中国货币政策的自主性:1996～2008

The Autonomy of Monetary Policy in China from 1996 to 2008

本文从两个方面对中国货币政策的自主性进行了检验:一是利用Granger因果检验分析货币数量与外汇储备是否存在因果关系,从外部冲击来判断货币政策是否丧失了自主性;二是对物价、货币数量和利率做基于VAR的误差修正模型(VEC)来分析利率变动是否导致货币数量同向变动、货币数量是否是内生变量,从内部作用机制系统性地来判断货币政策是否丧失了自主性。研究结论显示:从1996年至2008年,中国的货币政策总体上保持了高度的自主性,即使Granger因果检验表明自1998年以来外汇储备变动是货币数量M1变动的决定性原因,货币政策丧失部分自主性,但VEC模型显示中国货币政策自主性并没有受到系统性制约。

This paper examines the autonomy of China＇s monetary policy from two aspects： （1） Analyzing the causality between foreign exchange reserve and the quantity of money by using Granger causality methodology from external shocks, but the effect may be counteracted by sterilization operations in fixed exchange rate system; （ 2 ） Analyzing whether the variation of interest rate leads to the co - rotating variation of quantity of money from internal mechanism by Vector Error Correction Model based on Vector Autoregression with price, quantity of money and interest. The results indicate that the autonomy of China＇s monetary policy maintains systematically from 1996 to 2008, even the Granger causality shows that the variation of foreign exchange reserve has been a decisive cause of the variation of quantity of money since 1998, but the ECM shows that the autonomy of China＇s monetary policy has not systematically restricted in the inspected period.