中央银行资产规模与GDP关系的实证研究

An Empirical Study of the Relationship Between the Scales of the Central Bank Assets and GDP

利用2003年～2010年6月的季度数据,在模型的基础上,通过建立协整方程和向量误差修正模型,运用格兰杰因果检验以及脉冲响应和方差分解的方法,研究中国央行总资产规模与GDP之间的关系。结果表明:外汇资产、对政府债权与其他资产、对金融机构债权与GDP之间存在长期的协整关系;短期对金融机构债权拉动GDP的效果较大,但外汇资产对GDP的长期拉动作用最为明显;另外,对政府债权与其他资产在短期和长期对总产出的拉动作用都相对有限。

With the quarterly data from 2003 to June 2010, the paper fully analyzes the relationship between the total assets of the Chinese central bank and GDP on the basis of VAR model, by establishing cointegration equation and VEC model, then, using Granger test, impulse response function and variance decomposition. The research findings show that： foreign exchange, claims on government and other assets, claims on financial institutions, and GDP have long term equilibrium relationship; claims on financial institutions have more driving effect in short-term, but the long-term pulling effect of foreign exchange is the most obvious; in addition, the stimulating effect of claims on government and other assets on total output is relatively limited in the short term and long-term.