中文摘要：

本文建立了兼具随机波动率和时变参数的VAR模型,刻画经济系统中结构冲击和传导机制的时变性,并在同一框架内分析价格型货币政策的系统性和非系统性效应。研究结果显示：1对应于货币政策冲击,货币政策的非系统性效应在大波动时期存在＂价格之谜＂现象,在大稳定时期则出现政策冲击波动以及经济活动对其同向响应程度的双重下降现象,甚至在有些时段出现负向响应,其平抑经济波动的作用得到一定程度的体现。2系统性效应显示货币政策对于通货膨胀的响应强度整体呈消极特征,但存在一种向积极方向转变的动态学习模式,而且这种转变呈现不同状态的频繁转换。3反事实分析显示,货币政策系统性和非系统性效应虽然有所改善,但这并不是宏观经济从大波动向大稳定转变的主要原因。

英文摘要：

To investigate the time-varying characteristics of structural shocks and propagation mechanism in the economy, we specify a VAR model with time-varying parameters and stochastic volatility. In the proposed empirical framework, this paper focuses on the time-varying effects of systematic and non-systematic monetary policies. Evidence of ＂ price puzzle＂ and ＂output puzzle＂ is found in the non-systematic monetary policy. Systematic monetary policy seems to be passive against inflation. To explore the causal link between the monetary policy and macroeconomic stability, we conduct counter-factual exercises. The results show that, although the systematic and non-systmnatic monelary policy has been improved, it is not the main source of the Great Moderation. Combined with the theoretical results in the literature, we clarify the links between the two phenomena.