通胀预期与央行货币政策有效性

Abstract

Abstract: Does inflation expectation state has any influence on the Effectiveness of Monetary Policy? This paper tries to resolve above problems by applying LSTVAR model. We use index of future price expectation as measurement of inflation expectation and results suggest that:(1) Under low inflation expectation state monetary shocks have stronger effects on output over short horizons. But over long horizons monetary policy is neutral. (2)Under high inflation expectation, the impact of monetary shocks on price emerges more rapidly. On the contrary under low inflation expectation the impact of monetary policy on price show the phenomenon of inflation scarce. At the beginning low inflation even deflation appears after monetary shocks, and then positive effects appear and reach the top after some eleven horizons. Furthermore monetary shocks have stronger effects on price under low inflation expectation state than under high expectation inflation state.

Key words: smooth transition, monetary policy, inflation expectation

CLC Number:

F224.0

PENG Fang-ping, HU Xin-ming, ZHAN Kai. Inflation Expectation and Effectiveness of Monetary Policy[J]. Chinese Journal of Management Science, 2012, (1): 1-7.

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Inflation Expectation and Effectiveness of Monetary Policy

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