货币政策价格效应的有效性研究——基于1998年～2010年季度数据的实证分析

Empirical Analysis of Effectiveness of Price Effect of Monetary Policy——Based on Quarterly Economic Data from 1998 to 2010

本文利用1998年到2010年的全年经济金融季度数据,以贷款规模作为我国货币政策的中介目标,运用格兰杰因果关系检验、向量自回归模型、脉冲响应函数和方差分析等方法对我国货币政策价格效应的有效性,尤其是货币政策在抑制通货膨胀方面的有效性进行实证分析。结果表明,货币政策的价格效应显著且存在时滞。与货币供应量相比,贷款规模更适合作为我国货币政策的中介目标。

This paper tests the effectiveness of the price effect of the monetary policy by using quarterly economic data from 1998 to 2010. The author separates the trend component and volatility components of GDP by Hp filtering method, and then sets up VAR models and impulse response function about LOAN, GDP and CP1. The result shows that. the LOAN size has obvious impact on the effectiveness of price effect of the monetary policy significantly; the rate of the economic growth also has some impact on the fluctuation of prices. Therefore, the central bank should reiterate that the price stability is the primary objective of monetary policy in order to stabilize the public inflation expectations, and take steps to minimize the time lag of monetary policy.