国际短期资本流动对货币政策有效性的影响分析--基于VAR模型和脉冲响应函数的研究

International Short-term Capital Flow's Influence on the Effectiveness of Monetary Policy: Based on Vector Auto Regression and Impulse Response Function

采用VAR模型和冲脉效应函数实证分析国际短期资本流动对货币政策有效性的影响分析,结果显示:货币供给量、利率和国际短期资本流动之间具有长期稳定的均衡关系;利率变动和货币供给之间反向变动;国际短期资本流动对货币政策有效性的影响已经显现,然而国际短期资本流动带来的货币供应量的上升被国家货币政策的调控所冲销,而且冲销力度过大;由于我国对资本流动进行管制,因此隐蔽性资本流动对货币政策效果目标的影响不明显;进出我国的国际短期资本的套利动机虽然不显著,但是国际短期资本流动和利率的关联性已经很强。最后,以实证结果为依据,提出相应对策建议。

With the financial globalization, the effectiveness of monetary policy is affected by the international short-term capital flows. This paper examines the impact of international short-term capital flows on the effectiveness of monetary policy in China. The empirical results of Vector auto regression and impulse response function are as follows ： money supply, interest rate and the international short-term capital flows have a long-term stable equilibrium relationship. There is a reverse change relation between interest rates and money supply. The positive impact of international short-term capital flows on the effectiveness of monetary pol- icy began to emerge; but the money supply rise brought by the international short-term capital flow was written off by national monetary policy regulation, and the write-off is too much. Due to restrictions of capital flow in China, the effect of hidden capital flow on the target of monetary policy effect is not obvious. The arbitrage motivation of in-and-out China international short-term capital is not significant, but the relevance of international short-term capital flows and interest rates has been very strong. Based on the empirical results, this paper finally puts forward the corresponding countermeasures and suggestions.