我国最优货币政策代理变量识别的研究——基于货币政策响应和传导的双重视角分析  

The Identification of China′s Optimal Monetary Policy Proxy Variable:An Analysis based on Monetary Policy Response and Transmission

作　　者：武鹏飞 戴国强[2] WU Peng-fei;DAI Guo-qiang(School of Finance,Shanghai University of Finance and Economics, Shanghai 200433,China;Business School,Shanghai University of Finance and Economics, Shanghai 200433,China)

机构地区：[1]上海财经大学金融学院 [2]上海财经大学商学院,上海200433

出　　处：《商业研究》2019年第11期119-130,共12页Commercial Research

摘　　要：选择一个有效的代理变量来代表中央银行的货币政策立场,是进行货币政策相关研究的前提和基础。本文在SVAR模型的基础上,从货币政策对实体经济变动的响应模式和传导效果两个角度对6个政策性变量进行比较分析,以识别我国最优的货币政策代理变量。结果表明:(1)数量型变量仍然是我国央行进行宏观调控时盯住的主要目标,其中人民币贷款规模满足所有条件,是最优的货币政策代理变量。(2)价格型变量能够对通胀冲击做出显著的响应,但对产出冲击的响应不显著;而价格型变量的变动对通胀无显著影响,但对产出具备显著影响。可见,我国央行并不以利率指标作为调控经济的主要手段,但利率的变动却能够影响实际产出;“十三五”提出的“推动货币政策由数量型为主向价格型为主转变”存在着一定的现实基础。Choosing an effective proxy variable to represent the monetary policy position of the central bank is the premise and basis for the research of monetary policy.On the basis of SVAR model, this paper compares six policy variables from two aspects of monetary policy′s response mode and transmission effect to real economic change, in order to identify the optimal agent variable of monetary policy in China.The results show that: (1) the quantitative variable is still the main target of the central bank in macro-control, in which the RMB loan scale meets all conditions and is the optimal agent variable of monetary policy.(2) the price variable can make a significant response to the inflation shock, but not to the output shock;the change of the price variable has no significant impact on the inflation, but has a significant impact on the output.It can be seen that the Central Bank of China does not take the interest rate index as the main means of regulating and controlling the economy, but the change of interest rate can affect the actual output;there is a certain practical basis for the “13th Five Year Plan” to promote the transformation of monetary policy from quantity oriented to price oriented.

关 键 词：货币政策代理变量 SVAR 货币政策的响应与传导 

分 类 号：F832.0[经济管理—金融学]