我国央行货币冲销有效性分析:一种新的思路

Empirical Research on the Effectiveness of the Central Bank of China for Monetary Sterilization :a New Idea

本文在VAR模型的基础上,采用间接方法,用出口、外商直接投资和人民币实际有效汇率指数代替外汇储备,采用我国月度数据,主要运用协整检验和ECM方法考察了外汇储备与基础货币的长期稳定关系和短期动态关系,以此检验我国央行货币冲销的有效性。检验发现,我国央行货币冲销长期内无效,短期内有效。文章最后提出了相关的政策建议。

With indirect method, the paper substitutes foreign exchange reserve for impart, export, foreign direct investment （FDI） and Renminbi real effective exchange rate index （REER）. Based on a VAR model, mainly employing Cointegrafion and Error Correction Model （ECM）, the paper analyses the relationship of both the long-term cointegration and the short-term situation between monetary base and foreign exchange reserve in order to test the effectiveness of the Central Bank of China for monetary sterilization, and finds the Central Bank of China for monetary sterilization does have an effect in the short-term, but does not in the long-term. Finally, the paper puts forward some suggestions.