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本文采用ARIMA模型将货币供给量分为预期货币供给量和非预期货币供给量,以非预期货币供给量作为因变量,运用协整,脉冲响应和方差分解等方法对我国目前货币政策的有效性进行了检验。实证结果表明:在长期,非预期的货币政策显著影响实际产出和物价水平,而且呈负相关;在短期,非预期货币供给量对实际产出的影响呈周期性变化,而对物价水平的影响则没有此特征。总之,目前我国增加货币供给量能够影响国内经济指标,即货币政策在我国是有效的。
This paper uses the ARIMA model to divide the money supply into the expected money supply and the unintended money supply. Using the unanticipated money supply as the dependent variable, we use cointegration, impulse response and variance decomposition to evaluate the effectiveness of our current monetary policy It was tested. The empirical results show that: in the long run, unanticipated monetary policy significantly affects the actual output and price levels, and is negatively correlated; in the short run, the impact of unanticipated money supply on real output changes cyclically, while the price level Impact is not the feature. In short, China’s current increase in the amount of money supply can affect domestic economic indicators, that is, monetary policy is effective in our country.