基于ADL模型的中国货币政策有效性实证分析
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摘要
一国政府通过中央银行进行货币管理,通过一系列的政策或措施(即货币政策工具)对国家经济状况进行调控,达到稳定物价、充分就业、平衡国际收支以及促进经济增长等最终目标,这些政策或措施即称为货币政策。在经济实际运行过程中,多种因素的存在会对货币政策的实施效用产生影响,并最终决定了该货币政策能否实现预期目标。其中,我们尤其不能忽视的因素是货币政策效应的时滞问题。
随着国际经济体的逐步繁荣以及经济理论研究的不断发展,货币政策效应的时滞问题正逐步引起理论界的关注。有关学者指出,必须在充分考虑货币政策效应时滞的基础上进行金融调控,才能保证政策对经济产生的效应与预期效应一致。否则,不仅会大大减低货币政策的效用,甚至会对经济产生与预期截然相反的作用。本文以狭义货币供M1为切入点,分析2006年以来货币政策中货币供应量的变动情况,同时对货币供应量与经济增长以和物价之间的关系进行深入细致的分析,在自回归模型的基础上,从定量的角度说明我国实施货币政策过程中时滞的存在。
文章最后深入讨论了影响货币政策时滞的各方面因素,并据此提出了赋予中央银行相对独立自主权、完善货币政策传导机制以及发展完善金融市场等三点相关建议,以使货币政策在制定和执行上更为客观、全面、有效。
Monetary policy is a kind of macroeconomic policies, by which government can take currency management means or measures (monetary policy tools) through the central bank to reach the Ultimate goal. The goals including adjusting and improving the country's economic condition, achieving price stability and full employment, balancing the global payments promote economic growth and so on. Whether the Monetary policy implementation can achieve the desired economic effect or not, depending on many factors’various influences.
With the International economic prosperity and continuous development of economic theory research, lags of monetary policy have caused the theoretical attention. Relevant economists pointed out that financial control should fully consider the lags of monetary policy. By that means, economic policy can produce correct guidance and exert a positive influence on economics. Otherwise, it can make of the efficiency of monetary policy reduced greatly, even may produce opposite effects. When carrying out macro-financial control in China, we should take full account of the lag factors. Only in that way, can we successfully achieve the goals.
Based on the sum-up of relevant theoretic and current researches on the validity of monetary policy, this paper builds up the frame of evaluating the validity of monetary policy in china: based on the money supply M1,we would analysis the relations between monetary policy and money supply,GDP growth and inflation. By which, we proved the existence of logs in the monetary implementing process from the angle of quantitative.
At the mean time, we discuss the factors which count for the lags during the monetary policy transmission. And we offer a proposal to enhance the efficiency of monetary policy ,including : Authorizing the central bank relative right of independence, Perfecting monetary policy transmission mechanism, and Developing and perfecting financial markets.
随着国际经济体的逐步繁荣以及经济理论研究的不断发展,货币政策效应的时滞问题正逐步引起理论界的关注。有关学者指出,必须在充分考虑货币政策效应时滞的基础上进行金融调控,才能保证政策对经济产生的效应与预期效应一致。否则,不仅会大大减低货币政策的效用,甚至会对经济产生与预期截然相反的作用。本文以狭义货币供M1为切入点,分析2006年以来货币政策中货币供应量的变动情况,同时对货币供应量与经济增长以和物价之间的关系进行深入细致的分析,在自回归模型的基础上,从定量的角度说明我国实施货币政策过程中时滞的存在。
文章最后深入讨论了影响货币政策时滞的各方面因素,并据此提出了赋予中央银行相对独立自主权、完善货币政策传导机制以及发展完善金融市场等三点相关建议,以使货币政策在制定和执行上更为客观、全面、有效。
Monetary policy is a kind of macroeconomic policies, by which government can take currency management means or measures (monetary policy tools) through the central bank to reach the Ultimate goal. The goals including adjusting and improving the country's economic condition, achieving price stability and full employment, balancing the global payments promote economic growth and so on. Whether the Monetary policy implementation can achieve the desired economic effect or not, depending on many factors’various influences.
With the International economic prosperity and continuous development of economic theory research, lags of monetary policy have caused the theoretical attention. Relevant economists pointed out that financial control should fully consider the lags of monetary policy. By that means, economic policy can produce correct guidance and exert a positive influence on economics. Otherwise, it can make of the efficiency of monetary policy reduced greatly, even may produce opposite effects. When carrying out macro-financial control in China, we should take full account of the lag factors. Only in that way, can we successfully achieve the goals.
Based on the sum-up of relevant theoretic and current researches on the validity of monetary policy, this paper builds up the frame of evaluating the validity of monetary policy in china: based on the money supply M1,we would analysis the relations between monetary policy and money supply,GDP growth and inflation. By which, we proved the existence of logs in the monetary implementing process from the angle of quantitative.
At the mean time, we discuss the factors which count for the lags during the monetary policy transmission. And we offer a proposal to enhance the efficiency of monetary policy ,including : Authorizing the central bank relative right of independence, Perfecting monetary policy transmission mechanism, and Developing and perfecting financial markets.
引文
[1]何轩宇,基于向量自回归模型的我国货币政策传导机制有效性研究,[硕士论文],湖南:湖南大学,2007
[2]Mishkin, Frederic S.Illiquidity, Consumer Durable Expenditure, and Monetary Policy. American Economic Review, 1976, No.4 (September):642-654
[3]Stieglitz, Joseph and Andrew Weiss. Credit Rationing in Markets with Imperfect Information. The American Economic Review, 1981, 71(3):393-410
[4]陈银娥,凯恩斯主义货币政策研究,北京:中国金融出版社,2000,97-103
[5]凯恩斯,就业、利息和货币通论(中译本),北京:三联书店,1957,44-46
[6]Tobin, James. General Equilibrium Approach to Monetary Theory. Journal of Money, Credit and Banking, 1969, 1(1):15-17
[7]Modigliani, Franco and Merton Miller. The Coat of Capital, Corporation Finance and the Theory of Investment. American Economic Review, 1958, 48,June:67-75
[8]巴曙松,中国货币政策有效性的经济学分析,经济科学出版社,2000,(1):56-67
[9]Ben Bernanke, Mark Garter. Agency Costs, Net Worth, and Business Fluctuations. American Economic Review 1989,(79):14-31
[10] Bernanke, Ben S and Mark, Gentler. Inside the Black Box:The Credit Channel of Monetary Policy Transmission. Journal of Economic Perspectives, 1995, Fall(9):27-48
[11]方齐云,国际经济学,华中科技大学出版社,2002,145-178
[12]Boyle, Glenn W., and Peterson James D. Money Policy, Aggregate Uncertainty, and the Stock Market. Journal of Money, Credit, and Banking, 1995, Vol.27, No.2, May: 570-582
[13]Fuhrer, Jeffrey C. &Moore, George R.Monetary Policy Trade-offs and the Correlation between Nominal Interest Rates and Real output. American Economic Review, 1995, March: 219-239
[14]刘霖,靳云汇,货币供应、通货膨胀与中国经济增长——基于协整的实证分析,统计研究,2005,(3):14-19
[15]谢富胜,张栋,西方货币信用传导机制理论述评,山西财经大学学报,2002,(3):4-7
[16]Ben Bernanke. Alternative Explanations of the Money-Income Correlation. Carnegie-Rochester Conference Series on Public Policy, 1986,(25):49-99
[17] Stephen D Oliner,Glenn D,Rudebusch.Is There a Broad Credit Channel of Monetary Policy? Economic Review,1996(1):3-13
[18]刘军,通货紧缩下我国货币政策传导的信贷渠道实证分析,统计研究,2004,(5):71-75
[19]楚尔鸣,当前我国货币政策效应探析,华北金融,2008,(2) :78-91
[20]李凡,从货币政策传导机制的角度探讨其有效性,廊坊师范学院学报,2007,(12):63-75
[21]蔡晓春,曹佳,叶发强,货币政策透明度及其在中国的实践,金融与经济,2008,(1):35-56
[22]谢朝华,李忠,蒋礼圣,关于我国货币政策效果的分析与研究,金融观察,2010,(2):42-47
[23]孙晶,李涵硕,货币市场的完善与我国货币政策传导机制分析,湖北财经高等专科学校学报,2007,(6):68-70
[24]唐伟,我国货币政策有效性研究,[硕士论文],北京:中央党校,2009
[25]王自力,完善传导机制,增强货币政策有效性,21世纪经济报道,2008,(3):12-22
[26]Good hart, C and Hofmann, B. Do Asset Prices Help to Predict Consumer Price Inflation? , The Manchester School, 200,(68):61-68
[27]徐杰,货币政策有效性的市场主体行为分析,韩康,中国宏观调控三十年——纪念中国改革开放三十周年文集,北京:经济科学出版社,2008年11月,48-59
[28]Freedman C. The role of Monetary Conditions and The Monetary Conditions Index in the conduct of Policy [C] ,Bank of Canada Review , Autumn,1995:53-60
[29]何静,关于提高货币政策有效牲的对策研究,兰州商学院学报,2006,(6):43-45
[30]陈亚男,高外贸依存度下中国外贸结构问题研究,[硕士论文]大连:东北财经大学,2007
[31]Miller , S.M.ES.Russet,1990 ,Co integration and Error Correction Models:temporal causality between Government Taxes and spending,Southern Economic Journal 57,221—229
[32]魏革军,我国汇率制度下货币政策的独立性分析,知识经济,2001,(10):67-73
[33]Lutkepohl. H. New Introduction to Multiple Time Series Analysis,Springer , 2005,(8):8-62
[34]Micron J A, Roomer C D, Weil D N. Historical perspectives on the monetary transmission mechad Kenny Turnbull. Monetary Condition Indices for the UK: A Survey [R]. External MPC Unit Discussion Paper, 2000,(9):43-49
[35]李思敏,开放经济条件下我国货币内生性问题研究,南方金融,2008,(1):61-65
[36]Stevens G R, Pitfalls in the Use of Monetary Conditions Indexes [J].Reserve Bank of Australia Bulletin, 1998,(8):31-35
[37]Brock well P J, Davis R, A, Times Series: Theory and Methods [M], Springer, 2005,63-64
[38]侯成琪,徐绪松,计量经济学方法之时间序列分析,技术经济, 2010,(8):25-27
[39]徐丹丹,孟潇,我国适度宽松货币政策走向分析——基于货币政策对货币供给量、GDP以及物价水平影响的判断,经济理论与经济管理,2010,(4):16—17
[40]周娇,我国货币政策有效性分析,知识经济,2010,(7):44-47
[41]布豪,现阶段中国货币政策的影响因素分析,经济研究导刊,2008,(15):42-44
[42]马辉,我国西部地区主要货币政策工具传导效应分析,现代商业,2009,(12):31-35
[43]徐雪,论我国货币政策效应时滞的影响因素,经济与管理研究,1997,(9):33-35
[44]曹翔,通货膨胀目标制及其在我国的适用性研究,[硕士论文]四川:西南财经大学,2009
[45]王露霞,我国货币政策的有效性分析及建议,经济论坛,2009,(13 ):45-51
[2]Mishkin, Frederic S.Illiquidity, Consumer Durable Expenditure, and Monetary Policy. American Economic Review, 1976, No.4 (September):642-654
[3]Stieglitz, Joseph and Andrew Weiss. Credit Rationing in Markets with Imperfect Information. The American Economic Review, 1981, 71(3):393-410
[4]陈银娥,凯恩斯主义货币政策研究,北京:中国金融出版社,2000,97-103
[5]凯恩斯,就业、利息和货币通论(中译本),北京:三联书店,1957,44-46
[6]Tobin, James. General Equilibrium Approach to Monetary Theory. Journal of Money, Credit and Banking, 1969, 1(1):15-17
[7]Modigliani, Franco and Merton Miller. The Coat of Capital, Corporation Finance and the Theory of Investment. American Economic Review, 1958, 48,June:67-75
[8]巴曙松,中国货币政策有效性的经济学分析,经济科学出版社,2000,(1):56-67
[9]Ben Bernanke, Mark Garter. Agency Costs, Net Worth, and Business Fluctuations. American Economic Review 1989,(79):14-31
[10] Bernanke, Ben S and Mark, Gentler. Inside the Black Box:The Credit Channel of Monetary Policy Transmission. Journal of Economic Perspectives, 1995, Fall(9):27-48
[11]方齐云,国际经济学,华中科技大学出版社,2002,145-178
[12]Boyle, Glenn W., and Peterson James D. Money Policy, Aggregate Uncertainty, and the Stock Market. Journal of Money, Credit, and Banking, 1995, Vol.27, No.2, May: 570-582
[13]Fuhrer, Jeffrey C. &Moore, George R.Monetary Policy Trade-offs and the Correlation between Nominal Interest Rates and Real output. American Economic Review, 1995, March: 219-239
[14]刘霖,靳云汇,货币供应、通货膨胀与中国经济增长——基于协整的实证分析,统计研究,2005,(3):14-19
[15]谢富胜,张栋,西方货币信用传导机制理论述评,山西财经大学学报,2002,(3):4-7
[16]Ben Bernanke. Alternative Explanations of the Money-Income Correlation. Carnegie-Rochester Conference Series on Public Policy, 1986,(25):49-99
[17] Stephen D Oliner,Glenn D,Rudebusch.Is There a Broad Credit Channel of Monetary Policy? Economic Review,1996(1):3-13
[18]刘军,通货紧缩下我国货币政策传导的信贷渠道实证分析,统计研究,2004,(5):71-75
[19]楚尔鸣,当前我国货币政策效应探析,华北金融,2008,(2) :78-91
[20]李凡,从货币政策传导机制的角度探讨其有效性,廊坊师范学院学报,2007,(12):63-75
[21]蔡晓春,曹佳,叶发强,货币政策透明度及其在中国的实践,金融与经济,2008,(1):35-56
[22]谢朝华,李忠,蒋礼圣,关于我国货币政策效果的分析与研究,金融观察,2010,(2):42-47
[23]孙晶,李涵硕,货币市场的完善与我国货币政策传导机制分析,湖北财经高等专科学校学报,2007,(6):68-70
[24]唐伟,我国货币政策有效性研究,[硕士论文],北京:中央党校,2009
[25]王自力,完善传导机制,增强货币政策有效性,21世纪经济报道,2008,(3):12-22
[26]Good hart, C and Hofmann, B. Do Asset Prices Help to Predict Consumer Price Inflation? , The Manchester School, 200,(68):61-68
[27]徐杰,货币政策有效性的市场主体行为分析,韩康,中国宏观调控三十年——纪念中国改革开放三十周年文集,北京:经济科学出版社,2008年11月,48-59
[28]Freedman C. The role of Monetary Conditions and The Monetary Conditions Index in the conduct of Policy [C] ,Bank of Canada Review , Autumn,1995:53-60
[29]何静,关于提高货币政策有效牲的对策研究,兰州商学院学报,2006,(6):43-45
[30]陈亚男,高外贸依存度下中国外贸结构问题研究,[硕士论文]大连:东北财经大学,2007
[31]Miller , S.M.ES.Russet,1990 ,Co integration and Error Correction Models:temporal causality between Government Taxes and spending,Southern Economic Journal 57,221—229
[32]魏革军,我国汇率制度下货币政策的独立性分析,知识经济,2001,(10):67-73
[33]Lutkepohl. H. New Introduction to Multiple Time Series Analysis,Springer , 2005,(8):8-62
[34]Micron J A, Roomer C D, Weil D N. Historical perspectives on the monetary transmission mechad Kenny Turnbull. Monetary Condition Indices for the UK: A Survey [R]. External MPC Unit Discussion Paper, 2000,(9):43-49
[35]李思敏,开放经济条件下我国货币内生性问题研究,南方金融,2008,(1):61-65
[36]Stevens G R, Pitfalls in the Use of Monetary Conditions Indexes [J].Reserve Bank of Australia Bulletin, 1998,(8):31-35
[37]Brock well P J, Davis R, A, Times Series: Theory and Methods [M], Springer, 2005,63-64
[38]侯成琪,徐绪松,计量经济学方法之时间序列分析,技术经济, 2010,(8):25-27
[39]徐丹丹,孟潇,我国适度宽松货币政策走向分析——基于货币政策对货币供给量、GDP以及物价水平影响的判断,经济理论与经济管理,2010,(4):16—17
[40]周娇,我国货币政策有效性分析,知识经济,2010,(7):44-47
[41]布豪,现阶段中国货币政策的影响因素分析,经济研究导刊,2008,(15):42-44
[42]马辉,我国西部地区主要货币政策工具传导效应分析,现代商业,2009,(12):31-35
[43]徐雪,论我国货币政策效应时滞的影响因素,经济与管理研究,1997,(9):33-35
[44]曹翔,通货膨胀目标制及其在我国的适用性研究,[硕士论文]四川:西南财经大学,2009
[45]王露霞,我国货币政策的有效性分析及建议,经济论坛,2009,(13 ):45-51