后危机时代中国货币政策的有效性研究——基于2008年～2016年月度数据的实证分析

On the effectiveness of China's monetary policy after the subprime crisis:An empirical analysis based on the monthly data from 2008 to 2016

使用2008年1月至2016年6月的月度数据,对次贷危机以来中国货币当局所实施的货币政策的有效性进行理论与实证分析。首先从理论上分析货币政策的传导机制,然后选取公开市场操作与变更法定存款准备金率为货币政策工具的代理变量,广义货币供给量为货币政策中介目标,物价稳定与经济增长作为货币政策的最终目标。通过对代理变量指标进行平稳性检验、协整检验及脉冲响应分析,并构建向量误差修正模型对次贷危机以来货币政策传导机制有效性进行实证分析,得出如下结论:(1)中国货币当局实施的货币政策的传导机制是有效的;(2)次贷危机以来,中国货币政策目标的实现主要靠频繁变更法定存款准备金率来实现;(3)次贷危机以来,央行调整货币政策仍以保持宏观经济增长为主要目标,而在稳定物价方面的效果相对较小。

This paper uses the monthly data from January 2008 to June 2016 to analyze the effectiveness of the monetary policies implemented by the Chinese monetary authority after the subprime crisis. Firstly, it analyzes the transmission mechanism of the monetary policy theoretically, then selects the open market operation and the changes in the reserve requirement ratio as the surrogate variables of the monetary policy tools, and finally uses the broad money supply as the intermediate target of the monetary policy, and the stabilization of price b- economic growth as the ultimate objective of the monetary policy. Through the empirical analysis of the ADF test, co-integration test and impulse-response analysis, a vector error correction model is constructed to analyze the effectiveness of the transmission mechanism of China＇s monetary policy after the subprime crisis. Conclusions are drawn as follows： （1） The transmission mechanism of the monetary policy implemented by the Chinese mo- netary authority is valid. （2） Since the subprime mortgage crisis, the realization of the goal of the Chinese monetary policy has mainly depended on the frequent changes of the reserve requirement rati- o. （3） After the subprime crisis, the main target of the monetary policy implemented by the central bank is to maintain the macroeconomic development, while its effect on price stability is not conspicuous.