外汇储备增加对基础货币投放的影响——基于协整方法与VAR模型的实证检验

在理论上,由于外汇储备在货币当局的资产负债表中处于资产方,因而它的增加将导致负债或其他资产的波动,最终使得基础货币投放的增加。本文采用1994年1季度至2007年1季度的数据,运用协整方法、向量自回归(VAR)模型实证检验了中国外汇储备增加对货币投放的影响.实证检验结果显示了中国外汇储备增加对基础货币投放的影响程度,以及影响的滞后性、持久性与稳定性特征,从而为货币当局实行开放经济下的货币政策提供一定的实证依据。

On the Impact of Foreign Exchange Reserve on the Money Base——Empirical Test Base on Co-integration Method and the VAR Model

The increase of foreign exchange reserve results in the augment of money base because foreign exchange reserve is one of assets in the Balance Sheet of Monetary Authority and its augment can lead to volatility of other assets or liabilities items in the sheet.With co-integration analysis and the VAR Model on time series data from 1994 to 2007,this paper affords demonstration gist for monetary authority in the open economy for it shows the influence degree of China's foreign exchange reserve on its money base and some other characters of the impact.