汇率波动、货币政策传导渠道及有效性——兼论“不可能三角”在我国的适用性.docxVIP

汇率波动、货币政策传导渠道及有效性——兼论“不可能三角”在我国的适用性【内容提要】本文尝试把人民币汇率波动纳入货币政策中介目标监控体系，采用1996年1季度至2008年2季度的季度数据进行实证检验。研究表明：(1)我国货币政策是通过货币渠道来影响实际经济总量的，并且狭义货币供应量更能实现对实际产出目标的传导和调控；(2)人民币汇率波动的扩大会减少货币供应量；(3)“不可能三角”在我国是成立的；(4)将人民币汇率波动纳入货币政策中介目标监控体系能提高货币政策的有效性。This paper gets the measure of the RMB exchange rate fluctuation by establishing EGARCH model, and then incorporates the fluctuation of RMB into the intermediate objectives monitoring system of monetary policy and adopts the methods of co-integration test, Granger Causality, the IRF(impulse response function)and so on in order to study the transmission mechanism of Chinese monetary policy based on the data of from the 1st quarter in 1996 to 2nd quarter in 2008 and VAR model. The results of empirical research show:(1)the monetary policy affects the real economy by the monetary channel, and the narrowly defined money supply(M1)is more effective than the broad definition of money supply(M2)concerned on the effectiveness of monetary policy;(2)the expand of extend of RMB exchange rate fluctuation can decrease the money supply;(3)the theory of impossible triangle/impossible trinity is still correct in China.(4)the effectiveness of the Chinese monetary policy will be improved if the fluctuation of RMB exchange rate is incorporated into the intermediate objectives monitoring system of monetary policy.【关 键 词】汇率波动/货币政策/传导渠道/有效性????Fluctuation of RMB Exchange Rate/Monetary Policy/Transmission Channel/EffectivenessEE21UU8374814????[中国分类号]F821.0　[文献标识码]A　[文章编号]1000-8306(2010)04-0001-09????目前西方经济学界认为货币政策的传导途径是多样的，从金融机构的资产负债角度看，一般认为货币政策传导主要有货币渠道和信贷渠道两个途径，但在理论研究和实证分析上对于不同渠道的货币政策传导效果还存在较大分歧。????Bernanke和Blinder(1992)[1](901-921)利用VAR模型实证检验发现，除了通过“货币”(即银行储蓄)这一渠道外，货币政策至少部分地是通过“信贷”(即银行贷款)起作用的。Kashyap和Stein(2000)[2](407-428)发现对于具有较少流动性(即债券对资产的比例较低)的商业银行，货币政策对信贷的影响较强，货币传导机制是通过信贷渠道这一途径。Hubbard(1994)[3]认为从理论和实证分析货币传导是通过货币渠道还是信贷渠道是不好界定的。王振山等(2000)[4](60-63)实证研究发现，上世纪无论是80年代还是90年代，信用渠道都是我国货币政策的主要传导途径，而货币渠道的传导途径则不明显。李斌(2001)[5](10-17)运用交互影响的多元反馈时间序列模型研究发现，货币供应量和