预览加载中，请您耐心等待几秒...

混频数据信息下的时变货币政策传导行为研究——基于混频TVP-FAVAR模型.docx

预览
1/2
2/2

在线预览结束，喜欢就下载吧，查找使用更方便

下载提示 文本预览

如果您无法下载资料，请参考说明：

1、部分资料下载需要金币，请确保您的账户上有足够的金币

2、已购买过的文档，再次下载不重复扣费

3、资料包下载后请先用软件解压，在使用对应软件打开

混频数据信息下的时变货币政策传导行为研究——基于混频TVP-FAVAR模型 Title:ResearchontheTime-VaryingTransmissionMechanismofMonetaryPolicyunderMixedFrequencyDataInformation:BasedontheMixedFrequencyTVP-FAVARModel Abstract: Thetransmissionmechanismofmonetarypolicyisessentialforunderstandinghowchangesinmonetarypolicyaffecttheeconomy.However,existingstudiesoftenassumeaconstanttransmissionmechanism,neglectingthepossibilityoftime-varyingeffects.Inthispaper,weproposetoexaminethetime-varyingtransmissionmechanismofmonetarypolicyusingamixedfrequencydataapproach,combinedwithatime-varyingparameterfactoraugmentedvectorautoregressive(TVP-FAVAR)model.Weaimtoshedlightonhowthetransmissionmechanismofmonetarypolicyevolvesoverdifferenteconomicconditions. 1.Introduction(200words) Theimplementationandeffectivenessofmonetarypolicydependontheabilityofcentralbankstotransmitpolicychangestothebroadereconomy.Understandingthedynamicsofthistransmissionmechanismiscrucialforformulatingeffectivepolicies.However,traditionalapproachesoftenassumeaconstantandlinearrelationshipbetweenmonetarypolicyanditseffects,whichmaynotcapturethetime-varyingnatureoftherelationship.Thisstudyaimstofillthisgapbyinvestigatingthetime-varyingtransmissionmechanismofmonetarypolicyusingamixedfrequencydataapproachandtheTVP-FAVARmodel. 2.Literaturereview(200words) Thissectionwillprovideacomprehensivereviewoftheliteratureonthetransmissionmechanismofmonetarypolicy.Wewilldiscussvariousempiricalstudiesthathaveinvestigatedtherelationshipbetweenmonetarypolicyandmacroeconomicvariables.Additionally,wewillreviewstudiesthathaveexaminedthetime-varyingnatureofthisrelationshipandthesignificanceofincorporatingmixedfrequencydataintheanalysis. 3.Methodology(300words) Inthissection,wewillintroducethemixedfrequencydataapproachandtheTVP-FAVARmodel.Themixedfrequencydataapproachallowsustoincorporatebothhigh-frequencyandlow-frequencydata,capturingthechangesinthetransmissionmechanismovertime.TheTVP-FAVARmodelisaflexibleframeworkthatallowsfortime-varyingcoefficients,enablingustocapt