量化宽松货币政策的溢出效应研究
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摘要
自2007年美国次贷危机爆发以来,以美国为首的西方主要发达国家为了刺激经济复苏,连续降低基准利率。当短期名义利率已接近于零时,以利率调节为主的传统货币政策已然失效,经济陷入了“流动性陷阱”。在此之际,美国、欧盟、日本等国纷纷祭出量化宽松牌,通过大量购买长期债券、资产抵押证券,以及对金融机构进行信贷干预等非传统货币政策操作,向经济中注入大量流动性,试图修复失灵的货币政策传导机制,走出“流动性陷阱”。量化宽松货币政策实施四年来,在稳定金融市场秩序、管理通货膨胀预期、恢复金融机构信贷渠道等方面确实取得了一定的成效。然而,当国内实体经济无法容纳这部分过剩的流动性时,就会产生了较强的“流动性溢出”效应,对世界其他国家,特别是新兴市场国家金融系统造成了十分不利的影响。因此,本文选择对量化宽松货币政策的溢出效应、溢出渠道,对新兴市场国家通货膨胀的影响,以及新兴市场国家中央银行应对措施的有效性进行研究。
论文首先对美国、欧盟、日本等国量化宽松货币政策的实施背景进行了详细的介绍,对四年来该政策取得的成效进行了论述,并比较了各国政策之间的异同。随后,本文对量化宽松货币政策的溢出效应、溢出渠道进行了理论分析,并指出该政策带来的规模庞大的国际游资,不仅炒高了国际大宗商品价格,而且在套利套汇预期的影响下集中涌向了率先复苏的新兴市场国家,对其金融系统稳定、物价水平上升造成了极其不利的影响。在越来越多的国际“热钱”涌入我国的背景下,央行行长周小川提出了应对方法——“池子理论”,即将流入的“热钱”放入外汇储备这一“池子”中,并进行规模相当的冲销操作,以减轻货币供给被动增加对国内经济的影响。
在实证部分,本文采用面板VAR模型比较深入地研究了自2008年11月美国实施第一轮量化宽松政策以来,其“流动性溢出”效应对巴西、俄罗斯、印度、中国、南非等金砖五国物价水平波动造成的影响,实证结果表明美国采用的量化宽松政策引发全球流动性过剩,不仅导致了国际大宗商品价格的大幅波动,而且对金砖国家等新兴经济体造成了输入型通货膨胀。同时,由于美元泛滥引发的贬值预期以及新兴经济体的率先复苏,使得国际投机资本纷纷流向新兴经济体,造成该国国内货币供应量被动增加,压缩了央行货币政策的执行空间,对通货膨胀的加剧也起到了推波助澜的作用。从对我国央行货币冲销操作有效性的检验中我们发现,无论是理论效果还是实际效果,央行的冲销操作都能起到平抑通货膨胀的作用,但是由于本期的冲销操作意味着未来规模更大的货币投放,且随着冲销规模的增大,冲销操作的成本也越来越高,因此并不具有可持续性。
基于研究结论,本文在最后部分提出了相关的政策建议：继续加快经济增长方式的转变,通过提高资源使用效率达到降低大宗商品需求的目的；积极参与国际大宗商品的定价过程；改变我国对于国外资金“宽进严出”或“只进不出”的传统观点,鼓励有实力的企业率先走出去；加快人民币国际化进程,积极推动国际贸易中以人民币作为结算方式；逐步放开对金融资本项目的管制,允许外资银行、金融机构开展人民币业务,并有计划地推进人民币利率、汇率市场化；加强对国际资本流动的监控,在严格控制国际“热钱”流入的同时,也要特别注意“热钱”的流出。
Since the subprime mortgage crisis broke in2007, west developed countries which led by U.S. reduced their benchmark interest rate continuously, in order to stimulate economic recovery. When the short-term rates close to zero, conventional monetary policy near the time of failure, economy of these countries sank into the "Liquidity Trap". At the moment, the United States, European Union, Japan and other developed countries tried to implement quantitative easing monetary policy to create large quantities of money, restored the transmission mechanmism of conventional monetary policy and get rid of the "Liquidity Trap" by some unconverntional operations such as massive purchases of long-term bonds、MBS, intervention on loaning and so on. For four years, the quantitative easing monetary policy could work in stabilizing the financial order、managing inflation expectation and restoring loaning of financial institution. However, when the domestic real economy can not accommodate this part of the excess liquidity, it will inevitably lead to liquidity overflow effect triggering a great negative effect in other countries, especially in emerging market countries. In this paper, we will study in liquidity overflow effect and influence to emerging market countries' inflation of quantitative easing monetary policy and check the validity of emerging market countries' central bank's policy.
At first, we give the background of quantitative easing monetary policy of the United States、European Union and Japan in detail. Meanwhile, we also discuss these policies' effect and find out their similarities and differences. Second, we analyse the overflow effect of these policies and point out that these "hot money" not only raise international commodity price, but also trigger a large number of international capital into emerging market countries, disturb the stability of financial market, and bring inflation to the emerging market economics. As a result, Xiaochuan Zhou, the governor of Chinese central bank presented his solution——"pool" theory which puts those "hot money" into foreign exchange reserve and takes a hedging operation to relieve the stress from national money passive supply.
In the empirical part, we use the panel-VAR model to examine the shock to the BRICS from American quantitative easing since Novermber,2008. The result shows that American quantitative easing policy not only traggers international excess liquidity but also brings imported inflation to the BRICS. Meanwhile, because of devaluation expectation of dollar and faster recovery of emerging market countries, a large number of "hot money" flow to these countries. Passive money supply raises the inflation and limits the execution of monetary policy from national central bank. We also examine the effectiveness of Chinese central bank's sterilization operation. The result shows that Chinese central bank's sterilization operation can curb inflation, but hasn't persistence due to cost of sterilization operation increasing as its scale.
Basing on the conclusion, we present some proposal at last:speeding up the transition of economic growth style, reducing demands to major international commdity by improving the efficiency of the resource utilization; actively taking part in the pricing process of major international commdity; changing the traditional view to foreign capital inflow, encouraging competent enterprises investing in other countries; speeding up the process of RMB internationalization, supporting RMB as the method of payment in the international trade; loosening strict controls in capital and financial account gradually, permiting foreign bank to conduct RMB business, advancing the reform of interest rate and exchange rate system; strengthening the monitoring of international capital flows, especially keeping an eye on the inflows and outflows of "hot money".
论文首先对美国、欧盟、日本等国量化宽松货币政策的实施背景进行了详细的介绍,对四年来该政策取得的成效进行了论述,并比较了各国政策之间的异同。随后,本文对量化宽松货币政策的溢出效应、溢出渠道进行了理论分析,并指出该政策带来的规模庞大的国际游资,不仅炒高了国际大宗商品价格,而且在套利套汇预期的影响下集中涌向了率先复苏的新兴市场国家,对其金融系统稳定、物价水平上升造成了极其不利的影响。在越来越多的国际“热钱”涌入我国的背景下,央行行长周小川提出了应对方法——“池子理论”,即将流入的“热钱”放入外汇储备这一“池子”中,并进行规模相当的冲销操作,以减轻货币供给被动增加对国内经济的影响。
在实证部分,本文采用面板VAR模型比较深入地研究了自2008年11月美国实施第一轮量化宽松政策以来,其“流动性溢出”效应对巴西、俄罗斯、印度、中国、南非等金砖五国物价水平波动造成的影响,实证结果表明美国采用的量化宽松政策引发全球流动性过剩,不仅导致了国际大宗商品价格的大幅波动,而且对金砖国家等新兴经济体造成了输入型通货膨胀。同时,由于美元泛滥引发的贬值预期以及新兴经济体的率先复苏,使得国际投机资本纷纷流向新兴经济体,造成该国国内货币供应量被动增加,压缩了央行货币政策的执行空间,对通货膨胀的加剧也起到了推波助澜的作用。从对我国央行货币冲销操作有效性的检验中我们发现,无论是理论效果还是实际效果,央行的冲销操作都能起到平抑通货膨胀的作用,但是由于本期的冲销操作意味着未来规模更大的货币投放,且随着冲销规模的增大,冲销操作的成本也越来越高,因此并不具有可持续性。
基于研究结论,本文在最后部分提出了相关的政策建议：继续加快经济增长方式的转变,通过提高资源使用效率达到降低大宗商品需求的目的；积极参与国际大宗商品的定价过程；改变我国对于国外资金“宽进严出”或“只进不出”的传统观点,鼓励有实力的企业率先走出去；加快人民币国际化进程,积极推动国际贸易中以人民币作为结算方式；逐步放开对金融资本项目的管制,允许外资银行、金融机构开展人民币业务,并有计划地推进人民币利率、汇率市场化；加强对国际资本流动的监控,在严格控制国际“热钱”流入的同时,也要特别注意“热钱”的流出。
Since the subprime mortgage crisis broke in2007, west developed countries which led by U.S. reduced their benchmark interest rate continuously, in order to stimulate economic recovery. When the short-term rates close to zero, conventional monetary policy near the time of failure, economy of these countries sank into the "Liquidity Trap". At the moment, the United States, European Union, Japan and other developed countries tried to implement quantitative easing monetary policy to create large quantities of money, restored the transmission mechanmism of conventional monetary policy and get rid of the "Liquidity Trap" by some unconverntional operations such as massive purchases of long-term bonds、MBS, intervention on loaning and so on. For four years, the quantitative easing monetary policy could work in stabilizing the financial order、managing inflation expectation and restoring loaning of financial institution. However, when the domestic real economy can not accommodate this part of the excess liquidity, it will inevitably lead to liquidity overflow effect triggering a great negative effect in other countries, especially in emerging market countries. In this paper, we will study in liquidity overflow effect and influence to emerging market countries' inflation of quantitative easing monetary policy and check the validity of emerging market countries' central bank's policy.
At first, we give the background of quantitative easing monetary policy of the United States、European Union and Japan in detail. Meanwhile, we also discuss these policies' effect and find out their similarities and differences. Second, we analyse the overflow effect of these policies and point out that these "hot money" not only raise international commodity price, but also trigger a large number of international capital into emerging market countries, disturb the stability of financial market, and bring inflation to the emerging market economics. As a result, Xiaochuan Zhou, the governor of Chinese central bank presented his solution——"pool" theory which puts those "hot money" into foreign exchange reserve and takes a hedging operation to relieve the stress from national money passive supply.
In the empirical part, we use the panel-VAR model to examine the shock to the BRICS from American quantitative easing since Novermber,2008. The result shows that American quantitative easing policy not only traggers international excess liquidity but also brings imported inflation to the BRICS. Meanwhile, because of devaluation expectation of dollar and faster recovery of emerging market countries, a large number of "hot money" flow to these countries. Passive money supply raises the inflation and limits the execution of monetary policy from national central bank. We also examine the effectiveness of Chinese central bank's sterilization operation. The result shows that Chinese central bank's sterilization operation can curb inflation, but hasn't persistence due to cost of sterilization operation increasing as its scale.
Basing on the conclusion, we present some proposal at last:speeding up the transition of economic growth style, reducing demands to major international commdity by improving the efficiency of the resource utilization; actively taking part in the pricing process of major international commdity; changing the traditional view to foreign capital inflow, encouraging competent enterprises investing in other countries; speeding up the process of RMB internationalization, supporting RMB as the method of payment in the international trade; loosening strict controls in capital and financial account gradually, permiting foreign bank to conduct RMB business, advancing the reform of interest rate and exchange rate system; strengthening the monitoring of international capital flows, especially keeping an eye on the inflows and outflows of "hot money".
引文
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