货币供应量、利率、汇率的可控性比较——基于平滑转换模型的研究

Controllability of Intermediate Variables in Monetary Policy Implementation:On Smooth-Transition Vector Error Correction Models

采用平滑转换下的向量误差修正模型,分析法定存款准备金率和一年期存款基准利率对广义货币M2增长率、银行间7天拆借实际利率和人民币实际有效汇率这三个中介变量的可控性。结果表明:平滑转化技术提高了模型的整体解释力,实际有效汇率的可预测性和可控性最高,可考虑将其纳入中介目标体系;畅通法定存款准备金率对中介变量的作用渠道能提高中介变量的可控性;无论在长期还是短期,一年期基准利率都是有效的货币政策工具,对其进行多次微调是影响市场实际利率更为有效的操作方式。

This paper analyzes the controllability of the growth rate of broad monetary( M2),real China Interbank Offer Rate( Chibor),and real effective exchange rate( REER) of Renminbi through ST-VECM. There are three conclusions. First,the application of smooth- transition improves the goodness of fit of w hole model,the regression of REER w ith the largest goodness of fit implies that REER can be better controlled than money supply and interest rate through a dynamic model. Second,the controllability of intermediate variables could be increased through improving the impact of reserve rate change on the movements of intermediate variables. Third,one-year benchmark deposit rate is an effective policy instrument both in the short-term and long-term. As a more effective operating approach,adjusting the benchmark deposit rate w ith narrow ranges and high frequencies exerts larger influence on real Chibor.