货币政策对M2的动态效应时滞分析及危机效应测算

科学测算金融危机期间已出台货币政策对货币供应量M2的效应时滞和贡献程度具有一定的现实价值。文章利用Markov状态转换及HP滤波模型识别不同货币政策状态的时间区间;利用多项式滞后分布模型分析政策工具变量对货币供应量影响的滞后效应,并以此为先验信息,建立了货币政策的Bayesian-PDLS动态效应分布模型,对金融危机期间已出台的货币政策效果进行了实际测算。主要结果表明:(1)外汇储备为M2的决定性因素,存款准备金率为M2主要的限制性因素;(2)货币政策变量M2总体对利率的弹性变化呈"U"型分布;在紧缩型情况下M2对利率的弹性变化呈"W"型分布;在扩张情形下M2对利率的弹性变化呈"v"型分布。

Fluctuation Characteristics and Causes in M2 and Monetary Policy

The rapid growth of economic development in China had begun exerting pressure on rising consumer price since 2008.Avoiding inflation and overheating economy have become major economic controlling issues for Chinese government.Maintaining stable economic development and controlling excessive rising of consumer price become the main focus of economic development.Financial crisis in the US has negative effect on China,including slow growth of investment,export,and economic development.In order to increase domestic demand and promote economic growth,Chinese government begins changing its monetary policy from tightness to moderate looseness.It is important to increase financial support for economic development with the goal of having an annual money supply target,which should be at least 3-4 percent higher than the sum of GDP growth rate.In another word,the M2 general money supply rises by about 17%.However,the impact of financial crisis is an uncertain factor.It is time to solve the pivotal issues as to how to access the exciting monetary policy in response to international financial crisis. In section 1,we divide the whole research period into different parts because the impact of explanatory variables on M2 varies with different analysis periods.In practice,we divide China’s monetary policy timeline into expansion period and contraction period based the literature review.The paper uses Markov’s state transition idea and HP filtering model to determine the turning point.The expansion period of monetary policy is from August 2002 to March 2004;the contraction period is from April 2004 to June 2005.Dividing the monetary policy into these two periods enables us to calculate a lag value for both periods. In section 2,we focus on factor filtering that affects M2 based on the elastic analysis.We use the path analysis to help us understand factor correlations and their potential effect on M2.The analysis result shows that foreign exchange reserve is a determinant of M2 and deposit reserve ratio is a major restriction factor.Deposit reserve ratio is the most effective tool to regulate and control economic growth.From on the perspective of M2,exchange rate policy is the most powerful regulation factor in addition to stock market capitalization and foreign exchange reserve.However,from the direct influence perspective exchange rate policy is still the appropriate policy tool to use reserve and interest rate.The main reason is that exchange rate can influence M2 indirectly with the degree of-0.6859 through foreign exchange reserve,while M2 can be adjusted by both the interest rate and reserve. In section 3,we gain insights into the lag effect of policy-tool variables on money supply amount using the polynomial lag distribution model analysis.Furthermore,we establish the Bayesian-PDLS dynamic effect distribution model of monetary policy to calculate the effect of delay and the degree of contribution of monetary policies on M2 during the financial crisis.We find that during the whole time period,changes in M2 elasticity of interest rate are ease with the maximum point obtained in the fourth period.The lagging trend appears as "U" form. In addition,in the tight monetary policy period the interest elasticity of M2 start to produce the desired effect at the second lag period with the "W" form of trend.The loose monetary policy except for "V" has the change trend.The degree of changes in interest elasticity reaches the maximum point at the fourth lag period.However,there are some fluctuations in different lag periods.The change trend will continue into the future.In the end,the implementation of monetary policy has a strong influence on improving the growth of M2 at both ways of year and chain between 2008 and 2009. It is very important to apply the deposit reserve ratio,interest rate,exchange rate and other means of integrated tools to maintaining an adequate liquidity supply of banking systems in order to promote economic growth.In the meantime,it is also important to prevent the potential negative impact of loosely constructed monetary policy on the increased inflation expectations in the after-crisis lag period.