中国货币政策转换中麦卡勒姆规则的实证检验

An Empirical Study on The McCallum Rule during China's Monetary Policy Change

本文以2010年1月我国开始实行的货币政策方向转换为着眼点,对货币政策麦卡勒姆规则进行了实证检验。首先,对货币政策麦卡勒姆规则的文献做了一个扼要的综述;其次,简要介绍了麦卡勒姆规则及其发展,并论证了该规则对我国当前的适用性;最后,论文介绍了本文实证样本数据的选择和技术性处理方式;最后,检验了麦卡勒姆规则下我国的基础货币反应函数,并根据我国的实际情况进行了两项改进:一是引入外汇储备增长率这一解释变量,发现模型对基础货币增长率的解释能力得到了增强;二是以通货膨胀率作为解释变量考察基础货币的增速关系,发现通货膨胀率的变动一定程度上是货币政策操作实施后的结果。在此基础上,本文总结了实证结论,并阐述了可能的政策启示。

The People＇ s Bank of China started a new easing monetary policy by cutting the one-year-loan rate into 7.2% at September 2008, as a react to the world-wide financial crash. Several cuttings on interest rates and deposit reserve rate followed, so that the one-year-deposit rate went to 2.25%, the one-year-loan rate went to 5.31%, the deposit reserve rate for big companies went to 15.5%, and for small ones went to 13.5% at the end of 2008. The easing policy was followed by a significant inflation however. The CPI changed into positive at November 2009, and kept going up to 3.1% at May 2009, which surpassed the 3 % red-line for the first time of the late decade, and kept on going up for the following months to make the real deposit rate turn into negative. As a react PBC started changing monetary policy by raising deposit reserve rate at January 2010, and we saw 12 raisings of deposit reserve rate within 18 months after that, until it reaches the unprecedented 21.5%. Were these drastic switches of monetary policy really fit the discretionary standard and gave the right feedback to macro-economy？ We gave some proof to answer this question by doing an empirical study on the McCallum Rule, based on the monetary policy change at January 2010. To start with, we gave a brief introduction on the relevant studies in this field, in- cluding domestic and world-wide studies. Then we introduced the McCallum Rule and the change and development of it, to make sure it fit China＇ s situation now. The third introduction was to introduce the sample data and the technical methodologies used in the paper. We got 68 quarter-data by choosing the first quarter of 1994 through the fourth quarter of 2010 as our sample period. We then gave the corresponding data of monetary base （reserve money） and GDP-gap, by doing the necessary statistic pre-adjustment, and wrote the following McCallum Rule equation： rule_△b, = 0. 0241 -△ vt ＋ 0. 25 （xt-1＊ -xt_1 ）. As we knew, the McCallum Rule reaction function meant the increasing rate of monetary base was a feedback to GDP-gap, and the feedback coefficient reflected the sensitivity of monetary base to GDP-gap. Considering the tagged-to-USD exchange mechanism of RMB before 2005, we added the second variable △f to capture the influence of the change of foreign reserve to monetary base. Therefore we wrote the feedback function of monetary base as followed ：△mb, =fi0 ＋β1gap, ＋β2△f＋ ε1 We then proved that real increasing rate of monetary base was much more fit to the rule-value after adding the second variable daring 2006 through 2008, which meant that the scale of foreign reserve was indeed an important factor to explain the quick in- crease of monetary base of this period. The other adjustment we made based on China＇ s situation was introducing the inflation rate （measuring with CPI） as a new explanatory variable to monetary base by following function： △mb, = α ＋βcpi. We found, surprisingly, that the inflation change was somewhat the result of China＇ s monetary policy＇ s implementation, in stead of its target. To strengthen all these findings we did a Chow test, and found re-enforcing support that there was a structural change of monetary policy environment during 2007. According to the empirical evidence we gave the following suggestions ： （ 1 ） Because of the gradually intrinsic tendency of monetary supply, the quantitative-oriented monetary policy would have a weakened effect on macro-economy, therefore the price-ori- ented regulation should be put into PBC＇ s schedule in the long run. （2） The quantitative-oriented monetary policy tools showed a significant limitation even in the short run, which gave PBC no other choice but to use price-oriented tools more actively, even under a quantitative-oriented policy environment.