我国货币政策中介变量GMCI的理论分析与实证检验

China's Monetary Policy Mediator:Theoretical Analysis and Empirical Test of GMCI

货币政策最终目标是稳定币值,而作为中介目标的货币供应量和利率都难以准确反映货币政策操作效果。广义货币状况指数是包含利率、汇率、货币供应量、信贷量的复合中介变量,作为货币政策操作的参考指标,具有一定的优势。本文充分考虑我国货币政策的多种操作工具和多重传导渠道,将货币供给量和金融机构的信贷总量纳入到货币状况指数中,通过运用VAR模型以及脉冲函数,构建广义货币状况指数GMC I;运用趋势分析和格兰杰检验验证GMC I与通货膨胀率之间的关系;最后得出GMC I作为货币政策中介变量能够有效反映货币政策传递效果的结论,主张将GMC I纳入我国货币政策框架体系。

One of final goals of monetary policy is to keep monetary value stable, but the intermediary variables such as money supply and interest rate cannot show the effect of monetary policy accurately. Generalized Monetary Condition Index is a compound indicator calculated on the basis of interest rate, exchange rate, money supply and credit. As the mediator of money policy, GMCI has the advantage to show the effect of regulation to some extent. Taking into account a wide range of monetary policy operation tools and multiple transmission channels in China, the paper integrates money supply and credit into the system of monetary condition index. Based on VAR model and impulse function, the paper constructs the generalized monetary condition index （GMCI） and tests the relationship between GMCI and inflation rate with the method of trend analysis and Granger Causality Test. Finally, the paper draws the conclusion that GMCI can show the effect of monetary policy and proposes that GMCI, as a reference index, should be integrated into the framework of monetary policy in China.