我国货币政策区域不对称效应的实证研究
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摘要
在地区经济发展存在明显差距的国家实行单一的货币政策,其政策效果必然在各地区产生较大的差异,这就是货币政策的区域效应。长期以来,我国实行的主要是全国统一的货币政策,一定程度上忽视了我国区域经济发展不平衡对货币政策的不同需求,货币政策的区域不对称性效应不可避免。
本文在对货币政策区域不对称效应的理论进行回顾的基础上,首先运用蒙代尔最优货币区判别标准对我国是否属于最优货币区进行检验,得出的结论是:我国尚不属于最优货币区,从而判定我国货币政策存在区域不对称效应;然后,选取货币供应量作为货币政策的指示变量,利用基于向量自回归模型(VAR)的协整检验、脉冲响应、预测方差分解和基于可变参数的状态空间模型和卡尔曼滤波(Kalman)等多种计量分析工具和手段对我国货币政策的区域不对称效应进行实证分析与检验,得出的基本结论是:①我国当前统一的货币政策在不同地区呈现出显著的不对称性效应。其中,货币政策对东部地区经济增长的效应最大,中部地区次之,西部地区最弱。②东部地区经济增长对货币供应量的响应速度最快,敏感度最大,中部地区次之,西部地区的敏感度最低;货币供应量对西部地区经济增长的解释力远远低于东、中部地区,且对西部地区经济的影响呈明显的滞后性。③货币政策对区域经济增长的边际贡献为西部地区最大,中部地区次之,东部地区最小。④我国货币政策区域不对称效应的主要原因是,我国东中西部地区经济发展不平衡,金融机构和金融市场发展严重失衡,信贷资源和金融深化程度不一,企业和居民行为存在差异,投资效率和产出水平不一致,使得货币政策主要传导渠道——信贷传导渠道的中介、载体、微观主体和目标结果等各环节都存在明显的地区差异,由此导致全国统一的货币政策不可避免地在各区域产生不对称效应。⑤提高货币政策区域有效性,缩小区域差异的对策包括:促进区域金融经济的协调发展;在保持货币政策统一性的前提下,实行灵活的货币调控政策;实施一定差异的金融监管政策。
If implement the single monetary policy in a country where there is a great discrepancy in regional economic development, the great different effects of the policy in various regions are inevitable, which is the regional effects of monetary policy. For a long time, we implemented the single monetary policy and partly ignored the imbalance of regional economic development which called for different monetary policies, which results in the asymmetric regional effects of monetary policy in China.
In this paper, after the review of the theory of asymmetric regional effects of monetary policy, firstly, we use the Mundell optimal currency area criterion to test whether China is an optimal currency area or not, and the result is that China is not an optimal currency area yet, which determine the existence of asymmetric regional effects of monetary policy in our country. Then, based on the co-integration test, impulse response and variance decomposition of the VAR Model and Kalman Filter of the State Space Model, we select money supply as the direct variable of monetary policy and analyze the regional effects of monetary policy in China. The result of empirical study shows that:①There exist manifest asymmetric regional effects of monetary policy in China.The monetary policy’s impacts on the economic growth in the eastern region is the strongest, followed by the central region, the western region is the weakest.②The economic growth of the eastern region responses to money supply fastest and has the highest sensitive, followed by the central region, the western region is the weakest; In the western region, the explanation of money supply to economic growth is far lower than the eastern and central region, and the impact was obvious lag.③The marginal contribution rate of monetary policy to the economic growth in the eastern region is the highest, followed by the central region, the western region is the lowest.④The asymmetric regional effects of monetary policy in our country is mainly due to the imbalance of economic development, financial institutions and financial market development, the difference of credit resources and degree of financial deepening, the discrepancy of behavior of businesses and residents, and the inconsistency of efficiency of investment and level of output in east, central and western regions of China. So there exist manifest regional discrepancy in the main transmission channel of monetary policy(the credit transmission channel),including the sections of intermediary, carrier,micro- economic main body and target, which results in the inevitable asymmetric regional effects of monetary policy in China.⑤The policy suggestions which can improve the regional effectiveness of monetary policy and narrow down the regional difference include promoting the coordinated development of regional financial and economics, implementing a flexible monetary control policy on the premise of the unity of monetary policy, and executing certain different financial regulatory policy.
本文在对货币政策区域不对称效应的理论进行回顾的基础上,首先运用蒙代尔最优货币区判别标准对我国是否属于最优货币区进行检验,得出的结论是:我国尚不属于最优货币区,从而判定我国货币政策存在区域不对称效应;然后,选取货币供应量作为货币政策的指示变量,利用基于向量自回归模型(VAR)的协整检验、脉冲响应、预测方差分解和基于可变参数的状态空间模型和卡尔曼滤波(Kalman)等多种计量分析工具和手段对我国货币政策的区域不对称效应进行实证分析与检验,得出的基本结论是:①我国当前统一的货币政策在不同地区呈现出显著的不对称性效应。其中,货币政策对东部地区经济增长的效应最大,中部地区次之,西部地区最弱。②东部地区经济增长对货币供应量的响应速度最快,敏感度最大,中部地区次之,西部地区的敏感度最低;货币供应量对西部地区经济增长的解释力远远低于东、中部地区,且对西部地区经济的影响呈明显的滞后性。③货币政策对区域经济增长的边际贡献为西部地区最大,中部地区次之,东部地区最小。④我国货币政策区域不对称效应的主要原因是,我国东中西部地区经济发展不平衡,金融机构和金融市场发展严重失衡,信贷资源和金融深化程度不一,企业和居民行为存在差异,投资效率和产出水平不一致,使得货币政策主要传导渠道——信贷传导渠道的中介、载体、微观主体和目标结果等各环节都存在明显的地区差异,由此导致全国统一的货币政策不可避免地在各区域产生不对称效应。⑤提高货币政策区域有效性,缩小区域差异的对策包括:促进区域金融经济的协调发展;在保持货币政策统一性的前提下,实行灵活的货币调控政策;实施一定差异的金融监管政策。
If implement the single monetary policy in a country where there is a great discrepancy in regional economic development, the great different effects of the policy in various regions are inevitable, which is the regional effects of monetary policy. For a long time, we implemented the single monetary policy and partly ignored the imbalance of regional economic development which called for different monetary policies, which results in the asymmetric regional effects of monetary policy in China.
In this paper, after the review of the theory of asymmetric regional effects of monetary policy, firstly, we use the Mundell optimal currency area criterion to test whether China is an optimal currency area or not, and the result is that China is not an optimal currency area yet, which determine the existence of asymmetric regional effects of monetary policy in our country. Then, based on the co-integration test, impulse response and variance decomposition of the VAR Model and Kalman Filter of the State Space Model, we select money supply as the direct variable of monetary policy and analyze the regional effects of monetary policy in China. The result of empirical study shows that:①There exist manifest asymmetric regional effects of monetary policy in China.The monetary policy’s impacts on the economic growth in the eastern region is the strongest, followed by the central region, the western region is the weakest.②The economic growth of the eastern region responses to money supply fastest and has the highest sensitive, followed by the central region, the western region is the weakest; In the western region, the explanation of money supply to economic growth is far lower than the eastern and central region, and the impact was obvious lag.③The marginal contribution rate of monetary policy to the economic growth in the eastern region is the highest, followed by the central region, the western region is the lowest.④The asymmetric regional effects of monetary policy in our country is mainly due to the imbalance of economic development, financial institutions and financial market development, the difference of credit resources and degree of financial deepening, the discrepancy of behavior of businesses and residents, and the inconsistency of efficiency of investment and level of output in east, central and western regions of China. So there exist manifest regional discrepancy in the main transmission channel of monetary policy(the credit transmission channel),including the sections of intermediary, carrier,micro- economic main body and target, which results in the inevitable asymmetric regional effects of monetary policy in China.⑤The policy suggestions which can improve the regional effectiveness of monetary policy and narrow down the regional difference include promoting the coordinated development of regional financial and economics, implementing a flexible monetary control policy on the premise of the unity of monetary policy, and executing certain different financial regulatory policy.
引文
[1]刘传哲,聂学峰.我国货币政策的传递途径——理论与实证研究[M].北京:经济管理出版社,2007.
[2] Scott IO. The Regional impact of monetary policy[J].The Quarterly Journal of Economics,1955, 69:269～284.
[3] John B. Beare. A Monetarist Model of Regional Business Cycles [J].Journal of Regional Science, 1976, 16.
[4] Toal.William D.Regional impacts of monetary and fiscal policies in the postwar period:some initial tests[J].Federal Reserve Bank of Atlanta(working paper),1977.
[5] Garrison C B,John R Kort.Regional impact of monetary and fiscal policy:A comment[J]. Journal of Regional Science,1983, 23:249～261.
[6] Randall J.Miller. the Dynamic Properties of a Two Region Model of the Regional Impact of Monetary Policy[J].the Journal of Economics&Business,1979, 31.
[7] Taylor,J.The Monerary Transmission Mechanism:an Empirical Framework[J].Journal of Economic Perpectives,1995, 1:11～26.
[8] Dornbusch.R,C.Favero and F.Giavazzi.Immediate Challenges for the ECB [J].Economic Policy, 1998, 4:17～63.
[9] Mary Beth Stanek.International Monetary Arrangements;the European Union and the Euro[J].European Business Review,2001, 13:23～57.
[10] Marilyne Huchet.Does Single Monetary Policy Have Asymmetric Real Effects in EMU [J].Journal of Poclying Modeling, 2003, 25:151～178.
[11] Clausen,V. Asymmetric Monetary Transmission in Europe[M].2006.
[12] Carlino Gerald A,Robert DeFina.The differential regional effects of monetary policy[J].The Review of Economics and Statistics,1998, 80:572～587.
[13] De Lucio Juan,Mario Izquierdo.Local responses to a global monetary policy[J].Journal of Economic Studies,2002, 29:205～221.
[14] Di Giacinto Valter.Differential regional effect s of monetary policy: A geographical SVAR approach[J].International Regional Science Review,2003, 26:301～341.
[15] Owyang,M.T,and H.J.Wall.Structural Breaks and Regional Disparities in the Transmission of Monetary Policy[J].Federal Reserve Bank of St.Louis,Working Papers 2004:2003-2008.
[16]张志军.中央银行应注意金融调控的地区差别性[J].理论研究,1999,(6):4～8.
[17]耿同劲.货币政策工具区域区域化研究[J].上海金融,2003,(5):11～13.
[18]孙天琦.货币政策:统一前提下部分内容的区域差别化研究[J].金融研究,2004,(5):1～19.
[19]丁文丽.转轨时期中国货币政策效力的区域差异研究[M].北京:中国社会科学出版社,2005.
[20]范祚军,洪菲.统一货币政策框架下区域性金融调控机制构想[J].经济科学,2005,(1):29～39.
[21]宋旺,钟正生.我国货币政策区域性效应的存在性及其原因[J].经济研究,2006,(3):46～58.
[22]于则.我国货币政策的区域效应分析[J].管理世界,2006,(2):18～22.
[23]焦瑾璞,孙天琦,刘向耘.货币政策执行效果的地区差别分析[J].金融研究,2006,(3):1～10.
[24]陈安平.我国财政货币政策的区域差异效应研究[J].数量经济技术经济研究,2007,(6):56～64.
[25]胡振华,胡绪红.金融结构差异与货币政策的区域效应[J].财贸研究,2007,(5):73～78.
[26]吴伟军,方霞.居民储蓄行为差异对货币政策区域效应的影响[J].山西财经大学学报,2008,(11):73～76.
[27]蒋冠、黄合建.基于区域金融结构差异的中国货币政策区域分配效应实证研究[J].经济问题探索,2009,(11):105～110.
[28]周孟亮、李明贤.中国货币政策外部传导效应区域差异化研究[J].金融理论与实践,2009,(11):59～64.
[29]柯冬梅.最优货币区理论及其对中国货币政策的借鉴[J].中央财经大学学报,2001,(1):28～32.
[30] Mundell,R.A.A Theory of Optimum Currency Areas[J].American Economic Review,1961, 51:717～725.
[31] Ronald Mckinnon.Optimum Currency Areas[J].American Economic Review, 1963, 53.
[32] Peter Kenen.The Theory of Optimum Currency Areas: An Eclectic View[J].Monetary Problems of the International Economy, 1969:41～60.
[33] Ingram.J.C.A proposal for integration in the Atlantic Community, in: Factors Affecting the United States Balance of Payments[M].Washington.D.C.:U. S.Government Printing Office,1962:175～207.
[34] Harberler.Gottfried.The International Monetary System:Some Recent Developments and Discussions[M].University of Chicago Press,1969.
[35] Fleming.J.Marcus.On Exchange Rate Unification[J].economic journal,1971, 81:467～488.
[36]巴曙松.中国货币政策有效性的经济学分析[M].经济科学出版社,2000.
[37]萨伊.政治经济学概论(中译本)[M].北京:商务印书馆,1997.
[38]魏克塞尔.利息与价格(中译本)[M].北京:商务印书馆,1993.
[39]凯恩斯.就业、利息和货币通论(中译本)[M].北京:商务印书馆,1996.
[40] Friedman.M and Schwartz, A. J. A monetary history of the United States: 1867-1960[M].Princeton University press, 1963.
[41] Lucas.R.E.Jr. Econometric Policy Evaluation: A Critique in the Philips and Labor Markets[J].Camegic-Rochester Conference Series on Public Policy 1, 1972:19～46.
[42]王里.我国统一货币政策调控效果的差别化研究——基于东西部的比较分析[D],陕西,西北大学,2006.
[43]李健.当代西方货币金融学说[M].北京:高等教育出版社,2006.
[44] Barro.R. and Gordon.D. Rules discretion and reputation in a monetary policy[J]. Journal of Monetary Economics, 1981,12:101～211.
[45]杨晓,杨开忠.中国货币政策影响的区域差异性研究[J].财经研究,2007,(2):4～15.
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[50]李子奈.计量经济学[M].北京:高等教育出版社,2003.
[51]高铁梅.计量经济分析方法与建模——Eviews应用及实例[M].北京:清华大学出版社,2006.
[52]刘飞.我国货币政策区域效应实证研究[J].四川大学学报,2007,(2):33～40.
[53]华娇.中国货币政策传导效果地区差异的实证研究——从信贷传导机制角度分析[D],湖北,华中师范大学,2007.
[54]王燕.货币政策效果的区域差异研究[D].吉林,吉林大学,2007.
[2] Scott IO. The Regional impact of monetary policy[J].The Quarterly Journal of Economics,1955, 69:269～284.
[3] John B. Beare. A Monetarist Model of Regional Business Cycles [J].Journal of Regional Science, 1976, 16.
[4] Toal.William D.Regional impacts of monetary and fiscal policies in the postwar period:some initial tests[J].Federal Reserve Bank of Atlanta(working paper),1977.
[5] Garrison C B,John R Kort.Regional impact of monetary and fiscal policy:A comment[J]. Journal of Regional Science,1983, 23:249～261.
[6] Randall J.Miller. the Dynamic Properties of a Two Region Model of the Regional Impact of Monetary Policy[J].the Journal of Economics&Business,1979, 31.
[7] Taylor,J.The Monerary Transmission Mechanism:an Empirical Framework[J].Journal of Economic Perpectives,1995, 1:11～26.
[8] Dornbusch.R,C.Favero and F.Giavazzi.Immediate Challenges for the ECB [J].Economic Policy, 1998, 4:17～63.
[9] Mary Beth Stanek.International Monetary Arrangements;the European Union and the Euro[J].European Business Review,2001, 13:23～57.
[10] Marilyne Huchet.Does Single Monetary Policy Have Asymmetric Real Effects in EMU [J].Journal of Poclying Modeling, 2003, 25:151～178.
[11] Clausen,V. Asymmetric Monetary Transmission in Europe[M].2006.
[12] Carlino Gerald A,Robert DeFina.The differential regional effects of monetary policy[J].The Review of Economics and Statistics,1998, 80:572～587.
[13] De Lucio Juan,Mario Izquierdo.Local responses to a global monetary policy[J].Journal of Economic Studies,2002, 29:205～221.
[14] Di Giacinto Valter.Differential regional effect s of monetary policy: A geographical SVAR approach[J].International Regional Science Review,2003, 26:301～341.
[15] Owyang,M.T,and H.J.Wall.Structural Breaks and Regional Disparities in the Transmission of Monetary Policy[J].Federal Reserve Bank of St.Louis,Working Papers 2004:2003-2008.
[16]张志军.中央银行应注意金融调控的地区差别性[J].理论研究,1999,(6):4～8.
[17]耿同劲.货币政策工具区域区域化研究[J].上海金融,2003,(5):11～13.
[18]孙天琦.货币政策:统一前提下部分内容的区域差别化研究[J].金融研究,2004,(5):1～19.
[19]丁文丽.转轨时期中国货币政策效力的区域差异研究[M].北京:中国社会科学出版社,2005.
[20]范祚军,洪菲.统一货币政策框架下区域性金融调控机制构想[J].经济科学,2005,(1):29～39.
[21]宋旺,钟正生.我国货币政策区域性效应的存在性及其原因[J].经济研究,2006,(3):46～58.
[22]于则.我国货币政策的区域效应分析[J].管理世界,2006,(2):18～22.
[23]焦瑾璞,孙天琦,刘向耘.货币政策执行效果的地区差别分析[J].金融研究,2006,(3):1～10.
[24]陈安平.我国财政货币政策的区域差异效应研究[J].数量经济技术经济研究,2007,(6):56～64.
[25]胡振华,胡绪红.金融结构差异与货币政策的区域效应[J].财贸研究,2007,(5):73～78.
[26]吴伟军,方霞.居民储蓄行为差异对货币政策区域效应的影响[J].山西财经大学学报,2008,(11):73～76.
[27]蒋冠、黄合建.基于区域金融结构差异的中国货币政策区域分配效应实证研究[J].经济问题探索,2009,(11):105～110.
[28]周孟亮、李明贤.中国货币政策外部传导效应区域差异化研究[J].金融理论与实践,2009,(11):59～64.
[29]柯冬梅.最优货币区理论及其对中国货币政策的借鉴[J].中央财经大学学报,2001,(1):28～32.
[30] Mundell,R.A.A Theory of Optimum Currency Areas[J].American Economic Review,1961, 51:717～725.
[31] Ronald Mckinnon.Optimum Currency Areas[J].American Economic Review, 1963, 53.
[32] Peter Kenen.The Theory of Optimum Currency Areas: An Eclectic View[J].Monetary Problems of the International Economy, 1969:41～60.
[33] Ingram.J.C.A proposal for integration in the Atlantic Community, in: Factors Affecting the United States Balance of Payments[M].Washington.D.C.:U. S.Government Printing Office,1962:175～207.
[34] Harberler.Gottfried.The International Monetary System:Some Recent Developments and Discussions[M].University of Chicago Press,1969.
[35] Fleming.J.Marcus.On Exchange Rate Unification[J].economic journal,1971, 81:467～488.
[36]巴曙松.中国货币政策有效性的经济学分析[M].经济科学出版社,2000.
[37]萨伊.政治经济学概论(中译本)[M].北京:商务印书馆,1997.
[38]魏克塞尔.利息与价格(中译本)[M].北京:商务印书馆,1993.
[39]凯恩斯.就业、利息和货币通论(中译本)[M].北京:商务印书馆,1996.
[40] Friedman.M and Schwartz, A. J. A monetary history of the United States: 1867-1960[M].Princeton University press, 1963.
[41] Lucas.R.E.Jr. Econometric Policy Evaluation: A Critique in the Philips and Labor Markets[J].Camegic-Rochester Conference Series on Public Policy 1, 1972:19～46.
[42]王里.我国统一货币政策调控效果的差别化研究——基于东西部的比较分析[D],陕西,西北大学,2006.
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