关键词: 数量型货币政策,有效性,时变特征

Abstract: To measure the effectiveness of monetary policy based on VAR model is a common research model. This paper constructs a factor-augmented VAR model with probable time-varying slope coefficients and stochastic volatility to examine the time-varying evolution characteristics of quantitative monetary policy effectiveness in China. The empirical results show that, firstly, the output effectiveness of money supply growth shows obvious time-varying characteristics, and there is no long-time output effectiveness but significant short-term output effectiveness during the period of 1999-2006; while the short-term output effectiveness declined about 50% during the period of 2007-2013, the effectiveness of quantitative monetary policy is gradually waning. Secondly, compared with the output effectiveness, the price effectiveness of quantitative monetary policy is more significant, stable and durable.

Key words: quantitative monetary policy; effectiveness; time-varying characteristics