货币错配与货币政策有效性——以中国为例的实证分析

Currency Mismatch and Effectiveness of Monetary Policy:The Empirical Analysis of China

在经济金融全球化过程中,发展中国家普遍面临着货币错配的问题。基于此,笔者以2005—2014年为研究样本期,在分析我国货币错配和货币政策有效性影响机理的基础上,以货币政策的产出效应和价格效应为切入点,研究了货币错配与货币政策有效性的关系,结论如下:(1)我国的货币错配程度在2005年之后呈快速上升趋势,且在2009年第1季度达到峰值49.26%,之后又快速下降至38%左右并在之后整体保持稳定,与样本期内我国汇率变动情况基本一致。(2)我国货币政策的产出效应和价格效应与货币错配之间存在着长期的协整关系,且无论是短期还是长期,货币错配都是产出水平及物价水平变动的原因。(3)货币错配对货币政策的价格效应和产出效应的影响既有方向上的不同,在解释力度上也有较大差别。最后,笔者提出了相关的政策建议。

In the process of economic and financial globalization,developing countries are facing the problem of currency mismatch. Taking 2005 to 2014 as the research period,we study the influence mechanism of China＇s currency mismatch and monetary policy effectiveness. We take the output effect and price effect of monetary policy as the breakthrough point to analyze the relationship between currency mismatch and monetary policy effectiveness. The conclusions are as follows：（ 1） the currency mismatch degree of China experienced a rapid upward increasing since 2005,and reached its peak of 49. 26% in the first quarter of 2009,and then experienced a rapid decline to about 38% and later in whole remained stable. During the sample period,Chinese exchange rate movement is consistent.（ 2） There exist long-run cointegration relationship among monetary policy output effect,price effect and monetary mismatch. No matter it is the short-term or the long-term,currency mismatches caused the changes in the level of output and price level.（ 3） The effects of currency mismatch on the price effect and the output effect of monetary policy are different in both directions,and there exists a large difference in the explanatory power. Finally,the paper puts forward some relevant policy suggestions.