中國貨幣政策對總體經濟指標的影響

Abstract

本文以中國為研究對象，以自我相關迴歸模型(VAR)分析中國貨幣政策對總體經濟指標之影響，觀察貨幣政策變數對總體經濟指標的解釋能力，以及二者之間的關連性。實證研究結果概要說明如下： 1.經濟成長方面，與貨幣供應量間存在顯著的因果關係，雖存在時間落差，但仍為影響經濟成長的主要因素。以衝擊反應函數來看，其持續時間約為半年，具有貨幣政策長期中性的特徵。 2.在物價方面，衝擊反應函數分析顯示貨幣政策僅會造成短暫且微弱的物價上漲。 3.最後，在利率的影響方面，發現與理論相違之情況。主要解釋有二：其一，由於中國仍有利率管制，利率體系形成機制為一外生機制，無法充分反映利率與市場資金供需的關聯性。其二，中國經濟增長快速，雖然不斷調升利率，但仍無法抑制景氣過熱，才會出現利率上升，但是消費、投資等變數的變動率卻上揚。

We study the relationship between the macro variables and monetary policy of China. By vector auto-correlation model (VAR), we found some results as follow： 1.Money supply significantly influences economic growth with time lags. Considering the impulse-response, the effect of monetary policy persists for half a year. 2.On the other hand, money supply just results in slight and transient effect on inflation. 3.However, there are some conflicts empirically on the aspect of the influence of interest rate, and two explanations exist. First, interest rate cannot truly reflect the supply and demand of capital because of controlling interest rate, such as rates ceiling. Second, the effect of interest rate policy goes behind and cannot constrain the booming growth of China such that macro variables are buoyant as interest rate picks up.