货币政策传导机制与货币供给结构调整关系研究——基于银行间质押式回购利率的VECM模型实证分析
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摘要
货币政策的传导机制一直是学界关注的重点。本文采用向量误差修正模型对货币政策与货币供给结构的短期动态调整和长期动态均衡关系进行分析。实证结果显示:质押回购利率与以现金、企业活期存款、企业定期存款、个人存款以及其它形式货币存在的广义货币类型均存在显著影响;货币政策调控质押式回购利率后,会引起不同类型货币均逆向变化;从传导机制来看,以押金、公积金和同业存款形式存在的广义货币,是使货币政策能够有效通过同业市场利率调节货币供给结构的关键。对此,本文建议从利率市场化改革、宏观审慎监管以及货币政策传导机制等方面提高货币政策传导有效性。
The transmission mechanism of monetary policy has always been the focus of academic circles. In this paper, the vector error correction model is used to analyze the short-term dynamic adjustment and long-term dynamic equilibrium relationship between monetary policy and money supply structure. The empirical results show that the pledge repo rate has a significant impact on the broad money types that exist in cash, corporate demand deposits, corporate time deposits,personal deposits, and other forms of currency; monetary policy controls the pledged repo rate, which will cause different types. The currency is reversed. From the perspective of transmission mechanism,the broad money in the form of deposit, provident fund and interbank deposits is the key to enabling monetary policy to effectively adjust the money supply structure through interbank market interest rates. In this regard, this paper proposes to improve the effectiveness of monetary policy transmission from the aspects of interest rate marketization reform, macro-prudential supervision and monetary policy transmission mechanism.
The transmission mechanism of monetary policy has always been the focus of academic circles. In this paper, the vector error correction model is used to analyze the short-term dynamic adjustment and long-term dynamic equilibrium relationship between monetary policy and money supply structure. The empirical results show that the pledge repo rate has a significant impact on the broad money types that exist in cash, corporate demand deposits, corporate time deposits,personal deposits, and other forms of currency; monetary policy controls the pledged repo rate, which will cause different types. The currency is reversed. From the perspective of transmission mechanism,the broad money in the form of deposit, provident fund and interbank deposits is the key to enabling monetary policy to effectively adjust the money supply structure through interbank market interest rates. In this regard, this paper proposes to improve the effectiveness of monetary policy transmission from the aspects of interest rate marketization reform, macro-prudential supervision and monetary policy transmission mechanism.
引文
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[2]王德全.质押式回购利率的风险度量研究--基于ARMA-GARCH模型的实证检验[J].财经研究,2009(8).
[3]韩美清.基于ARMA模型的银行间质押式回购利率的实证研究[J].金融研究,2008(5).
[4]曹国华、蔡文娜.我国股市对货币供应结构变动影响的实证检验[J].统计与决策,2010(12).
[5]方彦.银行间隔夜质押式回购市场流动性测度分析[J].上海金融,2012(5).
[6]郑心洁.银行间债券质押式回购利率的波动性及影响因素分析[D].上海:复旦大学,2014.
[7]江春、张雅洁.我国外汇储备变动对货币供给影响的实证研究[J].学习与实践,2015(9).
[8]付英俊、李丽丽.国库现金管理对货币供给和利率影响的实证检验[J].统计与决策,2017(6).