转型期货币渠道与信贷渠道有效性的实证研究

本文运用基于VAR模型的时间序列分析方法对我国转型期货币渠道与信贷渠道的有效性进行了实证研究。脉冲响应函数分析表明产出和通货膨胀对贷款冲击的响应比其对货币供给冲击的响应更为显著,预测方差的分解结果证实贷款对产出和通货膨胀的贡献率均远远大于货币供给量的贡献率,故转型期内信贷渠道相对于货币渠道更为有效。因此,为增强货币政策的有效性,中央银行应同时监控货币和信贷指标,货币政策操作也要以有效调节私人部门的信贷可得量为基础。

An Empirical Study on the Effectiveness of Monetary Channel and Credit Channel in the Transition Period

Using time series of analysis methods which are based on the VAR model,we carry out an empirical study on the effectiveness of monetary channel and credit channel in China in the transition period.The analysis of impulse response function shows that the response of output and inflation to the shock of loan are more distinct than that of money supply.Variance decomposition testifies that the contribution of loan to output and inflation is far more than that of money supply.So the credit channel is more effective than the money channel.Therefore,in order to improve the effectiveness of monetary policy,the central bank should monitor the money and credit indicator at the same time.And its operation of monetary policy should be based on the fact that it can manipulate the credit availability of private sector effectively.