麦卡勒姆规则在中国货币政策中的实证检验

An Empirical Test on McCallum Rule in Monetary Policy of China

本文运用麦卡勒姆规则对我国的货币政策操作进行了实证检验,样本区间为1990年第1季度-2008年第1季度。本文的主要发现是:(1)根据麦卡勒姆规则原式得到的基础货币增长率和供应量的模拟值与实际值之间存在较大偏差;(2)取消麦卡勒姆规则的参数设定后,对基础货币反应函数进行估计所得到的结果要优于原式的推断,但货币供应的方式是顺周期的。在固定汇率制下,外汇储备增长率对基础货币增长率几乎没有影响,而经过加权的外汇储备增长率的影响也不显著。这些发现可为如何建立一个使经济趋于稳定的货币政策反应函数提供经验证据。

Tbis paper uses McCallum rule to test monetary policy operation of China and the main findings are as follows： there is an obvious deviation between simulated value of growth rate and supply of basic money from original McCallum rule and actual value ; and after calling off supposed parameters, the estimates of reaction functions of basic money are better than original McCallum, but money supply goes with economic cycle. Growth rate of foreign exchange reserve has little significant effects on growth rate basic money. The findings may produce empirical evidence to how to build reaction functions of monetary policy stabilizing economy.