4利率市场化进程中货币政策传导实际利率渠道的实证检验.pdfVIP

23 5 ( ) Vol. 2 3, No. 5 2 0 0 9 0 9 Journal ofH unan University( Social Sciences) Sep. 2 0 0 9 * 岳意定, 谢 文 ( , 10083) [ ] 运用基于向量自回归(VAR)的静态协整和动态检验方法, 采用中国 1998年 1月至 2006年 6月的月 数据, 实证检验了我国货币政策传导的实际利率渠道检验结果支持传导渠道中各变量之间长期稳定的均衡关 系, 不过渠道中各中介变量对最终产出的短期效应不够显著货币政策通过货币供给能有效传导至货币市场, 但 后续传导受到阻滞脉冲响应函数和方差分解在支持利率渠道传导时滞效应存在的同时, 也表明两条实际利率渠 道所发挥的作用日渐显著 [ ] 货币传导; 利率市场化; 实际利率渠道; 协整分析; 动态检验 [ ] F802. 2 [ ] A [ ] 1008 1763( 2009) 05 0052 05 A Cointegration and Dynam ic Test for Real Interest Rate Channel ofMonetary Transm ission in the Process of InterestRate Liberalization YUE Y id ing, X IE W en ( School of Business, Central South Un iversity, Changsha 10083, China) Abstract: Based on monthly data from Jan 1998 to Jun 2006, w e empirically analyzed the real interest rate channel ofmonetary transm ission in Ch inaw ith cointegration and dynam icmethods. Our tests support a stable long - term relationship among these variables in the channe,l though a short- term effect of these variables on the final output is not so apparent. Themonetary policy can be transm itted effectively to themoneymarket, yet the transm is sion to the follow ing variables is to some extent blocked. W ith mi pu lse response and variance decomposition testes w e not only find tmi e lags in the channel but also proved an increasingly evident interest rate channel. K ey words: monetary transm ission; interest rate liberalization; real interest rate channe;l cointegration analy sis; dynam ic test , , ; ()