金融经济学研究

利用MI-TVP-FAVAR模型测算时变货币政策跨周期调控指数，在货币政策跨周期调控取向与经济变量表象刻画和拟合效果分析的基础上，检验二者之间的动态关联，再对货币政策跨周期调控的宏观经济效应进行反事实模拟，对比不同期限下的货币政策跨周期调控有效性。拟合效果分析表明，时变货币政策跨周期调控指数的动态属性显著，对《货币政策执行报告》中的调控取向具有较好拟合效果和指引功效，时效性更强。动态关系检验证实，在国际金融危机爆发和蔓延期，时变货币政策跨周期调控指数与宏观经济变量之间存在较强相依关系，但也存在时点错位问题。反事实模拟结果表明，跨周期调控能够提升货币政策有效性，复合期限更符合经济现实和货币政策调控需求。经济增长和通货膨胀对货币政策的稳定性要求存在差异，货币政策跨周期调控的宏观经济调控边际效率不同。

Employing the MI-TVP-FAVAR model, this study measured a time-varying cross-cyclical monetary policy regulation index.After characterizing the orientation of cross-cyclical monetary policy regulation with economic variables and analyzing the fitting performance, the study then examined the dynamic relationship between the two.Subsequently, it conducted counterfactual simulations of the macroeconomic effects of cross-cyclical monetary policy regulation to compare the effectiveness of cross-cyclical monetary policy regulation across different time horizons.The fitting analysis showed that the time-varying cross-cyclical monetary policy regulation index exhibited notable dynamic properties, with strong alignment and significant guidance for the policy intentions expressed in the Monetary Policy Implementation Report; the index also exhibited high timeliness.Tests of the dynamic linkages confirmed that, during the outbreak and expansion of the global financial crisis, a considerable interdependence existed between the time-varying cross-cyclical monetary policy regulation index and macroeconomic variables, although some degree of temporal misalignment emerged.Counterfactual simulation results indicate that cross-cyclical regulation enhanced the effectiveness of monetary policy.A composite time horizon appeared to align better with economic realities and monetary policy regulation requirements.Moreover, economic growth and inflation impose divergent stability requirements on monetary policy, leading to varying marginal efficiency of macroeconomic regulation under cross-cyclical monetary policy regulation.