基于VAR模型,价格型货币政策是否比数量型有效——以中国利率市场化和汇率改革为背景

Based on VAR model, whether price monetary policy is more effective than quantity one——On the background of interest rate marketization and exchange rate reform in China

采用VAR和VECM模型,首次基于利率市场化和汇率改革双重背景,以2005年、2010年、2015年为分界点,进行分时段检验价格型调控是否优于数量型。论文研究发现,在产出方面,价格型调控更优,在物价稳定方面数量型更优,随着利率市场化和汇率改革的推进,它们的调控能力越来越强。随着金融市场化的推进,我国仍不能放弃数量型中介目标,现阶段应结合数量型和价格型货币政策共同调控宏观目标,建立以M2和银行间债券回购利率为主的复合调控体系。

Using the VAR and VECM models, based on the dual background of interest rate liberalization and exchange rate reform for the first time, with 2005, 2010, and 2015 as the cut-off points, it was carried out to test whether the price-type regulation is better than the quantitative type. The research of the paper found that in terms of output, price-based regulation is better, and in terms of price stability, quantity-based regulation is better. With the promotion of interest rate marketization and exchange rate reform, their ability to regulate and control is getting stronger and stronger. With the advancement of financial marketization, China still cannot abandon quantitative intermediary targets. At this stage, it is necessary to combine quantitative and price-based monetary policies to jointly control the macro-targets, and establish a composite regulatory system based on M2 and interbank bond repo rates.