广义货币状况指数与通货膨胀的货币政策调控——基于ARDL-ECM模型的实证分析

Augmented Monetary Conditions Index and the Monetary Policy for inflation:Empirical Analysis Based on ARDL-ECM Model

在考察货币政策对通货膨胀调控效力的基础上,借助UECM模型,将货币供给量、房地产和股票等资产价格变量纳入传统货币状况指数中,构建了中国的广义货币状况指数。实证结果发现,长期内利率对我国物价波动影响并不显著,而资产价格特别是房地产价格对我国物价波动影响显著,在广义货币状况指数中的权重高达0.67。通过对广义货币状况指数的测算发现,一方面广义货币状况指数能够较好地反映我国货币政策环境,同时广义货币状况指数的走势同消费者价格指数的走势高度吻合,特别在物价波动剧烈的时期,广义货币状况指数能够更好地反映通货膨胀信息。

On the basis of investigating the effectiveness of monetary policy on inflation control, this paper uses ARDL-ECM model, takes money supply, real estate and stock prices into the tradi- tional monetary conditions index to construct China＇s augmented monetary conditions index. The empirical results show that in the ~ong term the impact of interest rates on CPI is not significant, while assets prices, especially the real estate price on CPI is significant. In the augmented monetary condition index, weight of the real estate price is up to 0.67. After calculation, this paper finds that it reflects Chings monetary policy environment well, what＇s more, the augmented monetary condi- tion index is highly consistent with consumer price index movements, especially in the periods of price volatility, the augmented monetary condition index can indicate the information of inflation better.