基础货币、贷款和产出――中国货币政策实证分析

200099:100026788(2000)09200232061,2(1.,100029;21,100080):???L,,,L:;:F822.2;O212aMonetaryBase,CreditandOutput:theEmpiricalAnalysisofMonetaryPoliciesinChinaPANHong2yu1,DENGShu2hui2(1.UniversityofInternationalBusinessandEconomics,Beijing100029;2.AcademyofMathematicsandSystemSciences,ChineseAcademyofSciences,Beijing100080)Abstract:Doesmonetarypolicyaffecttherealeconomy?Whatisthetransmissionmechanismbywhichtheseeffectsoccur?Thesetwoquestionsarethemostimportantandcontroversialinmacroeconomics.WedosomeempiricalresearchwithChinesedata.Ourresultsindicatethatintheshortrun,themonetarypolicydoaffectstherealeconomyandthemonetarypolicyaffectstheeconomythroughitseffectsonthebanklending.Keywords:monetarypolicy;monetarytransmission1()L,,,,L,,,:L,:1)?2)?,?,??,a:1999201224:(79790130);863(86323062ZT0420421)©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.L,,,,,L,LC.A.Sims(19801972)C.D.RomerD.H.Romer(1989)R.B.LittermanL.Weiss(1985)E.F.Fama(1982)W.Thorbeche(1997)B.M.FriedmanK.N.Kuttner(1992)1,,,,,,LB.S.BernankeA.S.Blinder(19881992)M.ObstfeldK.Rogoff(1995)KingG.RobertC.I.Plosser(1992)J.Tobin(1978)A.H.Meltzer(1995)B.S.BernankeM.Gertler(1995)2L,L,,L,,L1984,,,LL,,,L,L2?()?,,,,,LL,,80,,,,,,L,,L,,LL,,,L,,,,,LLGranger2L,,L,,,L,,L:(IP)(RETAI)(GZ),;:(MB)(DK)M1M2LGranger2L:yt=c+6li=1Aiyt-i+6li=1Bipt-i+6li=1Cixt-i+Lt(1)y,;p,4220009©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.;x,M1M2Z,,,xZH0:C1=C2==Cl=0Z,xy,y;xy,xyZ1Granger2()M1M2MBDK87:01298:06IP0.0027330.0004330.00039330.0000533RETAI0.08#0.04230.0023330.009533GZ0.00073330.0014330.0012330.00043393:01298:06IP0.02630.00004330.00067330.00000333RETAI0.2970.0015330.0023330.033GZ0.310.170.009330.1187:02292:12IP0.0026330.0098330.03430.006633RETAI0.00024330.0028330.0057330.002233GZ0.00430.006330.02630.0153:(IP)1980,(RETAI)(GZ),,,M1M2,ZAIC,L=3Z#10à35à331àZ,1987,1987,1984Z1993,,1993,,,,1987:0121992:12,1993:0121998:06,1987:0121998:06,Z1Z,,Z1198721992198721998,,,M1M2,1à;198321998,,M2,M1Z,,Granger2,2L,L19871992,M1M2,;1993-1998,,,M1M2,,;1987-19981993-1998,,M2,LM1M2L,Granger2,L12,1993,529©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,1987-1998,L2Granger2()M1M2MBDK87:01-98:06IP0.660.086#0.088#0.78RETAI0.730.470.056#0.82GZ0.890.910.03530.9893:01-98:06IP0.580.110.140.056#RETAI0.570.690.02130.25GZ0.330.480.0029330.2587:02-92:12IP0.550.150.870.12RETAI0.094#0.06#0.450.076#GZ0.630.740.140.22:1Z32,L,LIS-LM,,L:,,,,,,,,L,Walras,NN-1,L,,L,(),,Walras,L,B.S.BernankeA.S.Blinder(1988)LL,,L,,LL,,,,,LBernankeBlinder,,,L,,,,,L,L,,,,,LL,L6220009©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.1);2)LL,,L,L1983,,,1985,,,L95%L5%L,L,L,L,L,L(VAR)LB.S.BernankeA.S.Blinder(1992),,,,,(Innovation)LVARL,1987:011998:06LLB.S.BernankeA.S.Blinder(1992),,,L,LLVAR:(Lrip1980),(lcpi),(lm1),(ldk)(lmb)LL1(one2standard2deviation)L1M11,(),18,;,,,24,;M1,,;,,18,L,,,LL1984,,,L,LL,L1993,,1993,,(1987-1998),,L,,729©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,,L:[1]AlanHMeltzer.Monetary,Creditand(Other)TransmissionProcesses:AMonetaristperspective[J].JournalofEconomicPerspectives,1995,9(4):4972.[2]FriedmanBM,KuttnerKN.Money,Income,PricesandInterestRates[J].TheAmericanEconomicReview,1992,82(3):472492.[3]BernankeBS,AlanS,Blinder.IsitMoneyorCredit,orboth,orNeither?Credit,Money,andaggregateDemand[J].TheAmericanEconomicReview,May,1988,78:435439.[4]BernankeBS,AlanS,Blinder.TheFederalFundsRateandtheChannelsofMonetaryTransmission[J].TheAmericanEconomicReview,1992,82(4):901921.[5]BernankeBS,MarkGertler.InsidetheBlackBox:theCreditChannelofMonetaryPolicyTransmission[J].JournalofEconomicPerspectives,1995,9(4):2748.[6]SimsCA.Money,IncomeandCausality[J].AmericanEconomicReview,1972,62:540552.[7]SimsCA.ComparisonofInterwarandPostwarBusinessCycles:MonetarismReconsidered[J].AmericanEconomicReview,May,(papersandproceedings),1980,75:250257.[8]EugeneF.Fama.Inflation,OutputandMoney[J].TheJournalofBusiness,1982,55:201231.[9]FredericS.Mishkin.SymposiumontheMonetaryTransmissionMechanism[J].JournalofEconomicPerspectives,1995,9:(4):310.[10]TobinJ.MonetaryPoliciesandtheEconomy:theTransmissionMechanism[J].SouthernEconomicJournal,1978:421431.[11]BransonWH.MonetaristandKeynesianModelsoftheTransmissionofInflation[J].AmericanEconomicAssociation,1975,May:115119.[12]RobertBLitterman,LaurenceWeiss.Money,RealInterestRates,andOutput:AReinterpretationofPostwarU.S.Data[J].Econometrica,1985,53(1):129155.(13):[1]MarkowitzH.Portfolioselection[J].JofFinance,1952,7(1):7791.[2]SharpeW.Capitalassetprices:atheoryofmarketequilibriumunderconditionofrisk[J].JournalofFinance,1964,19:425442.[3].[J]1,1990,4(3):4548.[4]1[J]1,1995,15(12):4652.[5]1[J]1,1997,15(2):4649.[6]MarkowitzH.Thegeneralmean2varianceportfolioselectionproblem[M].Mathematicalmodelsinfinance,1995,9399.[7],,1[J]1,1997,17(6):127131.[8]PeroldA.Large2scaleprotfoliooptimization[J].ManScience,1984,30:11431160.[9],1[J]1,1996,16(3):2832.[10]1[D].,199818220009©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.