中文摘要：

货币政策传导机制是近年的热点问题之一．它关系到我国货币政策的实施效果。市场预期是否会影响货币政策传导效果？本文构建我国结构因子向量自回归模型（Structural Factor—Augmented VAR，SFAVAR），尝试探讨情绪因子对我国货币政策传导效果的影响，模型包含133个国内外宏观经济变量．样本期间为2001年1月至2010年12月。实证结果显示．市场预期对我国货币政策传导效果具有一定影响。在考虑情绪因子的情况下。紧缩性货币政策对通货膨胀因子及货币因子具有抑制效果，而人民币实际汇率受利率上升冲击呈升值趋势。此外，当模型加入情绪因子时，短期内央行紧缩性货币政策对金融市场因子所造成的冲击大于忽略情绪因子的结果．显示货币政策传导效果中市场预期因素所扮演的角色值得关注。

英文摘要：

The transmission mechanism of monetary policy is an important aspect of central banks ＇ research on macro economic and monetary analysis. In this paper, we propose a Structural Factor-Augmented VAR model （SFAVAR） for China to investigate whether the market expectation or investors＇sentiment would have an effect on the transmission mechanism of monetary policy. The model includes 133 maeroeconomie variables and the study period is from Jan. 2001 to Dec. 2010. The empirical study shows that the confidence factor has an impact on the effect of monetary policy in China. When we put the confidence factor in our SFAVAR model, the influence of tight monetary policy on financial market is more effective in the short run. It is concluded that taking the confidence factor into consideration is useful and necessary for the monetary analysis and policy-making in the central bank.