中国货币状况指数的构建及对货币政策效果的验证

The Construction of Chinese Currency Index and the Testing of Monetary Policies

货币状况指数是利率和汇率相对于基期变化的加权和,是一个纳入了利率和汇率对货币环境影响的综合指数。考虑到银行信用对中国货币政策实施的特殊作用,本文基于VAR模型对权重的估计,计算了中国货币状况指数;并通过考察货币状况指数与经济增长间的关系,对1990年以来中国货币政策的执行效果进行了验证。结果表明,货币状况指数变化是中国货币环境“松紧”的一个良好指示器,是经济增长波动的葛兰杰原因;中央银行有必要估算并公布中国货币状况指数,以作为政府适时有效地实施宏观调控的一个参考指标,减少货币政策决策的失误。

Currency index refers to the weighted aggregate of the interest rate and exchange rate relevant to changes in the basic period, and is a comprehensive index that incorporates ＂the impact of the interest and the exchange rate on the currency environment. Taking into account the special function of the bank credibility in Chinese currency, this paper calculates the index of Chinese currency position based on the estimate of the option weight via VAR model. Through an investigation of the relationship between the currency index position and the economic growth, the paper subjects to test the effectiveness in the implementation of the Chinese currency policies since 1990. The research finding shows that the change in the index of the currency position is a good indicator of the Chinese currency environment conditions： ＂relaxed or tightened＂ , and is the Grainger cause of the fluctuation in economic growth. So the central bank should estimate and release the index of Chinese currency position as an indicator for macro-control in order to minimize errors in formulating monetary policy.