中国货币政策调控转型研究——基于BVAR模型的分析

Research on the Transformation of Monetary Policy in China——Evidence from BVARs

在金融创新和金融脱媒的冲击下,货币数量作为中介目标的局限性越来越明显,但是由于金融市场仍不发达等原因,完全基于价格型的货币政策调控又不可能一蹴而就,那么究竟应如何实行货币政策调控就成为中国人民银行面临的重大现实挑战。本文采取BVAR模型来对这一问题进行探讨,基于新凯恩斯主义理论对模型中参数施加先验约束,利用现实经济数据得到参数的后验分布,结果发现:第一,在货币政策利率规则中应包含名义货币增长率;第二,在总需求方程中,除了包含实际利率外,还应包含实际货币增长率;第三,紧缩性货币政策冲击不只体现为名义利率的上升,更为突出地体现为名义货币增长率持续的下降;第四,当模型中包含货币量时,货币政策冲击对于通胀率和产出变动的影响更大。这些结果表明了在货币政策的利率传导机制外,还存在货币政策通过货币量进行传导;货币政策立场的变动不只体现在利率的变化上,而更为突出地体现在货币量的变化上。因此,数量与价格相结合的混合型货币政策调控方式适合转型期的中国经济。

With the development of financial innovation and financial disintermediation,the limitations of money quantity used as the intermediate target of monetary policy are becoming increasingly apparent.However,since the financial market is still underdeveloped,monetary policy control based entirely on price cannot be achieved overnight.Thus how to implement monetary policy control has become a major practical challenge faced by the People's Bank of China and is also the purpose of this study.We develop a VAR model to describe China's economy.Based on New Keynesian theory,we calibrate prior distributions for the structural parameters and then use the data to obtain posterior distributions for the structural parameters.The empirical study shows that real money growth should be included in the aggregate demand equation,nominal money growth should be included in the monetary policy interest rate rule,and contractionary monetary policy shocks are revealed not simply as nominal interest rates rise but more prominently as persistent decreases in nominal money growth.These results imply that China's monetary policy transmits through both the interest rate and the money aggregate.In addition,monetary policy stance is revealed not simply by interest rates but more predominantly by money aggregates.On the basis of empirical evidence,we come to the conclusion that the mixed monetary policy control strategy is applicable to the Chinese economy.