外汇储备增长、货币冲销的有效性及对物价波动的动态影响——基于货币数量论和SVAR的实证研究

On the Effectiveness of Foreign Exchange Reserve and Monetary Sterilization on the Inflation

本文基于货币数量论构建了货币冲销缓解通货膨胀压力的理论模型,并利用2003年第2季度到2006年第3季度的数据进行实证。结果表明,中国央行的货币冲销确实能有效抑制由外汇储备增加引起的通货膨胀,并且其理论冲销效果和实际冲销效果差别较小。进一步的,利用2000年8月到2006年9月的数据,通过建立SVAR模型,对外汇储备增加和货币冲销对物价水平以及社会产出的动态影响进行考察。研究表明,中国的外汇储备变动具有明显的通胀效果,而货币冲销对物价有显著的平抑作用,但对产出具有不利的影响。

This paper examines the inflation effect of foreign exchange reserve increase and the effectiveness of monetary sterilization in China. The authors establish an empirical model based on the quantitative monetary theory, and the empirical results indicate that the monetary sterilization policy is effective on the whole. A SVAR model is also employed to detect the dynamic effects of the foreign exchange reserve increase and the monetary sterilization on inflation. The results show that the monetary sterilization can affiliate the inflation effect raised by the foreign exchange reserve increase, and the effect last for about 3 months, while it has a negative effect on the gross output.