我国汇率制度弹性、货币政策有效性与货币政策独立性研究——基于SFAVAR模型的实证分析

›› 2015, Vol. 27 ›› Issue (7): 43-57.

我国汇率制度弹性、货币政策有效性与货币政策独立性研究——基于SFAVAR模型的实证分析

杨柳¹, 黄婷²

1. 华中师范大学经济与管理学院, 武汉 430070;
2. 华东师范大学商学院, 上海 200241

收稿日期:2013-06-28 发布日期:2015-07-31
作者简介:杨柳,华中师范大学经济与工商管理学院副教授,硕士生导师,博士;黄婷,华东师范大学商学院硕士研究生.
基金资助:
教育部人文社会科学基金项目(10YJC630118);中央高校基本科研业务费专项资金项目(CCNU14A05028);教育部2013年国家公派高级研究学者及访问学者项目.

Exchange-rate Regime Flexibility, Effectiveness and Independence of China's Monetary Policy ——An Empirical Analysis Based on SFAVAR Model

Yang Liu¹, Huang Ting²

1. School of Business and Economics, Central China Normal University, Wuhan 430070;
2. Business School, East China Normal University, Shanghai 200241

Received:2013-06-28 Published:2015-07-31

摘要/Abstract

摘要：

本文选取1998-2011年间126个国内外经济指标建立了SFAVAR模型,并基于国际经济因子的构造从外部冲击和内部作用机制两个角度考察了汇改前后不同汇率制度弹性下我国货币政策的有效性和独立性问题.研究发现:(1)汇改后货币政策有效性明显增强;(2)汇改后利率管制放宽和利率—汇率联动作用的发挥,使价格型政策有效性提升更显著;(3)从外部冲击角度看,汇改后货币政策目标和政策工具在当期和长期都更多受到外部经济冲击的影响,人民币汇率浮动幅度的放宽并未导致货币政策独立性增强.

关键词: 汇率制度弹性, 货币政策, SFAVAR模型

Abstract:

This paper selects 126 macroeconomic indexes at home and abroad during 1998-2011 to build a SFAVAR model. Form the aspects of external shocks and internal mechanism, the effectiveness and independence of China's monetary policy in different exchange-rate regime before and after exchange rate reform is discussed based on the structure of international economic factor. The results show that: (1) The effectiveness of monetary police improved obviously after the reform of exchange rate regime; (2) Because of interest rate deregulation and the realization of its linkage mechanisms with exchange rate, the effectiveness of price-based monetary policy improved more significantly than that of the quant-based policy; (3) After the reform of exchange rate regime, both the objectives and policy tools of monetary policy received more effects from external shocks in current and long-term, so floating range deregulation of RMB exchange rate didn't enhance China's monetary policy independence.

Key words: exchange-rate regime flexibility, monetary policy, SFAVAR model

杨柳, 黄婷. 我国汇率制度弹性、货币政策有效性与货币政策独立性研究——基于SFAVAR模型的实证分析[J]. , 2015, 27(7): 43-57.

Yang Liu, Huang Ting. Exchange-rate Regime Flexibility, Effectiveness and Independence of China's Monetary Policy ——An Empirical Analysis Based on SFAVAR Model[J]. , 2015, 27(7): 43-57.

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