关键词: 利率 , 简单加总货币量 , 迪维西亚货币量 , 货币中介目标 , DAGSVAR

Abstract:

The academia have an ongoing debate about the choice of the optimal monetary intermediate target among interest rates, simplesum monetary aggregates and Divisia monetary aggregates. This paper compares empirically the relative importance of the overnight interbank interest rate R, simplesum monetary aggregate M2, Divisia monetary aggregate D2 to price P, output Y in the US, the euro zone and the UK respectively based on a DAGSVAR model. The results show that M2 has the largest impact on Y and R has the largest impact on P in the US. In the euro zone, D2 has the largest impact on Y and M2 has the largest impact on P. In the UK, M2 has the largest impact on both Y and P. In summary, if the monetary ultimate target is economic growth, the optimal intermediate targets of the US and the UK are simplesum monetary aggregates, the euro zones optimal intermediate target is the Divisia monetary aggregate. If the monetary ultimate target is price stability, the optimal intermediate target of the US is the interest rate, the optimal intermediate target of the euro zone and the UK are simplesum monetary aggregates. Thus, for different economies or monetary ultimate targets, the choice of the optimal intermediate target may be different. The conclusion of this paper is to some extent to the contradictory supplement of the academic consensus interest rates generally perform better than the monetary aggregates and Divisia monetary aggregates are generally perform better than simplesum monetary aggregates.

Key words: interest rate , simplesum monetary aggregates , Divisia monetary aggregates , monetary intermediate target , DAGSVAR