequence of openness, economic growth, historic inflation and financial deepening. This shows that China's monetary policy transparency is influenced more by the external factors than by the internal factors, and more by the real economy factors than by the virtual economy factors such as prices, finance,etc.

摘要： 本文首次运用基于有向无环图的结构向量自回归模型研究影响我国货币政策透明度的因素。研究表明,货币政策透明度的波动绝大部分可以由自身因素来解释。除去自身惯性因素外,各变量对货币政策透明度波动影响的大小从高至低依次为开放度、经济增长、历史通胀和金融深化。这说明我国货币政策透明度受外部因素影响较大,受内部因素影响较小;受实体经济因素影响较大,受物价、金融等虚拟经济因素影响较小。

关键词: 货币政策透明度, 影响因素, 有向无环图, 结构向量自回归模型

CLC Number:

F820.1

BU Zhenxing. Factor Influencing China's Monetary Policy Transparency——An Empirical Analysis Based on Directed Acyclic Graph andStructural Vector Auto Regression Model[J]. , 2018, 34(10): 45-56.

卜振兴. 货币政策透明度影响因素研究——基于DAG-SVAR模型[J]. 财经论丛, 2018, 34(10): 45-56.

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