对外开放对利率效应影响的实证研究
|
摘要
通过利用Karras构建的产出效应和价格效应模型,运用向量自回归VAR分析框架,实证检验了对外开放对我国利率效应的影响。结果表明,利率对产出效应的影响随着对外开放度的不断提高而趋于不明显,对价格效应的影响随着对外开放度的不断提高而趋于放大。一方面,我国应根据经济发展形势合理调整利率水平,增加产出效应;另一方面,在实现经济增长目标的同时,政府应对价格水平变动的范围进行设定,使我国物价水平稳定在一个可控制的合理区间内。
By adopting the output effect and price effect model constructed by Karras and applying the vector autoregressive VAR analysis framework, the impact of opening-up on China's interest rate effect was empirically tested. The results show that the impact of interest rate on output effect tends to be less obvious with the increasing openness, and its impact on price effect tends to be amplified with the increasing openness. On the one hand, the government should adjust the interest rate level reasonably according to economic growth to increase output effect;on the other hand, when achieving the economic growth target, the government should set the range of price fluctuation level, so that the price level of our country can be stabilized in a reasonable and controllable range.
By adopting the output effect and price effect model constructed by Karras and applying the vector autoregressive VAR analysis framework, the impact of opening-up on China's interest rate effect was empirically tested. The results show that the impact of interest rate on output effect tends to be less obvious with the increasing openness, and its impact on price effect tends to be amplified with the increasing openness. On the one hand, the government should adjust the interest rate level reasonably according to economic growth to increase output effect;on the other hand, when achieving the economic growth target, the government should set the range of price fluctuation level, so that the price level of our country can be stabilized in a reasonable and controllable range.
引文
[1]朱烨东,陈勇.我国货币政策利率传导机制研究[J].经济经纬,2005(2):134-135+152.
[2] MEHROTRA A N.Exchange and interest rate channels during a deflationary era-evidence from Japan,Hong Kong and China[J].Journal of Comparative Economics,2007(35):188-210.
[3]张旭,文忠桥.利率期限结构与货币政策效果分析[J].金融经济学研究,2013,28(2):66-76.
[4]陈昆亭,周炎,黄晶.利率冲击的周期与增长效应分析[J].经济研究,2015,50(6):59-73.
[5] FAMA E.Short-Term interest rates as predictors of inflation[J].American Economic Review,1975,65:269-282.
[6]李宏瑾,纪淼.名义利率、通货膨胀与费雪效应——对2012年我国CPI走势研判[J].金融与经济,2011(12):4-8.
[7] BRENNAN M J.The supply of storage[J].The American Economic Review,1958,48(1):50-72.
[8] KITCHEN J,DENBALY M.Arbitrage Conditions, interest rates, and commodity prices[J].The Journal of Agricultural Economics Research,1987,39(2):3-11.
[9] FAMA E F,FRENCH K R.Commodity futures prices:some evidence on forecast power, premiums and the theory of storage[J].The Journal of Business,1987,60(1):55-73.
[10] PINDYCK R S.The dynamics of commodity spot and futures markets:a primer[J].The Energy Journal,2001,22(3):1-30.
[11]张涛,龚六堂,卜永祥.资产回报、住房按揭贷款与房地产均衡价格[J].金融研究,2006(2):1-11.
[12]余华义,黄燕芬.利率效果区域异质性、收入跨区影响与房价溢出效应[J].经济理论与经济管理,2015(8):65-80.
[13]易纲,范敏.人民币汇率的决定因素及走势分析[J].经济研究,1997(10):26-35.
[14]薛宏立.浅析利率平价模型在中国的演变[J].财经研究,2002(2):14-19.
[15]张宗新.金融开放条件下利率改革和汇率改革的协同效应分析[J].国际金融研究, 2006(9):9-14.
[16]黄晓薇,郭红玉,黄喆.利率与汇率的价格效应及政策协调研究——基于货币稳定视角[J].当代经济研究,2013(4):76-82.
[17]马明霞,王立军.开放经济体中利率调控的宏观经济效应研究[J].金融理论与实践,2014(1):46-49.
[18]张喜玲,沈骏.境内外人民币货币市场利率联动效应实证分析[J].上海金融,2015(12):61-68.
[19]阙澄宇,马斌.在岸与离岸人民币利率溢出效应的实证研究[J].财经问题研究,2016(12):47-56.
[20] KARRAS G. Openness and effects of monetary policy[J]. Journal of International Money and Finance,1999(18):13-26.
[2] MEHROTRA A N.Exchange and interest rate channels during a deflationary era-evidence from Japan,Hong Kong and China[J].Journal of Comparative Economics,2007(35):188-210.
[3]张旭,文忠桥.利率期限结构与货币政策效果分析[J].金融经济学研究,2013,28(2):66-76.
[4]陈昆亭,周炎,黄晶.利率冲击的周期与增长效应分析[J].经济研究,2015,50(6):59-73.
[5] FAMA E.Short-Term interest rates as predictors of inflation[J].American Economic Review,1975,65:269-282.
[6]李宏瑾,纪淼.名义利率、通货膨胀与费雪效应——对2012年我国CPI走势研判[J].金融与经济,2011(12):4-8.
[7] BRENNAN M J.The supply of storage[J].The American Economic Review,1958,48(1):50-72.
[8] KITCHEN J,DENBALY M.Arbitrage Conditions, interest rates, and commodity prices[J].The Journal of Agricultural Economics Research,1987,39(2):3-11.
[9] FAMA E F,FRENCH K R.Commodity futures prices:some evidence on forecast power, premiums and the theory of storage[J].The Journal of Business,1987,60(1):55-73.
[10] PINDYCK R S.The dynamics of commodity spot and futures markets:a primer[J].The Energy Journal,2001,22(3):1-30.
[11]张涛,龚六堂,卜永祥.资产回报、住房按揭贷款与房地产均衡价格[J].金融研究,2006(2):1-11.
[12]余华义,黄燕芬.利率效果区域异质性、收入跨区影响与房价溢出效应[J].经济理论与经济管理,2015(8):65-80.
[13]易纲,范敏.人民币汇率的决定因素及走势分析[J].经济研究,1997(10):26-35.
[14]薛宏立.浅析利率平价模型在中国的演变[J].财经研究,2002(2):14-19.
[15]张宗新.金融开放条件下利率改革和汇率改革的协同效应分析[J].国际金融研究, 2006(9):9-14.
[16]黄晓薇,郭红玉,黄喆.利率与汇率的价格效应及政策协调研究——基于货币稳定视角[J].当代经济研究,2013(4):76-82.
[17]马明霞,王立军.开放经济体中利率调控的宏观经济效应研究[J].金融理论与实践,2014(1):46-49.
[18]张喜玲,沈骏.境内外人民币货币市场利率联动效应实证分析[J].上海金融,2015(12):61-68.
[19]阙澄宇,马斌.在岸与离岸人民币利率溢出效应的实证研究[J].财经问题研究,2016(12):47-56.
[20] KARRAS G. Openness and effects of monetary policy[J]. Journal of International Money and Finance,1999(18):13-26.