中国货币供给内生性的实证检验

目前我国正在向从紧的货币政策转变,以舒缓严峻的流动性过剩压力,但货币政策的有效性很大程度上取决于货币供给的内生性程度。货币供给有基本货币投放和货币乘数放大两个阶段,本文从基础货币的角度对我国的货币供给的内生性进行探讨,利用1997年9月到2007年8月的广义货币M2、外汇储备、央行对存款货币银行债权月末余额数据,使用单位根检验、Johansen协整、G ranger因果检验、脉冲响应函数方法进行实证分析。结论说明:就基础货币投放而言,我国货币政策有很强的外生性,与事实相符,并从侧面支持了中央的紧缩性政策越来越向控制信贷、投资等货币乘数因素倾斜的做法。

An Empirical Test of Endogenesis of Money Supply in China

Now China is shifting to tight monetary policy so as to control the excess fluidity.But the effeciency of monetary policy largely depends on the endogenesis level of money supply.Money is supplied through two stages: issuing base money and magnifying the base money by money multiplier.This paper investigates the endogenesis of money supply in China from the aspect of base money.Taking advantage of the data of the M2,foreign exchange reserve,central bank's claim on commercial banks on the last day of every month from Sep.1997 to Aug.2007,an empirical analysis is done by the approaches of Unit-root Test,Johansen Cointegration Test,Granger Causality Test and Impulse Response Function.The result shows that the money supply in China is highly endogenous if only considering the issuing-base-money stage.This result is corresponded by the fact,and in turn supports the fact that the government is paying more and more attention to the determinants of money multiplier,such as loan and investment,when shapes its policy to control the excess fluidity.