货币政策调控与宏观经济波动:基于ARDL-ECM模型的实证分析

Regulation of Monetary Policy and Fluctuation of Macro-economy:A Positive Analysis Based on the Model of ARDL-ECM

结合Sidrauski研究,建立货币政策调控对宏观经济影响的微观传导模型,基于ARDL-ECM模型,利用2008~2016年的月频数据,检验金融危机爆发以来我国货币政策调控对宏观经济波动的影响。研究结果表明:从长期来看,宏观经济波动不仅与货币供应量、利率存在协整关系,而且与消费物价指数、资本市场价格之间密切相关;从短期来看,宏观经济波动主要受到货币供应量、消费物价指数影响,利率的影响并不显著。最后,从加强货币供应量管理、推进利率市场化改革、关注消费物价与资本市场价格波动等方面提出加强货币政策调控、促进宏观经济平稳运行的建议。

This article sets up a micro-transmission model about the influence of monetary policy regulation on macro-economy combined with Sidrauski study. Based on ARDL-ECM model, using monthly data from 2008 to 2016, the influence of monetary policy regulation to macro-economy since the financial crisis is tested. The results indicate ： In the long run, there are co-integration relationship between the fluctuation of macro-economy and money supply, interest rate, consumer＇s price index and capital market price; in the short run, the fluctuation of macro-economy is affected by money supply and consumer＇s price index. Interest rate has no significant influence on it. Finally, we propose the advice to strengthen the regu-lation of monetary policy and promote the smooth operation of the macro-economy from the aspects of strengthening management of money supply,pushing on the reform of interest market, paying close attention to the fluctuation of consumer＇s price and Capital market price.