麦克勒姆规则有效性在中国的实证研究  

The Empirical Study on Effectiveness of McCallum's Rules in China

作　　者：宋玉华[1] 李泽祥[1] 

机构地区：[1]浙江大学经济学院,杭州310027

出　　处：《金融研究》2007年第05A期49-61,共13页Journal of Financial Research

摘　　要：本文运用协整检验、脉冲响应和方差分解等方法,对我国各层次货币供应量与实体经济波动之间的内在联系进行了实证分析,并通过误差修正模型测定了各层次货币冲击对经济的影响程度,在此基础上检验了麦克勒姆规则的有效性。研究发现,货币冲击是导致宏观经济波动的重要因素。在货币流通速度趋于稳定、货币乘数逐渐提高的情况下,MO对实体经济的影响力增强,为中央银行实施麦克勒姆规则调控宏观经济运行创造了条件。随着中国金融市场化的深入和经济开放度的提高,投资和储蓄的利率弹性也会不断提高,中央银行货币政策可由规模调控逐渐过渡到价格调控。By using cointegration test, impulse responses and variance decompositions, the paper firstly analyzes the relationship between the aggregate money supply and real economic fluctuation and studies the effect of aggregate money supply on economy based on VECM. Secondly, the paper tests the effectiveness of McCallum＇s rules in China and finds that money shock is an important cause to macroeconomic fluctuation. When money multiplier goes up while money velocity keeps steady, thus base money has significantly effect on the real economy, which creates conditions for the central bank to implement McCallum＇s rules to manipulate the economy in China. With the improvement of financial marketization and openness, the elasticity of the interest rate of investment and saving will increase accordingly ,the central bank should gradually change its monetary policy from scale control to price control.

关 键 词：麦克勒姆规则 货币冲击 经济波动 规模调控 

分 类 号：F822.0[经济管理—财政学] F224