人民币升值压力与货币政策:基于货币模型的实证分析

China's Exchange Market Pressure and Monetary Policy:A Monetary Model Based on Empirical Analysis

利用1994年1月至2008年1月的月度数据,采用外汇市场压力的货币模型,构建了人民币外汇市场升值压力指数,并利用向量自回归方法研究了中央银行国内信贷变化、中美相对经济增长率变化、中国利率水平变化与外汇市场压力之间的相互作用,探讨了美国基础货币增长、美国利率水平变化等外生变量对人民币升值压力的影响。发现中国中央银行国内信贷与人民币升值压力呈现负向关系,而中国经济增长和国内利率水平与人民币升值压力呈正向关系。当人民币升值压力增加时,货币当局的反应是减少其净国内信贷,而国内利率水平的变化则并不显著地反映人民币升值压力的变化。

Based on a monetary model this study derives a measure of Renminbi foreign exchange market pressure （EMP）, and investigates the interactions between EMP, central bank domestic credit, China＇s relative economic growth rate against US, and domestic interest rate. Also this paper explores the impacts of US monetary base and interest rate on China＇ s EMP. Monthly data for the period 1994-01 to 2008-01 and a VAR methodology are used. We found some evidence of a negative relationship between Renminbi appreciation pressure and central bank domestic credit, as well as positive relationships between Renminbi appreciation pressure and economic growth, domestic interest rate respectively. Also there is some evidence that EMP affects domestic credit negatively, while no significant impacts on China＇s interest rate.