资本渐进开放、外汇储备累积与货币政策独立性——中国数据的实证研究  

Gradual Opening of Capital Account,Foreign Reserves Accumulation and Monetary Policy Independence

作　　者：王三兴[1] 王永中[2] 

机构地区：[1]安徽大学经济学院 [2]中国社会科学院世界经济与政治研究所国际投资室

出　　处：《国际金融研究》2011年第3期37-45,共9页Studies of International Finance

摘　　要：本文在开放和发展条件下,基于凯恩斯动态货币需求调节方程和Cavoli模型,构建了一个包含外汇储备增加的国内市场利率决定模型。对中国2001～2008年月度数据的OLS和TSLS回归结果表明国际市场利率和外汇储备增加对国内利率影响并不显著,而物价水平、产出和滞后一期的货币供给等变量系数符号不仅与理论预期一致,且检验结果显著。这表明中国渐进的资本市场开放战略和外汇储备的持续积累并没有对央行货币政策的独立性产生系统影响,对模型中变量系数的比较分析还发现中央银行的货币冲销政策效果非常明显。为使模型更加优化,由增加残差序列二阶自回归对原模型进行了调整,回归结果证实了上述结论。论文进一步采用了递归的SVAR模型来分析国际利率和外汇储备增加对国内利率的动态冲击效应,脉冲响应函数表明这种动态冲击效应同样十分微弱,再一次表明了中央银行的货币冲销有效性和国内货币政策的独立性。Conditional on openness and development,we build an interest-rate-determined model consisting of foreign exchange reserves changes which is based on Keynes dynamic money demand equation and Cavoli′s model.OLS and TSLS regression results show that domestic nominal interest rate is not affected by international interest rate and reserves obviously while coefficients of domestic variables such as CPI,output and one-time lagged money supply are statistically significant and in accordance with theoretical expectations while using the monthly data between 2001 and 2008 in china for empirical research.It can be inferred that gradual capital market openness and reserves accumulation have no systematic impacts on domestic interest rate as the central bank＇s sterilization measures to diminish the RMB counterparts of foreign reserves have fine effects.Above conclusions are affirmed in a fitter model adjusted through adding residual series two-order autoregressive.We further use recursive structural VAR model to analyze the dynamic shock effect of international interest rate and reserves changes on domestic interest rate.Impulse responses function reveals that dynamic shock effects are feeble as well,which testifies that money sterilization is very effective and monetary policy is independent also.

关 键 词：资本开放 外汇储备累积 货币冲销 货币政策独立性 

分 类 号：F123.16[经济管理—世界经济]