资本开放、外汇储备累积与货币政策独立性——中国数据的实证研究

在开放和发展条件下,基于凯恩斯动态货币需求调节方程和Cavoli模型,本文构建了一个包含外汇储备增加的国内市场利率决定模型。对中国2001~2008年月度数据的OLS和TSLS回归结果表明,国际市场利率和外汇储备增加对国内利率影响并不显著,而物价水平、产出和滞后一期的货币供给等变量系数符号不仅与理论预期一致,且检验显著。论文进一步采用了递归的SVAR模型来分析国际利率和外汇储备增加对国内利率的动态冲击效应,脉冲响应函数表明这种动态冲击效应同样十分微弱,说明了中央银行的货币冲销有效性和国内货币政策的独立性。

Capital Openness,Foreign Exchange Reserves Accumulation and Monetary Policy Independence

Conditional on openness and development,we build an interest-rate-determined model consisted of foreign exchange reserves changes which is based on Keynes dynamic money demand equation and Cavoli′s model.OLS and TSLS regression results show that domestic nominal interest rate is not affected by international interest rate and reserves obviously while coefficients of domestic variables such as CPI,output and one-time lagged money supply are significant statistically and in accordance with theoretical expectations when using China monthly dates 2001~2008 to empirically research.It can be inferred that gradual capital market openness and reserves accumulation have no systematic impacts on domestic interest rate as central bank sterilization measures to diminish the RMB counterparts of foreign reserves have fine effects.We further use recursive structural VAR model to analyze the dynamic shock effect of international interest and reserves changes on domestic interest rate.Impulse responses function reveals that dynamic shock effects are feeble as well,which testimony that money sterilization is very effective and monetary policy is independent also.