我国汇率制度弹性与货币政策的独立性——基于1994年1月—2011年9月数据的实证研究

Flexibility of China's Exchange Rate Regime and Independence of Monetary Policy——An Empirical Research Based on 1994—2011 Monthly Data

使用月度数据实证分析1994年以来我国货币政策的独立性,并探讨2005年汇率制度改革对货币政策独立性的影响可发现:以短期存款利率代表官方利率,以同业拆借利率代表市场利率,分析两种国内利率对于世界利率的敏感程度,结果表明官方利率独立性较强,而市场利率独立性很弱。汇率制度改革以后,两种利率独立性大幅提高;鉴于两种国内利率都有缺陷,对货币供给量对国外利率的敏感性进行研究,其结果表明货币政策具有中等的独立性,汇率制度改革后货币独立性显著提高;通过分析货币与外汇储备的关系,可发现冲销操作仍发挥重要作用。

The paper empirically analyzes China＇ s monetary independence with monthly data since 1994, and discusses the impacts of the 2005 exchange rate regime reform on the monetary policy independence. China＇ s official and market interest rates are represented respectively by short-term deposit interest rate and inter-bank offered rate. According to the sensitivity of the two domestic interest rates to the world＇ s interest rate, official interest rate is independent while market interest rate is not. After the exchange rate regime reform, both interest rates are more independent than ever. Since both are imperfect, the paper studies the sensitivity of monetary supply to foreign interest rate. The result shows that monetary policy is moderately independent, while much more independent after the 2005 exchange rate regime reform. By analyzing the relation between currency and foreign exchange reserve, it is found that the sterilization operation still plays an important role.