基于利率途径的货币政策传导效果实证研究

本文选取1998年第一季度-2007年第二季度的数据,运用Johansen协整检验、格兰杰因果检验、向量自回归模型(VAR)、脉冲响应函数和方差分解等多种计量方法,对我国利率途径的货币政策传导机制进行实证分析,研究结果表明,我国利率途径不通畅而不能充分发挥其传导作用,而货币供给量却表现出相对显著的传导效果。本文在此基础上揭示我国应重视对利率传导渠道的完善,并提出应进一步推进利率市场化、企业与金融机构改革、微观主体对利率的敏感性改革的相关政策建议。

The empirical study on transmission effect of monetary policy based on the channel of interest rate

The author selected the data from season one of 1998 to season two of 2007,and used many evaluation methods,such as co-integration test,granger causality test,vector auto-regression (VAR),impulse response function,variance decomposition.The article conducted an empirical analysis of monetary policy transmission mechanism,which is based on the channel of interest rate.The result of the study indicates that the channel of interest rate in our country isn't quite effective in transmission mechanism,while the money supply appears to be indicative.The article suggests that our government should attach importance to the improvement of the channel of interest rate.And it also suggests that we should further promote the liberalization of interest rate,the reform of enterprise and financial institution,and the sensitiveness of market subject to interest rates.