流动性波动影响我国货币政策传导机制的实证检验  

The Empirical Test of Liquidity Fluctuations Effect on China's Monetary Policy Transmission Mechanism

作　　者：贾丽平[1] 

机构地区：[1]山西财经大学财政金融学院

出　　处：《国际金融研究》2015年第7期44-54,共11页Studies of International Finance

基　　金：国家社会科学基金重点项目(06AJY002);国家社会科学基金项目(11BJY013)的资助

摘　　要：流动性波动削弱了我国货币政策的调控效果,使经济运行风险增大。本文基于流动性波动对货币政策传导机制的影响,采用VAR模型实证检验分析了无流动性波动、有流动性波动两种情况下利率和货币供应量对贷款总量、投资、GDP、CPI的冲击和影响。结果发现,在流动性波动下,利率和货币供应量对贷款总量、投资的冲击效果较好,对GDP、CPI冲击效果欠佳,且冲击程度和方向不稳定,很难引导和稳定市场预期,反映货币政策传导机制不畅,流动性波动减弱了两种政策变量的时效性,增大了政策变量冲击和影响效果的波动性,政策风险显著,影响到金融稳定。同时,受货币政策时滞延长的影响,两个政策变量的政策效果、时效性不同。价格型政策变量的调控作用有所增强,优势逐渐凸显,数量型政策变量效果相对欠佳。Liquidity fluctuations have reduced the effectiveness of the monetary policy instruments and increased the operational risk of China＇s economy. Based on the effect of liquidity fluctuations on the monetary policy transmission mechanism, this paper uses the VAR model to compare and analyze the effects that interest rate and money supply exerted on the total loan, investment, the Gross Domestic Product and Consumer Price Index. Empirical research shows that, against the background of liquidity fluctuations, both the interest rate and the money supply have a larger impact on total loan and investment but a smaller impact on the Gross Domestic Product and Consumer Price Index. Besides, the impact and stability have also been affected to varying degrees. That shows that the monetary policy transmission mechanism is blocked, and the liquidity fluctuations increased the fluctuations of the effect that the monetary policy exerted, weakened the effectiveness of monetary policy tools, and influenced the stability of the financial system. At the same time, the effects and the timeliness of different policy tools are different. The effectiveness of the price-based monetary policy tools has been enhanced and the effectiveness of the quantitative monetary policy tools has been relatively weakened. The combined effect of two monetary policy tools is better than that without liquidity fluctuations.

关 键 词：流动性波动 利率 货币供应量 货币政策传导机制 

分 类 号：F831[经济管理—金融学]