我国货币政策能减小宏观经济波动吗? 基于货币政策反应函数的分析

Monetary Policy and Macro Stability in China:Evidence from the Monetary Policy Response Function

我国宏观经济过去20年间的一大特征就是高增长、高波动，但1996年后波动性有所减小。本文目的就在于考察我国货币政策对宏观经济稳定的影响。通过构建反映我国利率双轨制以及相应汇率制度的前瞻性货币政策反应函数，从管制利率和市场化利率两个维度，用GMM模型实证估计了1987—2007年间以及1996年前后的反应函数，结果发现其可作为衡量我国货币政策实施效果的基准；同时管制利率在1996年以前有放大经济波动的效果，而1996年以后对产出表现出显著的逆周期调控特征，但央行利率调控效果因没有从管制利率有效传导到市场化利率而减弱。此外，我国管制和市场利率都对通胀反应不足，这使得通胀在我国有自我实现的可能。

One of the prominent characteristics of the Chinese economy in the past twenty years is high growth rate with high volatility; however, the volatility is much smaller after 1996. The aim of this paper is to explore the relationship between China＇s monetary policy and macroeconomic stability. We estimate a monetary policy response function reflecting China＇s financial and monetary systems. The main conclusion is that the change in monetary policy does explain the decrease of macroeconomic volatility after 1996, but the channel of interest rate is not effective and consistent. Meanwhile, the response of monetary policy to inflation is anti-cycle, but the range of interest rate adjustment is not wide enough so inflation can be caused by self-fulfilling fluctuations.