货币政策调控与宏观经济波动:基于ARDL-ECM模型的实证分析
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摘要
结合Sidrauski研究,建立货币政策调控对宏观经济影响的微观传导模型,基于ARDL-ECM模型,利用2008~2016年的月频数据,检验金融危机爆发以来我国货币政策调控对宏观经济波动的影响。研究结果表明:从长期来看,宏观经济波动不仅与货币供应量、利率存在协整关系,而且与消费物价指数、资本市场价格之间密切相关;从短期来看,宏观经济波动主要受到货币供应量、消费物价指数影响,利率的影响并不显著。最后,从加强货币供应量管理、推进利率市场化改革、关注消费物价与资本市场价格波动等方面提出加强货币政策调控、促进宏观经济平稳运行的建议。
This article sets up a micro-transmission model about the influence of monetary policy regulation on macro-economy combined with Sidrauski study. Based on ARDL-ECM model, using monthly data from 2008 to 2016, the influence of monetary policy regulation to macro-economy since the financial crisis is tested. The results indicate : In the long run, there are co-integration relationship between the fluctuation of macro-economy and money supply, interest rate, consumer's price index and capital market price; in the short run, the fluctuation of macro-economy is affected by money supply and consumer's price index. Interest rate has no significant influence on it. Finally, we propose the advice to strengthen the regu-lation of monetary policy and promote the smooth operation of the macro-economy from the aspects of strengthening management of money supply,pushing on the reform of interest market, paying close attention to the fluctuation of consumer's price and Capital market price.
This article sets up a micro-transmission model about the influence of monetary policy regulation on macro-economy combined with Sidrauski study. Based on ARDL-ECM model, using monthly data from 2008 to 2016, the influence of monetary policy regulation to macro-economy since the financial crisis is tested. The results indicate : In the long run, there are co-integration relationship between the fluctuation of macro-economy and money supply, interest rate, consumer's price index and capital market price; in the short run, the fluctuation of macro-economy is affected by money supply and consumer's price index. Interest rate has no significant influence on it. Finally, we propose the advice to strengthen the regu-lation of monetary policy and promote the smooth operation of the macro-economy from the aspects of strengthening management of money supply,pushing on the reform of interest market, paying close attention to the fluctuation of consumer's price and Capital market price.
引文
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[12]杨源源,张晓林,于津平.异质性预期、宏观经济波动与货币政策有效性——来自数量型和价格型工具的双重检验[J].国际金融研究,2017(9):25-34.
[2]张金城.货币政策调控、流动性管理与宏观经济稳定[J].国际金融研究,2014(3):4-20.
[3]刘轶,王刚,李旭彪.贷款冲击、货币供给冲击和宏观经济波动[J].湖南大学学报,2016(7):100-106.
[4]奚君羊,贺云松.中国货币政策的福利损失及中介目标的选择——基于新凯恩斯DSGE模型的分析[J].财经研究,2010(2):89-98.
[5]金中夏,洪浩,李宏瑾.利率市场化对货币政策有效性与经济结构调整的影响[J].经济研究,2013(4):69-82.
[6]李琼,王志伟.泰勒规则与中国宏观经济波动———1994-2006的实证检验[J].经济科学,2009(2):9-22.
[7]王彬.财政政策、货币政策调控与宏观经济稳定——基于新凯恩斯主义垄断竞争模型的分析[J].数量经济技术经济研究,2010(11):3-18.
[8]Sidrauski.Rational Choice and Patterns of Growth in a Monetary Economy[J].American Economic Review,1967,57(2):534-544.
[9]Pesaran.Microfit 4.0[M].Oxford University Press,Oxford,1997.
[10]Pesaran,Shin,Smith.Bounds testing approaches to the analysis of level relationships[J].Journal of Applied Econometrics,2001(16):289-326.
[11]刘达禹,刘金全,赵婷婷.经济周期与规则型货币政策的动态关联机制研究——基于中国典型经济波动阶段的经验证据[J].经济评论,2017(2):48-61.
[12]杨源源,张晓林,于津平.异质性预期、宏观经济波动与货币政策有效性——来自数量型和价格型工具的双重检验[J].国际金融研究,2017(9):25-34.