Monetary Policy And Innation:An Empirical Study Of The Time-varying Phenomena

Since reforming and opening, our country economy make a spurt of progress, people’s living standard has been greatly improved, comprehensive national strength and international status is rising, gained remarkable economic achievements, let the world amazed.But China is also a country with frequent price fluctuations, and in1988and1994there was a very serious inflation, especially in1994was a record24.1%. Price frequent fluctuation bring serious effect on the stability of the society, damage the economy’s healthy development. Monetary policy is an important policy tool, however,monetary policy can be stable or even promote the economic growth of the weapon, but also often possible with executives against the will of the effect. So the study of the relationship between the three has very important practical significance.In view of the same economic problems, analyze similar data, the existing research is put in very big difference. Causing this situation is a selection of parameters is non-stationary data, directly using the classical regression model, will lead to the "non-regression". So this paper uses Time-Varying Parameter VAR model with Stochastic Volatility. The time-varying parameter means can capture the potential fluctuation.Since the model contains a stochastic volatility nonlinear state equation, the likelihood function is not solvable.The Bias inference analysis time varying parameters, using Markove Montecarlo algorithm construct sample. from the model of the posterior distribution.This article structure arrangement:the first chapter is the introduction, mainly introduces the writing background and significance as well as the domestic and foreign scholars in this aspect research status; the second chapter introduces the TVP regression model as well as the parameters of the sampling process, in contrast to the TVP regression model in the stochastic volatility and without the stochastic volatility; the third chapter introduces the TVP-VAR with stochastic volatility, TVP-VAR model from single variable to the multivariate TVP-VAR model empirical analysis; fourth chapter, is the main part of this paper.In the TVP-VAR with stochastic volatility using the Markov Montecalo method to test in the past twenty-eight years the sampling period of macroeconomic dynamic time-dependent phenomenon.The empirical results show that contains the random fluctuations of the time-varying parameter model is better than the linear regression model is more reasonable, can more accurately capture the economy’s structural fluctuations,and the change of each historical period of national output,money supply inflation.The fifth chapter is the conclusion of this paper and the policy suggestions.Through this research, one can see the TVP-VAR model with stochastic fluctuations fit well on inflation and output and money supply Two is captured the1structural change.Three is the impulse response further inflation accompanied by increases in the money supply, inflation and monetary supply impulse response has strong time-varying characteristics.But don’t have to fear the money supply, the growth of the national economy is not necessarily caused by inflation, but the money supply plays a role in weakening inflation.Finally, into the new millennium the two impact on inflation leveled off, countries in the governance of inflation to consider when world economy impact on China’s economy to increase the foreign exchange management and management.From the impulse response, between the three has stronger time-varying characteristics.The same national output and inflation, money supply performance feedback characteristics in different period different, reveals China’s macroeconomic variables between the dynamic time-varying characteristics.