基于VAR模型的我国外汇储备、货币供应量与信贷规模关系研究

1994年外汇管理体制改革以来我国外汇储备持续增长,已成为世界上外汇储备最多的国家。巨额外汇储备使得货币供应量增加,银行信贷规模不断扩大。结合2006年至2013年季度数据,基于VAR模型运用协整方法探讨我国外汇储备、货币供应量及银行信贷规模的关系,并通过脉冲响应和方差分解予以进一步分析。结果表明,三变量之间存在长期稳定的均衡关系,外汇储备的增长促进货币供应量的增加,而货币供应量的增加又进一步推动了银行信贷规模的扩张。最后,基于以上分析提出相关对策建议。

The Study of the Relationship of Foreign Exchange Reserves,Money Supply and Credit Scale Based on the VAR Model

Since the reform of foreign exchange management system in 1994, China＇ s foreign exchange reserve scale is growing rapidly, and it has become the largest foreign exchange reserves in the world. The huge foreign ex- change reserves increased money supply and bank credit. With the quarterly data from 2006 to 2013, using the coin- tegration method in VAR model to discuss the relationship of China＇ s foreign exchange reserves, money supply and the size of bank credit. Moreover, using the impulse response function and variance decomposition to analysis it. The results show that there is a long - term stable equilibrium relationship of this three. The increase in foreign exchange reserves growth in money supply, and increase the money tion, correspond policy recommendations on the results of supply and promote the expansion of bank credit. In addi- empirical analysis.