摘要
选取了1994第一季度到2012年第四季度68个样本数据对前瞻性货币政策反应函数进行实证研究发现:(1)实际有效汇率缺口反应系数为负数,其绝对值较大,说明了央行制定货币政策时很大程度上考虑了汇率的波动,即为了实现汇率目标,损害了我国货币政策的独立性;(2)通货膨胀缺口系数小于1,我国的通货膨胀具有自我实现机制;(3)VAR模型的结果显示,汇率不仅会通过通货膨胀和产出间接影响利率,而且作为一个独立的变量对央行利率的调整直接产生影响。因此我国的货币政策在很大程度上受到当前汇率制度的制约,无法真正实现其独立性,尤其在外部环境恶化时,以汇率稳定为目标的货币政策更会使经济偏离其均衡值。
68samples data from the first quarter in1994to the fourth quarter in2012were selected to conductempirical studies on the forward-looking monetary policy reaction function.The results show that,first,the realeffective exchange rate gap response coefficient is negative and its absolute value is relatively larger,whichindicates that the central bank monetary policy largely considered the exchange rate fluctuations.In order toachieve the goal of exchange rate,damage of the independence of monetary policy in china happensaccordingly.Second,inflation gap coefficient is less than one and the inflation of our country has the selfrealizationmechanism.Third,VAR model results show that exchange rate would not only indirectly affectinterest rates through inflation and output,but also as an independent variable directly influence the centralbank interest rate adjustment.Therefore,China’s monetary policy is restricted by the current exchange ratesystem to a great extent.It is hard to realize its independence especially in the deterioration of the externalenvironment.Exchange rate stability as the goal of monetary policy will make the economy deviate from itsequilibrium value.
作者
文彬
卢骞
WEN Bin;LU Qian(School of Finance , Guangdong University of Finance & Economics , Guangzhou 510320, China;China Construction Bank Guangzhou Haizhu Branck , Guangzhou 510220, China)
基金
国家社会科学基金项目(12BJL056)
国家社会科学基金项目(13BJY166)
教育部人文社科一般项目(12YJA790142)
关键词
人民币汇率
货币政策
泰勒规则
the RMB exchange rate
monetary policy
Taylor rule
