货币政策有效性问题研究——基于1998～2009年月度数据的分析

The Study of the Effectiveness of Monetary Policy in China

本文利用1998年1月到2009年3月的经济金融月度数据,采用HP滤波法分离出M_1、GDP、CPI增长率序列的趋势成分和波动成分后,运用VAR模型及其脉冲响应函数对我国货币政策的有效性进行了实证检验,结果表明:货币供应量M,的波动对物价水平的影响十分明显,货币政策的价格效应显著;货币供应量M_1的波动对经济增长有一定的影响,但相对而言,产出效应不如价格效应大。同时,货币政策效应呈现出非对称性,货币政策紧缩效应大于扩张效应。因此,目前中央银行应重申将物价稳定作为货币政策的首要目标,以稳定公众预期,并采取措施尽量减小货币政策的时滞。

This paper tests the effectiveness of monetary policy by using monthly economic data from Jan. 1998 to March 2009. The authors separated the trend component and volatility components of M1, GDP, and CPI by HP filtering method, and then set up VAR models and impulse response function. The result show that： the fluctuation of M1 have obvious impact on prices, price effects of monetary policy significantly; the fluctuation of M1 have some impact on the growth of economy, but the output effect less than price effect. Meanwhile, the effect of monetary policy is asymmetric. The monetary policy＇s tightening effect is larger than the expansion effect. Therefore, the central bank should reiterated that the price stability is the primary objective of monetary policy, so to stabilize the public inflation expectations, and take steps to minimize the time lag of monetary policy.