| 摘要: |
| 以金融危机下的货币政策传导渠道为视角，采用 2007~2017年欧元区 13个成员国的季度数据，构建混合截面全局向量自回归模型，考查欧洲央行货币政策对欧元区成员国经济复苏带来的区域非对称效应。结果表明：各成员国宏观经济指标对货币政策冲击的响应走势特征相似，但影响程度和响应期限出现明显异质性；从累积响应稳定值来看，对于金融市场发达的国家如德国、芬兰等，其稳定值较低，它们能很好地消化货币政策冲击带来的影响，而对相对落后的希腊、爱尔兰等结果相反；各成员国对长期利率冲击的敏感度大于对货币供应量冲击的敏感度；在欧盟稳定机制（ESM）作用下，货币政策区域非对称效应有所降低。此研究有助于了解欧洲央行非常规货币政策在各成员国之间传导的异质性以及财政联盟对弱化货币政策区域非对称效应的积极作用。 |
| 关键词: 非常规货币政策 传导渠道 区域效应 MCSGVAR模型 欧洲稳定机制 |
| DOI： |
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| 基金项目: |
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| Research on Regional Asymmetric Effect of European Central Bank’s Monetary Policy under Financial Crisis: Based on the MCSGVAR Model |
| LI Jia,CHEN Donglan |
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| Abstract: |
| Based on the monetary policy transmission channel under the financial crisis, this paper constructs a mixed cross-section global vector autoregressive model by using the quarterly data of 13 member countries of the Eurozone from 2007 to 2017, and examines the regional asymmetric effects of the monetary policy implemented by the European Central Bank on the economic recovery of member states of the euro zone. The results show that: the response trend characteristics of macroeconomic indicators of member countries to monetary policy shocks are similar, but there is obvious heterogeneity in the degree of impact and response period; from the perspective of cumulative response stability value, for financial countries with developed markets such as Germany and Finland have low stability values. They can digest the impact of monetary policy shocks. For relatively backward Greece, Ireland, etc., the result is the opposite; the sensitivity of member states to long-term interest rate shocks is greater than the impact on money supply; under the influence of the European Stability Mechanism (ESM), the asymmetric effect of monetary policy regions has decreased. This study helps to understand the heterogeneity of ECB’s unconventional monetary policy transmission among member states and the positive role of fiscal unions in weakening the asymmetric effects of monetary policy. |
| Key words: unconventional monetary policy transmission channel regional effect MCSGVAR model European Stability Mechanism |
