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。 The transmission mechanism of monetary policy is one of the hot issues in recent years. It relates to the implementation effect of our monetary policy. Whether the market expectation will affect the monetary policy transmission effect? ​​This paper constructs the Structural Factor-Augmented VAR (SFAVAR) in China, and attempts to explore the influence of the emotion factor on the monetary transmission in our country. The model includes 133 macroeconomic Variables, sample period from January 2001 to December 2010. The empirical results show that market expectations have a certain impact on the effectiveness of monetary policy in China. Taken into account the emotional factors, the tightening monetary policy has an inhibitory effect on the inflation and monetary factors, while the real exchange rate of RMB is impacted by the rising interest rate. In addition, when the model adds emotional factors, the short-term central bank tightening monetary policy impact on financial market factors is greater than the neglect of the emotional factor results show that the monetary policy transmission effect of market anticipation factors play a role worthy of attention.