货币政策传导机制有效性的实证研究  

Study on the Effectiveness of China's Monetary Policy Transmission Mechanism

作　　者：刘军[1] 

机构地区：[1]天津财经大学经济学院,天津300222

出　　处：《统计与信息论坛》2006年第5期104-108,共5页Journal of Statistics and Information

摘　　要：文章选取货币供应量和金融机构年末贷款余额作为货币政策的中介指标变量，以经济增长作为货币政策的最终目标变量，运用动态计量经济学理论，通过对变量的单位根检验，协整检验和因果关系检验，对1978-2004年的数据采用EG两步法建立误差修正模型。研究表明货币政策传导存在明显的时滞，而且货币供应量增长率与贷款余额增长率相比对经济增长率的影响更显著。In this paper, money supply, credit and GDP are chosen to analyze the effectiveness of China＇s monetary policy transmission mechanism from 1978 to 2004. By unit root test, cointegration test and Granger＇s Causality test, an ECM is set up to show the long- term relationship among GDP, M2 and credit. The results tell that monetary policy transmission has lag phase and money supply has more significant impact on economic growth than credit does.

关 键 词：货币政策 传导机制 协整检验 EG两步法 误差修正模型 

分 类 号：F224.0[经济管理—国民经济]