中国货币政策对利率影响的实证研究

A Empirical Study on the Impact of China's Monetary Policy on Interest Rate

文章依据2011年中国货币供应量和利率的月度数据,采用单位根检验、协整分析、格兰杰因果检验方法,对货币政策中货币供应量变化对利率的影响进行了分析。结果显示:我国货币供应量与利率之间存在长期稳定的均衡关系,利率变动不是货币供应量变动的格兰杰原因,但货币供应量增长是导致利率下降的格兰杰原因。这一研究结果表明:中国货币政策对利率存在较为显著的影响,通过控制货币供应量来调控利率将会取得较好的政策效果;相对于市场化程度高的发达国家,我国货币供应量更多地受政府管制的影响,较少受市场机制作用的影响。

Based on monthly data of Chinese monetary supply and interest rate from Jan. 2011 to Dec. 2011, this paper analyzes the influence of monetary supply on interest rate in China by using the Unit root test, Co -integration test, Granger causes and consequences analysis. The empirical results show that there is a long - term equilibrium between monetary supply and interest rate, and the fluctuation of interest rate is not the Granger cause of the change of monetary supply, whereas the increase of monetary supply is the Granger cause of the decease of interest rates. These findings suggest that China~ monetary policy has a sig- nificant effect on interest rate, so by controlling monetary supply will achieve better results. Apart from that, it demonstrates that the monetary supply （ M2 ） in China is more affected by government regulation rather than the function of market mechanism.