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在理论上,外汇占款主要通过影响基础货币来影响总体货币供给,进而影响物价水平。近年来外汇占款已成为国内流动性的重要来源。本文采用1998年1月至2012年10月的月度数据,运用协整方法、向量误差修正模型(VECM)实证检验了中国外汇占款增加对货币供应量的影响。实证检验结果显示了中国外汇占款增加对货币供应量的正向影响较显著,以及影响的滞后性、持久性与稳定性特征,还揭示了CPI的变动主要来源于货币供应量的直接影响。
In theory, foreign exchange reserves mainly affect the overall money supply by affecting the base currency, thereby affecting the price level. In recent years, foreign exchange has become an important source of domestic liquidity. This paper uses the monthly data from January 1998 to October 2012, using the cointegration method and the vector error correction model (VECM) to test the impact of the increase of foreign exchange in China on the money supply. Empirical test results show that the increase of foreign exchange in China has a significant positive impact on money supply, as well as lag, persistence and stability of the impact. It also reveals that the change of CPI mainly comes from the direct impact of money supply.