中国货币替代弹性的实证研究

An Empirical Study of Elasticity of Currency Substitution in China

本文目的是利用Johansen(1 988,1 989)的协整方法来验证中国管理浮动汇率期间是否存在货币替代现象。根据Miles(1 978)的理论模型及误差修正模型估计的实证结果显示 ,中国全体货币机构人民币与外币存款的长期替代弹性较低 ,在短期缺乏弹性。相关政策建议是将外币存款纳入M2 体系 ,综合考虑国内本外币存款利率 ,微调外币存款准备金政策。

The main purpose of the paper is to test whether there is money substitution in the period of managed floating exchange rate in China by introducing Johansen (1988,1989) cointegration approach. By adopting Miles (1978) theoretical model and error correction model, the author's empirical result shows that there is lower elasticity of substitution of Renminbi deposits of all monetary institutions in China for foreign currency deposits in the long\|term, and even inelasticity in the short\|term. Some related policy suggestions are that foreign currency deposits should be calculated into M2 system and the policy of required reserves on foreign currency deposits should be finely tuned by taking account of the domestic interest rate on both Renminbi and foreign currency deposits.