外汇占款对我国货币政策调控影响的实证研究

发布时间：2018-06-30 04:50

本文选题：外汇占款 + 传导机制　；参考：《统计研究》2011年04期

【摘要】：本文以货币政策信贷观的银行贷款渠道为理论基础,定量解析了2005年人民币汇率形成机制改革以来外汇占款对其调控效果的影响。文章运用时间序列分析方法构建了一个SVAR模型并通过约束识别了其中外汇占款的结构冲击,进而定量解析了外汇占款从货币到信贷这一传导环节对央行货币政策调控的影响程度,脉冲响应函数和方差分解均表明外汇占款的增加在长期内对基础货币、广义货币和金融机构贷款有扩张效应,且金融机构贷款余额对基础货币余额的弹性有很大一部分是外汇占款引致的。这表明,由于存在三元悖论,开放条件下我国的货币政策的独立性受到较大影响,货币政策的实施效果受到因外部经济失衡所导致的外汇占款的影响,因此,货币政策的实施应当充分关注外汇占款的扩张性效应,并采取有效措施提高货币政策的有效性。
[Abstract]:Based on the bank loan channel of the monetary policy credit view, this paper quantitatively analyzes the influence of the foreign exchange occupied money on its control effect since the reform of the RMB exchange rate formation mechanism in 2005. The article uses the time series analysis method to construct a SVAR model and identify the structural impact of the foreign exchange occupied by the restriction, and then the quantitative analysis. The influence degree of the transmission link from money to credit to the monetary policy regulation of the central bank is analyzed. The impulse response function and the variance decomposition show that the increase of foreign exchange occupied funds has the expansion effect on the basic money, the broad money and the financial institutions in the long term, and the loan balance of the financial institutions is elastic to the basic money balance. There are a large part of the foreign exchange accounts. This shows that, because of the existence of the three yuan paradox, the independence of China's monetary policy is greatly affected by the open condition. The effect of monetary policy is affected by the foreign exchange occupied by the external economic imbalance. Therefore, the implementation of the currency policy should pay full attention to the expansion of the foreign exchange. We should take effective measures to improve the effectiveness of monetary policy.
【作者单位】：复旦大学国际金融系;北京大学光华管理学院;
【基金】：2010年教育部人文社会科学基金“国际金融危机对我国货币政策冲击的实证研究”(10YJA790140) 深圳发展银行股份有限公司“供应链金融”课题国家自然科学基金(7060008)的资助
【分类号】：F822.0;F832.6;F224

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