量化宽松货币政策的理论、实践与效应研究
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摘要
量化宽松货币政策是次贷危机后各国央行应对金融危机的非常规货币政策,本文对该政策的思想演进、理论框架、政策实践、政策效果、退出机制和对财政的影响进行系统的研究,下面为本文内容的概括和摘要。
第一章从概念上明确了量化宽松货币政策定义,第二章对量化宽松货币政策思想演进作出了系统归纳,认为其起源于大萧条后宽松货币政策操作,危机后的快速复苏进程和货币学派观点均表明量化宽松宽松货币政策的有效性和可行性。日本2000-2006年间的零利率政策和量化宽松政策丰富和深化了量化宽松货币政策的思想理论体系,新情况下美联储等央行实施的量化宽松货币政策则偏向于通过资产负债表渠道维护金融市场稳定的政策目标,为量化宽松思想演进提供了新的思路和方向。此外,还提出了量化宽松货币政策的政策目的、中介目标、政策工具、传导机制,并细分了三类政策工具：基于基础货币的数量放松、预期管理和非常规公开市场操作；重点刻画了承诺效应、资产负债表扩张效应、资产组合效应的具体传导方式。第三章梳理了各国量化宽松货币政策实践。包括了日本2001-2006年和本次金融危机后的两次政策实践、美联储和欧元区的首次量化宽松实践的政策目标、政策工具、实施阶段等具体操作细节进行全面的梳理和总结。
第四章和第五章分别对美联储量化宽松货币政策的金融稳定效应和经济刺激效应进行了系统的定量分析研究。第四章首先提出新的金融结构下影子银行体系对金融不稳定性的五大扩大机制,即抛售机制、恶性循环机制、蔓延机制、预期机制以及再融资机制。以上金融不稳定性扩大机制使得美联储在危机中创造了三大类创新性货币政策工具,对三类货币工具操作有效性进行检验发现TAF、PDCF以及AMLF等信贷类的货币政策工具有显著的有效性,而其他资产购买类的货币政策工具效果不佳。另外,检验表明同业拆借市场与商业票据市场之间的不稳定性能够相互蔓延,美联储通过创新多类货币政策工具同时在两类市场上进行操作具有相互支持作用。第五章则针对量化宽松货币政策应对经济衰退的有效性进行定性和定量分析。先从稳定金融市场、扩张货币供给、扩张总体需求三个方面给出了量化宽松货币政策应对经济衰退的机制,认为量化宽松可以通过稳定金融市场打通货币政策传导渠道扩张货币,进而通过信用扩张、通胀、贬值三大效应刺激总需求提升。然后对美联储量化宽松货币政策实施期间的货币供给扩张效应与由此带来的总需求扩张效应进行检验。结果表明美联储量化宽松货币政策应对本次经济衰退是有效的：第一,稳定了金融市场；第二,扩张了货币总供给；第三,通胀效应使货币供给扩张刺激了总需求。
第六章第一部分研究了量化宽松货币政策的直接和间接财政效应。认为利用量化宽松的直接财政效应有必要性和可行性,经济衰退的特殊时期下的赤字货币化弥补方式不一定会造成通货膨胀。量化宽松的财政间接效应研究表明量化宽松主要是通过三类政策工具的第一类引导市场对未来低利率预期措施和第二类扩张央行资产负债表规模措施提高财政政策有效性,通过第三类改变央行持有资产结构措施对财政刺激实行了配合和担保。第二部分对量化宽松实施和退出对财政可持续影响作出说明。首先利用两个条件和一个框架衡量了财政可持续变化,认为量化宽松实施对其影响不大。然后分析了量化宽松货币政策退出对财政可持续的作用。积极财政政策支出、现有利息支出和国债收益率上升导致经济复苏时期美国财政融资需求仍然处于较高水平。在明确的赤字缺口下,量化宽松货币政策退出不仅将制约美联储购买国债数量和速度,而且将通过作用实际利率、产出和经济增长率以及上年财政赤字影响财政可持续性,对可持续性造成损害。
第七章研究了量化宽松货币政策的退出效应,回顾了美国和日本几次退出实践,探讨了政策过早退出效应和过晚退出效应,提出退出时机选择是一个复杂的问题。过早退出量化宽松,不但复苏可能夭折甚至面临二次衰退以及扩张财政导致的国债价格上行和收益率下行风险增大；过迟退出,可能导致通货膨胀和资产价格泡沫。因此在综合衡量风险的情况下给出退出策略,包括具体策略、退出机制、退出时机。退出策略上主张采取有利于经济平稳复苏的“渐进式”退出策略,退出机制上采取自动收缩与主动收缩分步走的退出安排。
Quantitative easing monetary policy is an unconventional monetary policy which some central banks implement to react to the financial crisis.The article researches the ideological evolution, theory framework, practice, effectiveness,exit mechanism of the QEP and influence on fiscal sustainability.
Chapter 1 defines the quantitative easing monetary policy and chapter 2 hackles the idealogical evolution of QEP. We think the idea of QEP started from the Fed's monetary operation after the great depression.It was becoming deepen along with Japan's bank zero interest rate monetary policy and QEP from 2000 to 2006.Since subprime crisis, Fed's QEP based on the balance sheet channel open a new way for the idealogy.We advance an academic framework for QEP,which consisting of policy aim,medi-objection,policy tools and transmission mechanism and classify policy tools to quantitative easing toos based on money base,expectation management tools and non open-market operation. Then we describe commitment effect,balance-sheet expanding effect and balance-sheet composition effect.Chapter 3 summarizes Japan's QEP during 2001-2006 & QEP responding to world-wide financial crisis,and the first QEP attempts of Fed & ECB.
Chapter 4 &5 examine the effectiveness of QEP to financial crisis and economic depression quantificationally and respectively. We set forth 5 financial instability enlargers of shadow banking system in chapter 4. In allusion to 5 enlargers above, Fed design innovative monetary policy tools accordingly to keep monetary policy effective and corresponding.Then we verify the effectiveness of 3 types of monetary policy tools and conclude TAF,PDCF,AMLF are significant when assets purchase programs are not.In addition,we find instability could expand between the inter-bank funds market and commercial paper market,so the innovative monetary policy tools in these two markets could support reciprocally.In chapter 5,we initially describe the mechanism why QEP could be effective to economic depression.It is because that QEP could keep financial market stable to get credit transmission channel through by credit expand,inflation and depreciation.Then we verify the money creation effect during the Fed’s QEP and demand expand effect consequently. The result indicates that the QEP is effective to depression.
In the first part of chapter 6,we study the direct and indirect mechanism how QEP effects fiscal policy and We find it is necessary and feasible to use QEP to finance fiscal policy,and we think the first and second type policy tools could strengthen validity of fiscal policy, meanwhile the third type tools could cooperate and guarantee fisical stimulation.. In the second part of chapter 6, we check QEP practice and exiting effects to fiscal sustainability of the government. The review to2010-2020 fiscal sustainability of the United States indicates that most of years are not according with No-Ponzi-Game term and Domar term. Contrarily,most of years are according with sustainable framework term.It means maybe we should use framework,not the No-ponzi-Game or Domar term to scale the fiscal sustainability. About exiting effect,we find fisical outlay,interest cost and public debt yield increasing induce fiscal financing scale is enormous. Under the explicit deficit,the QEP exit will not only restrict the speed and quality debt purchase,but also damage fiscal sustainability by affecting the real rate,output and GDP growth rate.
Chapter 7 summarizes QEP exit effect, which consisiting of exit practice in USA and Japan, potential exit risk and exit choice of the right moment.If we exit too early,public debt price climbs up and yield decline,even economy may come back to depression.If we exit too late,inflation and asset bubble may happen.We tend to adopt“step-by-step”exit strategy to keep economy recovery steadily. Concretely, the exit mechanism could be separate into automatic and active reduction mechanism.
第一章从概念上明确了量化宽松货币政策定义,第二章对量化宽松货币政策思想演进作出了系统归纳,认为其起源于大萧条后宽松货币政策操作,危机后的快速复苏进程和货币学派观点均表明量化宽松宽松货币政策的有效性和可行性。日本2000-2006年间的零利率政策和量化宽松政策丰富和深化了量化宽松货币政策的思想理论体系,新情况下美联储等央行实施的量化宽松货币政策则偏向于通过资产负债表渠道维护金融市场稳定的政策目标,为量化宽松思想演进提供了新的思路和方向。此外,还提出了量化宽松货币政策的政策目的、中介目标、政策工具、传导机制,并细分了三类政策工具：基于基础货币的数量放松、预期管理和非常规公开市场操作；重点刻画了承诺效应、资产负债表扩张效应、资产组合效应的具体传导方式。第三章梳理了各国量化宽松货币政策实践。包括了日本2001-2006年和本次金融危机后的两次政策实践、美联储和欧元区的首次量化宽松实践的政策目标、政策工具、实施阶段等具体操作细节进行全面的梳理和总结。
第四章和第五章分别对美联储量化宽松货币政策的金融稳定效应和经济刺激效应进行了系统的定量分析研究。第四章首先提出新的金融结构下影子银行体系对金融不稳定性的五大扩大机制,即抛售机制、恶性循环机制、蔓延机制、预期机制以及再融资机制。以上金融不稳定性扩大机制使得美联储在危机中创造了三大类创新性货币政策工具,对三类货币工具操作有效性进行检验发现TAF、PDCF以及AMLF等信贷类的货币政策工具有显著的有效性,而其他资产购买类的货币政策工具效果不佳。另外,检验表明同业拆借市场与商业票据市场之间的不稳定性能够相互蔓延,美联储通过创新多类货币政策工具同时在两类市场上进行操作具有相互支持作用。第五章则针对量化宽松货币政策应对经济衰退的有效性进行定性和定量分析。先从稳定金融市场、扩张货币供给、扩张总体需求三个方面给出了量化宽松货币政策应对经济衰退的机制,认为量化宽松可以通过稳定金融市场打通货币政策传导渠道扩张货币,进而通过信用扩张、通胀、贬值三大效应刺激总需求提升。然后对美联储量化宽松货币政策实施期间的货币供给扩张效应与由此带来的总需求扩张效应进行检验。结果表明美联储量化宽松货币政策应对本次经济衰退是有效的：第一,稳定了金融市场；第二,扩张了货币总供给；第三,通胀效应使货币供给扩张刺激了总需求。
第六章第一部分研究了量化宽松货币政策的直接和间接财政效应。认为利用量化宽松的直接财政效应有必要性和可行性,经济衰退的特殊时期下的赤字货币化弥补方式不一定会造成通货膨胀。量化宽松的财政间接效应研究表明量化宽松主要是通过三类政策工具的第一类引导市场对未来低利率预期措施和第二类扩张央行资产负债表规模措施提高财政政策有效性,通过第三类改变央行持有资产结构措施对财政刺激实行了配合和担保。第二部分对量化宽松实施和退出对财政可持续影响作出说明。首先利用两个条件和一个框架衡量了财政可持续变化,认为量化宽松实施对其影响不大。然后分析了量化宽松货币政策退出对财政可持续的作用。积极财政政策支出、现有利息支出和国债收益率上升导致经济复苏时期美国财政融资需求仍然处于较高水平。在明确的赤字缺口下,量化宽松货币政策退出不仅将制约美联储购买国债数量和速度,而且将通过作用实际利率、产出和经济增长率以及上年财政赤字影响财政可持续性,对可持续性造成损害。
第七章研究了量化宽松货币政策的退出效应,回顾了美国和日本几次退出实践,探讨了政策过早退出效应和过晚退出效应,提出退出时机选择是一个复杂的问题。过早退出量化宽松,不但复苏可能夭折甚至面临二次衰退以及扩张财政导致的国债价格上行和收益率下行风险增大；过迟退出,可能导致通货膨胀和资产价格泡沫。因此在综合衡量风险的情况下给出退出策略,包括具体策略、退出机制、退出时机。退出策略上主张采取有利于经济平稳复苏的“渐进式”退出策略,退出机制上采取自动收缩与主动收缩分步走的退出安排。
Quantitative easing monetary policy is an unconventional monetary policy which some central banks implement to react to the financial crisis.The article researches the ideological evolution, theory framework, practice, effectiveness,exit mechanism of the QEP and influence on fiscal sustainability.
Chapter 1 defines the quantitative easing monetary policy and chapter 2 hackles the idealogical evolution of QEP. We think the idea of QEP started from the Fed's monetary operation after the great depression.It was becoming deepen along with Japan's bank zero interest rate monetary policy and QEP from 2000 to 2006.Since subprime crisis, Fed's QEP based on the balance sheet channel open a new way for the idealogy.We advance an academic framework for QEP,which consisting of policy aim,medi-objection,policy tools and transmission mechanism and classify policy tools to quantitative easing toos based on money base,expectation management tools and non open-market operation. Then we describe commitment effect,balance-sheet expanding effect and balance-sheet composition effect.Chapter 3 summarizes Japan's QEP during 2001-2006 & QEP responding to world-wide financial crisis,and the first QEP attempts of Fed & ECB.
Chapter 4 &5 examine the effectiveness of QEP to financial crisis and economic depression quantificationally and respectively. We set forth 5 financial instability enlargers of shadow banking system in chapter 4. In allusion to 5 enlargers above, Fed design innovative monetary policy tools accordingly to keep monetary policy effective and corresponding.Then we verify the effectiveness of 3 types of monetary policy tools and conclude TAF,PDCF,AMLF are significant when assets purchase programs are not.In addition,we find instability could expand between the inter-bank funds market and commercial paper market,so the innovative monetary policy tools in these two markets could support reciprocally.In chapter 5,we initially describe the mechanism why QEP could be effective to economic depression.It is because that QEP could keep financial market stable to get credit transmission channel through by credit expand,inflation and depreciation.Then we verify the money creation effect during the Fed’s QEP and demand expand effect consequently. The result indicates that the QEP is effective to depression.
In the first part of chapter 6,we study the direct and indirect mechanism how QEP effects fiscal policy and We find it is necessary and feasible to use QEP to finance fiscal policy,and we think the first and second type policy tools could strengthen validity of fiscal policy, meanwhile the third type tools could cooperate and guarantee fisical stimulation.. In the second part of chapter 6, we check QEP practice and exiting effects to fiscal sustainability of the government. The review to2010-2020 fiscal sustainability of the United States indicates that most of years are not according with No-Ponzi-Game term and Domar term. Contrarily,most of years are according with sustainable framework term.It means maybe we should use framework,not the No-ponzi-Game or Domar term to scale the fiscal sustainability. About exiting effect,we find fisical outlay,interest cost and public debt yield increasing induce fiscal financing scale is enormous. Under the explicit deficit,the QEP exit will not only restrict the speed and quality debt purchase,but also damage fiscal sustainability by affecting the real rate,output and GDP growth rate.
Chapter 7 summarizes QEP exit effect, which consisiting of exit practice in USA and Japan, potential exit risk and exit choice of the right moment.If we exit too early,public debt price climbs up and yield decline,even economy may come back to depression.If we exit too late,inflation and asset bubble may happen.We tend to adopt“step-by-step”exit strategy to keep economy recovery steadily. Concretely, the exit mechanism could be separate into automatic and active reduction mechanism.
引文
'Richard Werner、Keizai Kyoshitsu、Keiki kaifuku, ryoteiki kinyu kanwa kara, Nikkei,2 September 1995
2Ben S. Bernanke& Vincent R. Reinhart. Conducting Monetary Policy at Very Low Short-Term Interest Rates.Lecture at the International Center for Monetary and Banking Studies,Geneva，2004-01-14
3张晶,定量宽松还是信贷宽松：基于伯南克货币救助政策创新的思考,国际金融研究,2009.11
4Andres,Javier:Lo'pez-Salido,J.David andNelson.Edward.“Tobin's Imperfect AssetSubstitution in Optimizing General Equilib-rium.” Unpublished manuscript presented atthe JMCB/Federal Reserve Bank of Chicago James Tobin Symposium，14-15 November 2003.
5 Nelson White, A Reinterpretation of the Banking Crisis of 1930, The Journal of Economic History,1984,44: 119-138, Cambridge University Press
8Ueda, Kazuo, 1999, Remarks presented at FRB-Boston Conference. "Monetary Policy in a Low-Inflation Environment", Woodstock VT, October 20.
9M：货币供应量,r：利率水平,I：投资支出,Y：总收入,Ps：股票价格,Lα：可贷资金,Yt：临时收入
10Minutes of the Monetary Policy Meeting on March 19,2001, Bank of Japan.
11Ben S. Bernanke.FRB speech: The Crisis and the Policy Response[Z].At the Stamp Lecture, London School of Economics. London. England，2009-01-13
12MB：基础货币,Pa：非现金资产价格,r实际：实际短期利率,Ep：物价预期,I：投资,Y：产出,C：消费
132001年2月从0.5%下调至0.25%,2001年9月从0.25%下调至0.1%。
14曾红,定量宽松货币政策理论与实践的研究,浙江大学硕士论文,2010-06-01
l5BOJ,Policy Planning Office,“The Role of the Money Stock in Conducting Monetary Policy,”Bank of Japan Quarterly Bulletin,2003,11(2), pp.151-202
16沈建光,直升机撒钱：日本的经验和启示,财经网,2009年4月7日
17本部分多处引用作者已发表的文章。王维安、徐滢,次贷危机中美联储非常规货币政策应对、影响和效果,国际金融研究,2011-01-12
19 ECB, Monthly Bulletin, October 2010
21本部分多处引用作者已发表的文章。王维安、徐滢,次贷危机中美联储非常规货币政策应对、影响和效果,国际金融研究,2011-01-12
22在其他政策工具有效性检验的模型中也均会遇到随机干扰项序列相关问题,在后续模型中均采用广义差分法进行估计,根据需要引入1阶自回归或1阶与2阶自回归。故以上说明后文不再赘述。
23在本章其他效应有效性检验的模型中也均会遇到随机干扰项序列相关问题,在后续模型中均采用广义差分法进行估计,根据需要引入1阶自回归或1阶与2阶自回归。故以上说明后文不再赘述。
24伯南克成为美联储主席前,在2002年一次研究解决通缩的策略讨论会上,曾提到“开直升机从空中撒钱”,这是米尔顿·弗里德曼的经典名言。
25王琳,从财政赤字弥补浅议中央银行独立性,财金贸易,1994.9
26包括国内和国外的个人、企业和金融机构。
27中金公司,美国经济：不要期待再通胀很快到来,2009.4
28 http://www.bea.gov/index.htm,Gross Domestic Product (GDP)，Current-dollar and "real" GDP
29FRB, Expired Policy Tools，http://www.federalreserve..gov/monetarypolicy/expiredtools.htm
30Richard C.Koo,大衰退：如何在金融危机中幸存和发展,2009
3iFDIC,2009 Annual Report, Recoveries and Losses by the Deposit Insurance Fund on Disbursements for the Protection of Depositors,1934-2009, Bank and Thrift Failures
32 http://www.fdic.gov/about/strategic/report/2009annualreport/AR09final.pdf
33 2008年11月25日,美联储和美国财政部宣布拨款2000亿美元创立“定期资产支持证券贷款工具”,该工具可接受住房抵押贷款支持债券和汽车贷款、信用卡贷款、学生贷款和小企业贷款支持债券。投资者可以从美联储获得贷款,并用贷款购买一系列由消费和小企业贷款支持的证券。
34Public-Private Investment Program Fact Sheet, httpy/www.treas.gov/press/releases/reports/ppip_fact_sheet.pdf
35 FEDERAL RESERVE statistical release H.4.1, Factors Affecting Reserve Balances of Depository Institutions and Condition Statement of Federal Reserve Banks,1. Factors Affecting Reserve Balances of Depository Institutions
36原先承诺从TARP或金融稳定计划(FSP, Financial Stability Plan)动用的300亿美元仅实现191.6亿美元ProPublica, Bailout Guide, http://bailout.propublica.org/programs/8-public-private-investment-program
37FRB, H4.1 Release July 3,2008
38 2008年11月25日和2009年3月2日分两次宣布SSFI计划。
39 http:/www.propublica.org/article/how-bie-is-aigs-bailout-reallv-707
40 http://research.stlouisfed.org/fred2/categories/32215
41实际利率由名义利率减去CPI年增长率推算,名义利率取一年期国债利率。实际经济增长率来源于BEA公布数据。实际国债增长率由名义国债增长率减去CPI年增长率推算。
42名义经济增长率g1,g2分别来自表6.3、表6.4中CBO和OMB对经济增长率预测,名义国债增长率来ρ1,ρ2分别来自表6.3、表6.4中CBO和OMB对公众持有国债增长率计算,由于CBO和OMB只预测了公众持有国债(Debt Held by the Public),而未预测总国债余额(Gross Federal Debt),因此用公众持有国债增长率代替国债增长率。
43除基础设施改造计划还未被国会通过,其他均进入实施阶段
45加*为笔者预测数据,(CBO)表示该行数据由CBO预测。
46此处购买的国债包括Bills、notes and bonds， nominal、notes and bonds, inflation indexed、inflation compensation 以及 Federal agency debt securities。
472009年3月18日美国公债局公布的Total Public Debt Outstanding为110342.25亿美元,2010年11月4日为137234.39亿美元,新增国债余额26892.14亿美元。
48Ben Bernanke, The Fed's Exit Strategy, The Wall Street Journal,2009.07.21
491年期利率标注在左侧坐标轴,10年期利率标注在右侧坐标轴。
50耿群,日本结束量化宽松货币政策的影响分析,国际金融研究,2006.5
51外国投资者持有国债数据来自United States Department of Treasury, Treasury International Capital System (TICS), Securities (b), special data series;
公众持有国债数据来自美国财政部公债局,http://www.treasurydirect.gov/
521年期利率标注在左侧坐标轴,10年期利率标注在右侧坐标轴。
53采用自FOMC开始公布市场操作以来的(1989年12月后)的182次FOMC会议利息决议数据。
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2Ben S. Bernanke& Vincent R. Reinhart. Conducting Monetary Policy at Very Low Short-Term Interest Rates.Lecture at the International Center for Monetary and Banking Studies,Geneva，2004-01-14
3张晶,定量宽松还是信贷宽松：基于伯南克货币救助政策创新的思考,国际金融研究,2009.11
4Andres,Javier:Lo'pez-Salido,J.David andNelson.Edward.“Tobin's Imperfect AssetSubstitution in Optimizing General Equilib-rium.” Unpublished manuscript presented atthe JMCB/Federal Reserve Bank of Chicago James Tobin Symposium，14-15 November 2003.
5 Nelson White, A Reinterpretation of the Banking Crisis of 1930, The Journal of Economic History,1984,44: 119-138, Cambridge University Press
8Ueda, Kazuo, 1999, Remarks presented at FRB-Boston Conference. "Monetary Policy in a Low-Inflation Environment", Woodstock VT, October 20.
9M：货币供应量,r：利率水平,I：投资支出,Y：总收入,Ps：股票价格,Lα：可贷资金,Yt：临时收入
10Minutes of the Monetary Policy Meeting on March 19,2001, Bank of Japan.
11Ben S. Bernanke.FRB speech: The Crisis and the Policy Response[Z].At the Stamp Lecture, London School of Economics. London. England，2009-01-13
12MB：基础货币,Pa：非现金资产价格,r实际：实际短期利率,Ep：物价预期,I：投资,Y：产出,C：消费
132001年2月从0.5%下调至0.25%,2001年9月从0.25%下调至0.1%。
14曾红,定量宽松货币政策理论与实践的研究,浙江大学硕士论文,2010-06-01
l5BOJ,Policy Planning Office,“The Role of the Money Stock in Conducting Monetary Policy,”Bank of Japan Quarterly Bulletin,2003,11(2), pp.151-202
16沈建光,直升机撒钱：日本的经验和启示,财经网,2009年4月7日
17本部分多处引用作者已发表的文章。王维安、徐滢,次贷危机中美联储非常规货币政策应对、影响和效果,国际金融研究,2011-01-12
19 ECB, Monthly Bulletin, October 2010
21本部分多处引用作者已发表的文章。王维安、徐滢,次贷危机中美联储非常规货币政策应对、影响和效果,国际金融研究,2011-01-12
22在其他政策工具有效性检验的模型中也均会遇到随机干扰项序列相关问题,在后续模型中均采用广义差分法进行估计,根据需要引入1阶自回归或1阶与2阶自回归。故以上说明后文不再赘述。
23在本章其他效应有效性检验的模型中也均会遇到随机干扰项序列相关问题,在后续模型中均采用广义差分法进行估计,根据需要引入1阶自回归或1阶与2阶自回归。故以上说明后文不再赘述。
24伯南克成为美联储主席前,在2002年一次研究解决通缩的策略讨论会上,曾提到“开直升机从空中撒钱”,这是米尔顿·弗里德曼的经典名言。
25王琳,从财政赤字弥补浅议中央银行独立性,财金贸易,1994.9
26包括国内和国外的个人、企业和金融机构。
27中金公司,美国经济：不要期待再通胀很快到来,2009.4
28 http://www.bea.gov/index.htm,Gross Domestic Product (GDP)，Current-dollar and "real" GDP
29FRB, Expired Policy Tools，http://www.federalreserve..gov/monetarypolicy/expiredtools.htm
30Richard C.Koo,大衰退：如何在金融危机中幸存和发展,2009
3iFDIC,2009 Annual Report, Recoveries and Losses by the Deposit Insurance Fund on Disbursements for the Protection of Depositors,1934-2009, Bank and Thrift Failures
32 http://www.fdic.gov/about/strategic/report/2009annualreport/AR09final.pdf
33 2008年11月25日,美联储和美国财政部宣布拨款2000亿美元创立“定期资产支持证券贷款工具”,该工具可接受住房抵押贷款支持债券和汽车贷款、信用卡贷款、学生贷款和小企业贷款支持债券。投资者可以从美联储获得贷款,并用贷款购买一系列由消费和小企业贷款支持的证券。
34Public-Private Investment Program Fact Sheet, httpy/www.treas.gov/press/releases/reports/ppip_fact_sheet.pdf
35 FEDERAL RESERVE statistical release H.4.1, Factors Affecting Reserve Balances of Depository Institutions and Condition Statement of Federal Reserve Banks,1. Factors Affecting Reserve Balances of Depository Institutions
36原先承诺从TARP或金融稳定计划(FSP, Financial Stability Plan)动用的300亿美元仅实现191.6亿美元ProPublica, Bailout Guide, http://bailout.propublica.org/programs/8-public-private-investment-program
37FRB, H4.1 Release July 3,2008
38 2008年11月25日和2009年3月2日分两次宣布SSFI计划。
39 http:/www.propublica.org/article/how-bie-is-aigs-bailout-reallv-707
40 http://research.stlouisfed.org/fred2/categories/32215
41实际利率由名义利率减去CPI年增长率推算,名义利率取一年期国债利率。实际经济增长率来源于BEA公布数据。实际国债增长率由名义国债增长率减去CPI年增长率推算。
42名义经济增长率g1,g2分别来自表6.3、表6.4中CBO和OMB对经济增长率预测,名义国债增长率来ρ1,ρ2分别来自表6.3、表6.4中CBO和OMB对公众持有国债增长率计算,由于CBO和OMB只预测了公众持有国债(Debt Held by the Public),而未预测总国债余额(Gross Federal Debt),因此用公众持有国债增长率代替国债增长率。
43除基础设施改造计划还未被国会通过,其他均进入实施阶段
45加*为笔者预测数据,(CBO)表示该行数据由CBO预测。
46此处购买的国债包括Bills、notes and bonds， nominal、notes and bonds, inflation indexed、inflation compensation 以及 Federal agency debt securities。
472009年3月18日美国公债局公布的Total Public Debt Outstanding为110342.25亿美元,2010年11月4日为137234.39亿美元,新增国债余额26892.14亿美元。
48Ben Bernanke, The Fed's Exit Strategy, The Wall Street Journal,2009.07.21
491年期利率标注在左侧坐标轴,10年期利率标注在右侧坐标轴。
50耿群,日本结束量化宽松货币政策的影响分析,国际金融研究,2006.5
51外国投资者持有国债数据来自United States Department of Treasury, Treasury International Capital System (TICS), Securities (b), special data series;
公众持有国债数据来自美国财政部公债局,http://www.treasurydirect.gov/
521年期利率标注在左侧坐标轴,10年期利率标注在右侧坐标轴。
53采用自FOMC开始公布市场操作以来的(1989年12月后)的182次FOMC会议利息决议数据。
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