我国货币政策影响因素分析——基于VAR模型分析

On Determinants of Monetary Policy: Based on VAR Model

论文使用2006-2012年月度数据,基于VAR模型对影响我国货币政策的因素进行了协整分析,结果表明:财政赤字、外汇储备、资产价格与M2在长期存在均衡关系,且资产价格变动对于货币供应量的影响为最大;短期内,财政赤字、外汇储备、资产价格受到一个正的冲击,引起M2变动的最大值分别为0.1702%、0.1335%、0.2478%,财政赤字、外汇储备具有正效应,资产价格具有负效应,这三者因素对于我国的货币政策的影响不容忽视,应受到政策制定者的关注。

Using the monthly data from 2006 to 2012, this article does co-integration analysis on factors affecting China＇s monetary policy based on the VAR model, the results show that： the budget deficit, foreign exchange reserves, asset prices and M2 in the long-term equilibrium rela-tionship exists,and the impact of asset price movements is maximum impact in the money supply; The short term, the fiscal deficit, foreign exchange reserves, asset prices are subject to a positive impact, causing M2 maximum changes were 0. 1702 % ,0. 1335 % ,0. 2478 %, and budget deficit, foreign exchange reserves has a positive effect, asset prices has a negative effect. These three factors for the impact of China＇s monetary policy can not be ignored and should be the concem of policy makers.