基于联立方程结构模型的央行货币冲销效果研究:2001-2012  

Empirical Study on the Effect of Monetary Sterilizing Policy——Based on Simultaneous Equation Systems:2001-2012

作　　者：徐滢[1,2] 钱水土[1] 

机构地区：[1]浙江工商大学金融学院 [2]浙江工商大学现代商贸研究中心

出　　处：《财贸经济》2013年第11期57-67,81,共12页Finance & Trade Economics

基　　金：温州大学金融研究院基金"面向小微企业的金融产品供给研究"(ZB12106);教育部省部共建人文社会科学重点研究基地浙江工商大学现代商贸研究中心项目基金"典当业品牌连锁;区域布局及发展规划研究"(12JDSM13YB)

摘　　要：本文给出了2001年来央行外汇资产变动下的货币投放和回笼逻辑,得出货币政策调控在供给和流通端被"二次绑架"的结论,然后基于修正后的货币当局反应函数和国际资本流动联立方程结构模型来估算央行货币冲销效果。结论表明央行冲销效果较显著,外汇资产增加带来的货币投放有63%被冲销。对不同时期样本分段实证显示,2007年后货币冲销系数上升,但其与外汇资产变动的关联性下降,其原因是被动投放流动性规模下行、国际资本流动日益灵活以及金融危机后央行货币政策调控思路调整等。This paper lists evidences of monetary supply and currency withdrawal m recent ten years vnu we find monetary supply is controlled by forex purchase and monetary sterilization. Using the monthly data from 2001 to 2012, we estimate the relationship between forex purchase and monetary supply based on the simultaneous equation systems and then detect that 63% of monetary supply by purchasing forex is sterilized by the use of monetary tool. Then we compare sterilizing coeffident in different periods （2001--2006 and 2008--2012）and find the coefficient inclines with the drop of its relevance with foreign exchange assets. We conclude that the causes of effectiveness decline are the drop of passive monetary supply and the change of monetary control thinking.

关 键 词：货币冲销效果 货币冲销工具 冲销系数 

分 类 号：F822.0[经济管理—财政学] F224