1998—2006年货币渠道与信贷渠道传导机制有效性的实证分析

Empirical Analysis on the Validity of Transmission Mechanism of Monetary Channeland Credit Channel From 1998 to 2006

国内外关于货币政策有效性特别是货币政策传导机制方面的实证分析的文献非常丰富,但是不同的计量模型的采用往往引出不同的结论。本文运用协整检验与向量误差修正模型及在此基础之上的格兰杰因果检验和脉冲响应函数,对亚洲金融危机后我国在1998-2006年间的货币政策传导机制进行实证分析,得出了我国货币政策通过货币渠道与信用渠道两个传导途径共同影响实际经济总量,信用渠道是我国货币政策的主要传导渠道,我国货币政策通过信用渠道传导存在较长的时滞过程等结论。

There are a great many researches on the validity of monetary policy, especially the transmission mechanism of the monetary policy, but different econometric models usually lead to different results. This paper uses the Cointegration Test and VEC model on which the Granger Causality Test and Impulse Response Function are based, to make an empirical analysis on the transmission mechanism of China’s monetary policy from 1998 to 2006, after the Asia Financial Crisis. The conclusions are that: China’s monetary policy affects the real economy aggregate via both the monetary channel and the credit channel; the credit channel is the main transmissive channel for the monetary policy; and there is a long time lag during the transmission of monetary policy via credit channel.