政策性冲击、货币政策操作目标：基于准备金市场模型的实证研究

An Empirical Study of Monetary Policy Shocks and the Operation Target Based on Required Reserves Market Model

对于我国货币政策操作目标,并没有一个明确的说法。为了对相对稳定、有效的货币政策操作目标进行实证判断,本文建立了宏观经济变量和准备金市场变量的结构性向量自回归模型(SVAR),通过识别假设把SVAR模型转化为包含政策变量和非政策变量新息(innovation)的关于政策变量的半结构性向量自回归模型(Semi-SVAR)。通过准备金市场模型,界定了可观察残差项与结构扰动项之间的"黑箱",对我国货币政策操作目标进行识别。实证结果显示,1998年以来,我国相对稳定、有效的货币政策操作目标是准备金总额,也可以说是基础货币,并不是超额准备金和货币市场利率。识别的政策冲击反映了货币政策调控事件对货币供求的冲击,与我国货币政策的操作实际很吻合。

In the paper, the authors firstly establish a SVAR model about macroeconomic variable and reserves index variable, and then transform the SVAR model into semi-SVAR model about monetary policy index including innovation of policy and macroeeonomie through identifying assumption, and finally definite＂black box＂ relating observable VAR residuals and the unobservable SVAR structure disturbances in light of the model of market for commercial bank reserves. The empirical results show that China＇ s monetary policy operating target is total required reserves which means base money, instead of excess reserves or the interest rate of money market. The identified exogenous components of policy shocks reflect the effects of monetary manipulating scenario on demand and supply of money, which is consistent with monetary operating practice in China.