外汇占款对我国货币政策调控影响的实证研究

 经济对外开放度的提高会使一国货币政策的有效性面临挑战，那么这种影响机制是通过何种方式发生的呢？又是如何传导的呢？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在国内首次构建了一个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其中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。

An Empirical Study on the Effect of Forex Purchase on China' s Monetary Policy

The improvement of a country’s opening up will challenge the effectiveness of the country’s monetary policy, but how does this mechanism happen and conduct? Based on the theory of bank lending channel from credit view, this paper does a research on the effect from forex purchase on PBC’s constrictive monetary policy control since the reform of the RMB exchange rate regime on July 21, 2005. We applies time series analysis with a standard SVAR model and by a simple restriction, the structure innovation of forex purchase is identified, and then we use the impulse-response function, variance decomposition and cointegration to analyze the quantitive influence of forex purchase on PBC’s monetary policy control from money to credit in the transmission of monetary policy. We find that the expanding effect from forex purchase to money and credit persisted especially embodied in the elasticity from money base to credit. Thus due to the Ternary Paradox, the forex purchase caused by the external balance exert an influence on the effects of China’s monetary policy, which should be considered in the implementation process of monetary policy.