中国货币政策指标变量的确定：矢量回归模型(Vector Autoregression)的应用.pdf

Monetary Policy Indicator Identification in Post-Reform China: An 1 Application of VAR(Vector Autoregression) Technique 中国货币政策指标变量的确定：矢量回归模型(Vector Autoregression) 的应用 Chengsi Zhang Ph.D in Economics School of Economic Studies University Of Manchester Manchester,UK M13 9PL Phone: 0044-161-2754913 Email: zhangswing@ Abstract The paper explores the identification of monetary policy indicator issue in post-reform China and concludes that money aggregate (either M2 or M1) is a good indicator of monetary policy after 1984 in China. In turn, the effects of the structural shock to aggregate money (monetary policy variable) on the real economic activities are interesting and examined by inspecting the impulse response function of a Vector Autoregression (VAR) system. The paper focuses on two issues: 1. identifying the major indicator of monetary policy in post-reform China; 2. evaluating the effects on real economy of a shock to monetary policy variable. Our finding is quite interesting: the effects of monetary policy shock on real economic activities are persistent, i.e. monetary policy has long run effect on real economic activities in China after 1984. 摘要 本文是格兰杰因果关系模型和矢量回归模型（Vector Autoregression Model ）在中国货 币政策分析上的应用，用此模型来确定改革开放以后中央银行（中国人民银行）的货币 政策的指标变量以及其对宏观经济的影响。从计量角度分析，我们发现 1984 年以后，广 义货币（M1 或者 M2 ）很好地代表了货币政策的指标变量，其相关变化对实际的经济活 动有长期的影响。 关键词：Monetary policy, Granger Causality,VAR, Impulse Response Function 研究领域：数理经济与计量经济学 1 The author is indebted to Prof