外汇储备和汇率与我国货币政策目标关系的研究—基于VECM的因果关系分析
Study on the Relation between Foreign Exchange Reserve ,Exchange Rate and China’s Monetary Policy Target———Based on VECM & Causality Analysis
本文根据向量误差修正模型和格兰杰因果检验理论，利用我国1994年至2007年季度经济数据，对我国外汇储备和汇率与GDP和CPI之间的关系进行了实证分析和检验。结果表明：外汇储备和汇率与GDP和CPI之间存在一种长期均衡的关系；从长期来看，外汇储备对货币政策目标的影响都小于汇率；从短期来看，汇率和CPI、GDP和CPI之间均存在着双向的格兰杰因果关系，外汇储备变动是GDP、CPI和汇率变动的单向格兰杰原因，汇率变动是GDP变动的单向格兰杰原因。在此基础上，给出若干政策建议。
Using Vector Error Correction Model and Granger causality methodology, and based on the Chinese economic quarterly data from 1994 to 2007,This paper performs an empirical research on the relation between Foreign Exchange Reserve, Exchange Rate, GDP and CPI. The preliminary results indicate that there is a long-term equilibrium between Foreign Exchange Reserve & Exchange Rate and GDP & CPI ; In the long run, the impact of Foreign Exchange Reserve on monetary policy target is less than exchange rate does.In the short run,there is a bi-directional Causality between Exchange Rate and CPI ,also GDP and CPI ;the fluctuation of Foreign Exchange Reserve is Granger Cause of Exchange Rate , CPI and GDP，and the fluctuation of Exchange Rate is Granger Cause of GDP.At the end,give some advice.
闵家喜、丁元耀
财政、金融
外汇储备汇率货币政策目标VECM因果关系分析
Foreign Exchange ReserveExchange RateMonetary Policy TargetVECMCausality Analysis
闵家喜,丁元耀.外汇储备和汇率与我国货币政策目标关系的研究—基于VECM的因果关系分析[EB/OL].(2008-09-04)[2025-08-16].http://www.paper.edu.cn/releasepaper/content/200809-116.点此复制
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