中国货币政策利率传导机制有效性的实证研究  

Empirical Study on the Transmission Mechanism Effectiveness of Interest Rate in China Monetary Policy

作　　者：方先明[1] 孙镟[2] 熊鹏[1] 张谊诰[1] 

机构地区：[1]南京大学商学院,江苏南京210093 [2]河海大学商学院,江苏南京210098

出　　处：《当代经济科学》2005年第4期35-43,共9页Modern Economic Science

基　　金：国家社会科学基金项目(NO.04BJL027)江苏省博士后科研基金资助项目南京大学博士后科研基金资助项目(0104003029)

摘　　要：本文基于新颖的和交叉性统计数据,通过协整检验与Granger因果关系检验等方法,对中国货币政策的利率传导机制进行实证研究。实证分析结果表明:(1)我国货币政策的利率传导机制是低效的。(2)货币政策在整体上却有效。这从侧面可以证明:相比较于其他几个货币传导机制,我国的利率传导机制的阻塞效用更强,即其对货币政策总体绩效的贡献度相对最小。(3)利率传导机制还存在时滞效应。本文认为,解决目前我国利率传导机制低效性的主要方法还是要通过利率市场化的渐进推进。This paper conducts empirical study on the transmission mechanism of interest rate in China monetary policy, via co-integration and Granger causality test and based on new and cross statistics. Empirical analysis indicates:(1) The transmission mechanism of interest rate is inefficient. (2) The monetary policy, as a whole, is effective. Compared with other monetary transmission mechanisms, the choke effectiveness is stronger in China, i. e. its contribution to the overall monetary policy performance is smaller. (3) There are different time lags on interest rate transmission mechanism. We hold that the major tool to solve the inefficient interest rate transmission mechanism in China is evolving market interest.

关 键 词：利率 有效性检验 时滞 实证研究 

分 类 号：F822.0[经济管理—财政学]