中国货币政策利率传导机制的实证研究:1998～2008年

Empirical Analysis on Interest Rate Transmission Mechanism in China:1998～2008

采用格兰杰因果检验、协整检验，以及脉冲响应函数、方差分解等VAR分析，对中国1998～2008年货币政策利率传导机制进行了实证研究。结果表明货币供应较之货币市场利率和银行贷款利率在货币传导中发挥了更为重要的传导效应，利率渠道还不是现阶段货币政策传导的主要途径。进一步推进利率市场化，构建货币市场利率和信贷市场利率之间的有效联系，是疏通利率渠道、发挥利率传导效应的主要措施。

Granger causality test, cointegration test, and VAR analysis are used to analyze the interest rate transmission mechanism from 1998 to 2008 in China. The results indicate that money supply plays more important role than both money market rate and lending rate in monetary transmission mechanism, and the interest rate channel is still not the key channel of monetary transmission mechanism. In order to enhance its effectiveness, China should further promote interest marketization reform, and then construct effective connecting mechanism between money market rate and lending rate.