中央银行流动性管理
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摘要
2007年,始发于美国的次贷危机在全球化背景下迅速演变成全球性金融危机。对次贷危机的成因和演变过程,学者们莫衷一是,但普遍认为危机期间金融市场上原本充裕流动性瞬间短缺,极大推动了次贷危机的蔓延。随后世界各国中央银行相继运用强有力的流动性管理工具,如向金融市场和金融机构注资和大幅度下调利率等,阻止全球经济金融环境进一步恶化。中央银行流动性管理对于应对金融危机、稳定金融体系、恢复金融秩序至关重要。在金融危机频发的今天,成熟的流动性管理手段对中央银行应对突发危机、稳定国内金融市场、提高货币政策有效性具有重要理论价值和现实意义。
已有文献中对流动性影响因素和判断标准研究在理论层面和实证层面得到了较大进展和突破,但是这些研究都是以商业银行为立足点,以银行体系流动性为研究对象研究流动性相关问题,对中央银行流动性管理方面的研究略显单薄。本文正是立足于中央银行角度对流动性管理进行尝试性研究。如何在已有研究基础上科学合理地测度流动性,并在此基础上结合中央银行流动性管理标和内容从预警管理、日常管理和危机管理三方面构建适合我国现状的中央银行流动性管理框架正是本文要解决的核心问题。因此,本文核心内容主要包括以下六个方面：
一是立足于中央银行流动性管理独特视角,引入货币供应理论和凯恩斯流动性偏好等经典传统理论来分析中央银行流动性管理。由于货币政策性的流动性供给和法定存款准备金的流动性需求由中央银行控制,因此中央银行可通过政策工具调整流动性供需状况,达到流动性供需平衡政策目标。
二是运用修正真实货币缺口法测度流动性。传统真实货币缺口法用长期货币供应量与真实货币供应量之差来测度流动性,该方法测度出流动性缺口是绝对值,属于随时间变化绝对指标。本文借鉴许涤龙、叶少波提出的流动性总量过剩系数和流动性增量过剩系数方法,以真实货币缺口系数相对指标代替绝对指标,有效克服了传统真实货币缺口法不足。运用修正真实货币缺口系数对我国和美国流动性进行分别测度,并在此基础上进行对比分析,得出了具有说服力结论。
三是在流动性测度基础上提取了流动性预警指标,并据此建立流动性预警序次logit模型,进一步从实证上证明预警指标的有效性。本文将经济金融因素纳入流动性测度模型,分析经济金融因素中对流动性状态的影响因子,据此构建流动性管理预警体系。在方法上,本文运用因子分析法提取预警因子以避免所选取的经济金融因素多重共线性,并在此基础上建立流动性预警的序次logit摸型,进一步以“金砖四国”和美国为例进行了拟合度检验,从而得出可靠度较高的结论。
四是对我国中央银行日常流动性管理操作进行了系统分析和研究。运用本文的流动性结果对我国中央银行三大货币政策工具包括存款准备金、再贴现机制以及公开市场操作应用于流动性管理的实践进行总结,并在此基础上结合预警指标提出中央银行日常流动性管理中值得关注的问题。
五是中央银行流动性危机管理的实践。以次贷危机为例,对美联储在次贷危机中短期拍卖等创新型工具、再贴现机制等货币政策工具使用进行分析,提出中央银行在危机管理中应注重宏观层面与微观层面流动性的审慎监管,金融监管协调机制以及危机时期中央银行流动性管理政策创新与监管等方面的热点问题。
最后提出了构建我国中央银行流动性管理框架的政策建议。文章以流动性预警管理、日常管理和危机管理等三个角度为切入点,详细阐述了构建科学合理的中央银行流动性管理体系的构想和建议。
In2007, subprime mortgage crisis originating the United States rapidly evolved into a global financial crisis in the context of globalization.On the causes of the subprime mortgage crisis, evolution and rescue measures, scholars varies, but generally agreed that the financial markets during the crisis, ample liquidity had become an instant liquidity shortage, greatly promoted the spread of the subprime crisis. Then the world's central banks have strong liquidity management using tools such as the financial markets and recapitalize financial institutions, lowering interest rates and other measures have little effect at the start of the crisis. Central bank liquidity management is crucial for the financial crisis, stabilizing the financial system and restoring critical financial order. At present, the frequence of financial crisis breaking is higher, the mature management tools to deal with an unexpected crisis and stabilize the domestic financial market, improve the effectiveness of monetary policy has important theoretical and practical significance.
In the existing literature,the research on liquidity factors and standard have made consideably progress and breakthroughs in the theory and research entities, but these studies are based on the commercial banks and make the research for liquidity issues about commercial banks system. The central bank liquidity management research is totally blank. This article is based on the perspective of central bank liquiditymanagement to do some research. Based on existing research how to measure liquidityscientificly and reasonably and construcrt liquidity management framework based on the combination of central bank liquidity management objectives and content from a warning management, daily management and crisis management of the Central Bank is the core problem to solve in this article. Therefore, this article includes the following six core parts:
First, based on the central bank liquidity management's unique perspective, the article introducts money supply theory and the Keynesian liquidity preference theory to analyze the classical tradition of central bank liquidity management. Because monetary policy liquidity supply and statutory liquidity reserve requirements are controlled by the central bank, so the central bank adjusts the liquidity supply and demand through the adoption of various policy tools to promote balance of policy objectives between the supply and demand of liquidity.
The second is using the modified method for real money gap to measure liquidity.The traditional method using real money gap and the real long-term money supply to measure the difference between the liquidity. The measued liquidity gap is the absolute value and it is absolute index as time changes. Based on the method of Xudi Long, Ye Shaobo's liquidity total excess coefficient and liquidity excess coefficient, this paper sustitutes the relative index of real money gap coefficient for absolute targets, this effectively overcomes the deficiencies of traditional methods for real money gap. Using the modified method of real money gap coefficient, the article measures china and the United States'liquidity separately, and makes comparative analysis, so we obtained a convincing conclusion.
Third, based on the liquidity measure method, the article extracts early warning indicators of liquidity, and establish early warning of liquidity ordinal logit model, furthermore we proved the effectiveness of early warning indicators through empirical method.This article brings current economic and financial factors into model to analyze it's influence on the state of liquidity, and constructs the system of early warning indicators of liquidity management. In the methodology, this paper extracts early warning factors using factor analysis to avoid multicollinearity of the selected economic and financial factors, and on this basis to create liquidity ordinal logit model for early warning. Furthemore, the article conducted Square Test of the "BRIC" and U.S. and drawn a high reliable conclusions.
The fourth is the Central Bank of China daily liquidity management operations analysis and research. Using the conclusions on liquidity,we summary on the practices of three the central bank monetary policy tools in liquidity management, including the reserve, open market operations, rediscount mechanisms.And combing the early warning indicators,we raised central bank the daily concerning issues in liquidity management.
The fifth is the central bank liquidity crisis management practice. Using Subprime mortgage Crisis as an example, the article analyzes the Federal Reserve and other innovative tools for short-term auction, rediscount mechanism of monetary policy tools to use.The central bank in crisis management should focus on the macro level and micro level, the prudential liquidity supervision, coordination mechanisms, and financial regulation in times of crisis,the central bank liquidity management policy innovation and regulation and other aspects of hot issues.
Finally, the paper draws the conclusion on the construction of central bank liquidity management framework for policy recommendations. The Article uses warning of liquidity management, daily management and crisis management, and other three angles as the starting point to elaborate the construction of scientific and rational system of central bank liquidity management ideas and suggestions.
已有文献中对流动性影响因素和判断标准研究在理论层面和实证层面得到了较大进展和突破,但是这些研究都是以商业银行为立足点,以银行体系流动性为研究对象研究流动性相关问题,对中央银行流动性管理方面的研究略显单薄。本文正是立足于中央银行角度对流动性管理进行尝试性研究。如何在已有研究基础上科学合理地测度流动性,并在此基础上结合中央银行流动性管理标和内容从预警管理、日常管理和危机管理三方面构建适合我国现状的中央银行流动性管理框架正是本文要解决的核心问题。因此,本文核心内容主要包括以下六个方面：
一是立足于中央银行流动性管理独特视角,引入货币供应理论和凯恩斯流动性偏好等经典传统理论来分析中央银行流动性管理。由于货币政策性的流动性供给和法定存款准备金的流动性需求由中央银行控制,因此中央银行可通过政策工具调整流动性供需状况,达到流动性供需平衡政策目标。
二是运用修正真实货币缺口法测度流动性。传统真实货币缺口法用长期货币供应量与真实货币供应量之差来测度流动性,该方法测度出流动性缺口是绝对值,属于随时间变化绝对指标。本文借鉴许涤龙、叶少波提出的流动性总量过剩系数和流动性增量过剩系数方法,以真实货币缺口系数相对指标代替绝对指标,有效克服了传统真实货币缺口法不足。运用修正真实货币缺口系数对我国和美国流动性进行分别测度,并在此基础上进行对比分析,得出了具有说服力结论。
三是在流动性测度基础上提取了流动性预警指标,并据此建立流动性预警序次logit模型,进一步从实证上证明预警指标的有效性。本文将经济金融因素纳入流动性测度模型,分析经济金融因素中对流动性状态的影响因子,据此构建流动性管理预警体系。在方法上,本文运用因子分析法提取预警因子以避免所选取的经济金融因素多重共线性,并在此基础上建立流动性预警的序次logit摸型,进一步以“金砖四国”和美国为例进行了拟合度检验,从而得出可靠度较高的结论。
四是对我国中央银行日常流动性管理操作进行了系统分析和研究。运用本文的流动性结果对我国中央银行三大货币政策工具包括存款准备金、再贴现机制以及公开市场操作应用于流动性管理的实践进行总结,并在此基础上结合预警指标提出中央银行日常流动性管理中值得关注的问题。
五是中央银行流动性危机管理的实践。以次贷危机为例,对美联储在次贷危机中短期拍卖等创新型工具、再贴现机制等货币政策工具使用进行分析,提出中央银行在危机管理中应注重宏观层面与微观层面流动性的审慎监管,金融监管协调机制以及危机时期中央银行流动性管理政策创新与监管等方面的热点问题。
最后提出了构建我国中央银行流动性管理框架的政策建议。文章以流动性预警管理、日常管理和危机管理等三个角度为切入点,详细阐述了构建科学合理的中央银行流动性管理体系的构想和建议。
In2007, subprime mortgage crisis originating the United States rapidly evolved into a global financial crisis in the context of globalization.On the causes of the subprime mortgage crisis, evolution and rescue measures, scholars varies, but generally agreed that the financial markets during the crisis, ample liquidity had become an instant liquidity shortage, greatly promoted the spread of the subprime crisis. Then the world's central banks have strong liquidity management using tools such as the financial markets and recapitalize financial institutions, lowering interest rates and other measures have little effect at the start of the crisis. Central bank liquidity management is crucial for the financial crisis, stabilizing the financial system and restoring critical financial order. At present, the frequence of financial crisis breaking is higher, the mature management tools to deal with an unexpected crisis and stabilize the domestic financial market, improve the effectiveness of monetary policy has important theoretical and practical significance.
In the existing literature,the research on liquidity factors and standard have made consideably progress and breakthroughs in the theory and research entities, but these studies are based on the commercial banks and make the research for liquidity issues about commercial banks system. The central bank liquidity management research is totally blank. This article is based on the perspective of central bank liquiditymanagement to do some research. Based on existing research how to measure liquidityscientificly and reasonably and construcrt liquidity management framework based on the combination of central bank liquidity management objectives and content from a warning management, daily management and crisis management of the Central Bank is the core problem to solve in this article. Therefore, this article includes the following six core parts:
First, based on the central bank liquidity management's unique perspective, the article introducts money supply theory and the Keynesian liquidity preference theory to analyze the classical tradition of central bank liquidity management. Because monetary policy liquidity supply and statutory liquidity reserve requirements are controlled by the central bank, so the central bank adjusts the liquidity supply and demand through the adoption of various policy tools to promote balance of policy objectives between the supply and demand of liquidity.
The second is using the modified method for real money gap to measure liquidity.The traditional method using real money gap and the real long-term money supply to measure the difference between the liquidity. The measued liquidity gap is the absolute value and it is absolute index as time changes. Based on the method of Xudi Long, Ye Shaobo's liquidity total excess coefficient and liquidity excess coefficient, this paper sustitutes the relative index of real money gap coefficient for absolute targets, this effectively overcomes the deficiencies of traditional methods for real money gap. Using the modified method of real money gap coefficient, the article measures china and the United States'liquidity separately, and makes comparative analysis, so we obtained a convincing conclusion.
Third, based on the liquidity measure method, the article extracts early warning indicators of liquidity, and establish early warning of liquidity ordinal logit model, furthermore we proved the effectiveness of early warning indicators through empirical method.This article brings current economic and financial factors into model to analyze it's influence on the state of liquidity, and constructs the system of early warning indicators of liquidity management. In the methodology, this paper extracts early warning factors using factor analysis to avoid multicollinearity of the selected economic and financial factors, and on this basis to create liquidity ordinal logit model for early warning. Furthemore, the article conducted Square Test of the "BRIC" and U.S. and drawn a high reliable conclusions.
The fourth is the Central Bank of China daily liquidity management operations analysis and research. Using the conclusions on liquidity,we summary on the practices of three the central bank monetary policy tools in liquidity management, including the reserve, open market operations, rediscount mechanisms.And combing the early warning indicators,we raised central bank the daily concerning issues in liquidity management.
The fifth is the central bank liquidity crisis management practice. Using Subprime mortgage Crisis as an example, the article analyzes the Federal Reserve and other innovative tools for short-term auction, rediscount mechanism of monetary policy tools to use.The central bank in crisis management should focus on the macro level and micro level, the prudential liquidity supervision, coordination mechanisms, and financial regulation in times of crisis,the central bank liquidity management policy innovation and regulation and other aspects of hot issues.
Finally, the paper draws the conclusion on the construction of central bank liquidity management framework for policy recommendations. The Article uses warning of liquidity management, daily management and crisis management, and other three angles as the starting point to elaborate the construction of scientific and rational system of central bank liquidity management ideas and suggestions.
引文
①小章主要成果预定在《统计与决策》2011年第2期发表
①本章主要成果发表在《广东金融学院学报》2010年第4期。
①本章7.2.3.2建立金融监管协调机制部分发表在《现代经济探讨》2009年第6期。
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①本章主要成果发表在《广东金融学院学报》2010年第4期。
①本章7.2.3.2建立金融监管协调机制部分发表在《现代经济探讨》2009年第6期。
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