中国货币政策的传导机制及作用效应研究
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摘要
由于金融在当前经济活动中具有特殊的地位,几乎在所有的主要经济体国家货币政策均被作为重要的宏观调控手段,因此几十年来货币政策一直是宏观经济研究的焦点之一。众所周知,任何宏观经济理论均建立在一定假设前提之上,对经济环境具有严格的要求,而任何宏观调控政策措施的制定、实施及其效果无不与当时的经济体制和经济状况存在密切的关系,中国货币政策也不例外。1978年底开始的农村经济体制改革开启了中国经济体制的全面改革。三十多年来,从初级发展到科学发展、从高度集中的计划经济体制向市场经济体制,中国经历了根本性的经济体制改革。伴随经济体制改革,社会结构发生了相应的转型,宏观政策调控模式和微观运行基础不断向市场化方向迈进,货币政策间接调控机制逐步趋于完善。
本篇论文力图从参与货币政策传导过程的各社会主体行为决策方式的角度出发对近年来中国的货币政策机制和效应进行定性与定量分析,尽管作者已不遗余力,但学识有限,不足和错误之处恳请不吝赐教。
With the reform of China's financial and economic system, monetary policy has been one of the main macroeconomic control measures. In recent years, the transmission mechanism and effects of China’s monetary policy have been a focus of the economic theory and the practice fields. But the transmission mechanism and the effects of the monetary policy are the results of the selection behaviors of all social main bodies in the interaction process. That the transformation of the commercial banks’credit behavior, the enterprises’investment decisions and the residents’consumption behavior that the economic system reform brings,and the changes of the target that the central bank pursues in the open economy condition has greatly changed the transmission mechanism and the effects of China’s monetary policy and is one of the principal reasons of the effect present asymmetric. This dissertation tries to research on the relations of the China’s monetary policy and the decision-making behaviors of the Commercial Banks’credit, the enterprises’investment, and the residents’consumption using qualitative and quantitative analysis methods that include vector error correction model (VECM), panel-data model, structural vector autoregression model (SVAR),time-varying Parameter model and the linear regression model (OLS).
The main content of the first chapter in this dissertation is about the background and basic theory and general introduction. Among them, the related theory of monetary policy and the recent research aspects in this paper for Chinese literature that were summarized provides theoretical basis for monetary policy transmission mechanism and effects of the study. In the second chapter, the reform processes of Chinese financial system, enterprise management system, and the investment system, the employment system and the social security system were introduced as well as the influences of these systems’reform on the China's monetary policy transmission mechanism. Considering the asymmetrical features of the effects of the monetary policy in recent years, asymmetric VECM model was used to analyze the impacts of actual consumption and the actual investment under the shock of monetary policy. The conclusions are that monetary policy effect is obvious asymmetry regardless of long-term or short-term and that response speed and response style of the banks and enterprises, residents behaviors under the monetary policy shock are different in the different stages of economic cycle. These differences are the main reasons of the monetary policy effect asymmetry characters. From the third chapter, the responses of commercial bank credit, enterprise investment, and consumption behavior under the impact of monetary policy were studied.
Credit channel is main channel of China's monetary policy transmission. Considering the function of credit rationing, Bernanke and Blinder (1988) established a CC-LM model which can be used as a theoretical framework for the study of the effect of commercial bank credit behavior on the monetary policy. In the third chapter, this article studied the influencing factors affecting the reaction commercial bank credit under the impact of monetary policy from a perspective of commercial bank credit behavior decision-making. Based on the empirical analysis of China's banking loan structure, financing structure and concentration, loan-based indirect financing is the main financing method. In the credit markets, due to the relatively low level of loan growth of the four main banks compared to other share-holding commercial Banks, although the four main banks have advantages in the share in the bank credit market, their absolute monopoly position has begun to shake. Finally three main characteristic indexes which affect the decision of commercial bank loans to were constructed while CC - LM model monetary credit econometric model and commercial bank credit on monetary policy reaction panel data model are specified. The empirical results show that our country commercial bank monetary policy direction and credit reaction monetary policy direction are corresponding, the joint-stock banks’monetary policy reaction degrees are above four main state-owned commercial Banks, four state-owned commercial bank capital adequacy significantly affect its monetary policy reaction intensity of credit, joint-stock commercial bank's size and liquidity clearly influence its monetary policy credit reaction intensity.
With the proportion of self-raised funds as the source of capital investment in fixed assets in the whole society is increasing, the style of enterprise investment responsed to monetary policy has important implications on the monetary policy effect. Based on the theory of enterprise, the fourth part studied that style from a perspective of corporate investment theory. After the analysis of enterprise investment growth and in total financial expenditure growth and monetary growth and the actual interest rate variation tendency, based on the analysis of the structure of vector auto-regressive (SVAR) model, I did empirical research on the enterprise investment response on the conditions of fiscal and monetary policy shock response respectively in the money supply exogenous assumption and currency supply endogenous assumption precondition. By using January 1998 ~ April 2009 monthly data, the empirical research shows that: in the different stages of economic cycle, money supply that central bank controls is different, causing monetary policy implementation effect in deviation. In the economic prosperity stage, with the higher level of social capital efficiency and no surplus liquidity, central bankers can more easily control the money supply by adjusting the monetary base and monetary multiplier. In this stage, money supply of exogenous is stronger and monetary policy effect is remarkable. In recession stage, while investment opportunities which can be chosen are less, currency liquidity is relative surplus and endogenous monetary policy strengthens. The expansionary monetary policy that central bank takes cannot increase money supply and the effect of monetary policy weakens. Although financial expenditure on enterprises investment may produce positive effects in short-term, the negative influence may stronger than positive effect, so positive fiscal policy has obvious extrusion effect on enterprises investment.
Consumer demand is the main part of social demand, and the investment lack of the consumer demand will become invalid investment. This can not only waste resources but also make against the sustainable development of national economy so that expanding consumer demand has become the focus of macroeconomic control. The fifth chapter analyzed the response style of consumption under the impact of monetary policy based on the analysis of traditional theory of consumption. By using variable parameter model to analyze the 1990-2008 China consumer reaction to monetary policy condition and using the linear model to analyze the response difference of town residents' consumption of different income groups of monetary policy, I get the results that consumers are sensitive to monetary policy, and that residents’response to the changes of interest rate increases and the response to changes in the money supply decreases with the enhancement their market consciousness. Interest rate changes to the residents per capita income consumption expenditure of each group shows obvious influence regularity. The higher the income level, the weaker the influence of the change interest rates on consumer spending residents.
In open economy conditions, the effect of the monetary policy is influenced not only by domestic economy, but also by international economic fluctuations. In the situation of current global financial integration, how to ensure the independence of the monetary policy is a difficult problem. And exchange rate target has become one of the key goals that the monetary authorities’monetary policy pursues. At present, many scholars has introduced foreign pressure index (EMP) to study the monetary policy in the framework of open economy. The sixth chapter first analyzed the effect mechanism of monetary policy tool on monetary base from an angle of the central bank assets and liabilities structure and expounded the significance of exchange market pressure and the monetary policy relationship. Secondly, this chapter measured the RMB exchange market pressure measurement index (EMP) and analyzed its characteristics. Finally a vector error correction model was specified which included the foreign exchange market pressure index and the relationship between the foreign exchange reserves and monetary policy variable, and the co-integration relationship of these variables was identified based on the constraints of monetary policy and exchange-rate appreciation pressures. Then the relationship between monetary policies, the foreign exchange reserves and exchange rate fluctuations and the interaction between monetary policy orientation of the central bank and the exchange rate appreciation pressure on the interactions in the framework of open economy were studied. Results show that: (1) There is a cointegrating relationship between the EMP, foreign currency reserves, credit and interest rates. EMP can be reduced by Foreign currency reserves, credit, size shrinkage, interest rates will decline to, namely in the foreign exchange market pressure will appear. And there is also a cointegrating relationship between foreign exchange reserves, EMP and M2. An increase in exchange rate appreciation pressure or M2 will lead to the expansion of foreign exchange reserves. (2) The monetary authorities in our country are perplexed by "ternary paradox" in the long term. Under the condition of the relaxation of capital restrictions, that the central bank use rate tools to control the excess liquidity situation will lead to capital flow and thus the exchange rate bears on greater pressure, therefore the central bank may need to rely more on credit control to deal with foreign exchange market pressure fluctuations. After the global financial crisis, central Banks should gradually return to the original intentions: the moderately expand of exchange rate fluctuations interval, more flexibility to market equilibrium level, independent release appreciation or depreciation pressure. (3) The foreign exchange reserve growth is favor to cope with the financial crisis and favor to the appropriate looser monetary policy to relieve the pressure of RMB appreciation, but with monetary policy tightening, the RMB appreciation pressure will rise as well as the foreign exchange reserves. They will promote each other mutually. Eventually central bank should adopt a more flexible exchange rate policy in order to relieve pressure of RMB appreciation.
本篇论文力图从参与货币政策传导过程的各社会主体行为决策方式的角度出发对近年来中国的货币政策机制和效应进行定性与定量分析,尽管作者已不遗余力,但学识有限,不足和错误之处恳请不吝赐教。
With the reform of China's financial and economic system, monetary policy has been one of the main macroeconomic control measures. In recent years, the transmission mechanism and effects of China’s monetary policy have been a focus of the economic theory and the practice fields. But the transmission mechanism and the effects of the monetary policy are the results of the selection behaviors of all social main bodies in the interaction process. That the transformation of the commercial banks’credit behavior, the enterprises’investment decisions and the residents’consumption behavior that the economic system reform brings,and the changes of the target that the central bank pursues in the open economy condition has greatly changed the transmission mechanism and the effects of China’s monetary policy and is one of the principal reasons of the effect present asymmetric. This dissertation tries to research on the relations of the China’s monetary policy and the decision-making behaviors of the Commercial Banks’credit, the enterprises’investment, and the residents’consumption using qualitative and quantitative analysis methods that include vector error correction model (VECM), panel-data model, structural vector autoregression model (SVAR),time-varying Parameter model and the linear regression model (OLS).
The main content of the first chapter in this dissertation is about the background and basic theory and general introduction. Among them, the related theory of monetary policy and the recent research aspects in this paper for Chinese literature that were summarized provides theoretical basis for monetary policy transmission mechanism and effects of the study. In the second chapter, the reform processes of Chinese financial system, enterprise management system, and the investment system, the employment system and the social security system were introduced as well as the influences of these systems’reform on the China's monetary policy transmission mechanism. Considering the asymmetrical features of the effects of the monetary policy in recent years, asymmetric VECM model was used to analyze the impacts of actual consumption and the actual investment under the shock of monetary policy. The conclusions are that monetary policy effect is obvious asymmetry regardless of long-term or short-term and that response speed and response style of the banks and enterprises, residents behaviors under the monetary policy shock are different in the different stages of economic cycle. These differences are the main reasons of the monetary policy effect asymmetry characters. From the third chapter, the responses of commercial bank credit, enterprise investment, and consumption behavior under the impact of monetary policy were studied.
Credit channel is main channel of China's monetary policy transmission. Considering the function of credit rationing, Bernanke and Blinder (1988) established a CC-LM model which can be used as a theoretical framework for the study of the effect of commercial bank credit behavior on the monetary policy. In the third chapter, this article studied the influencing factors affecting the reaction commercial bank credit under the impact of monetary policy from a perspective of commercial bank credit behavior decision-making. Based on the empirical analysis of China's banking loan structure, financing structure and concentration, loan-based indirect financing is the main financing method. In the credit markets, due to the relatively low level of loan growth of the four main banks compared to other share-holding commercial Banks, although the four main banks have advantages in the share in the bank credit market, their absolute monopoly position has begun to shake. Finally three main characteristic indexes which affect the decision of commercial bank loans to were constructed while CC - LM model monetary credit econometric model and commercial bank credit on monetary policy reaction panel data model are specified. The empirical results show that our country commercial bank monetary policy direction and credit reaction monetary policy direction are corresponding, the joint-stock banks’monetary policy reaction degrees are above four main state-owned commercial Banks, four state-owned commercial bank capital adequacy significantly affect its monetary policy reaction intensity of credit, joint-stock commercial bank's size and liquidity clearly influence its monetary policy credit reaction intensity.
With the proportion of self-raised funds as the source of capital investment in fixed assets in the whole society is increasing, the style of enterprise investment responsed to monetary policy has important implications on the monetary policy effect. Based on the theory of enterprise, the fourth part studied that style from a perspective of corporate investment theory. After the analysis of enterprise investment growth and in total financial expenditure growth and monetary growth and the actual interest rate variation tendency, based on the analysis of the structure of vector auto-regressive (SVAR) model, I did empirical research on the enterprise investment response on the conditions of fiscal and monetary policy shock response respectively in the money supply exogenous assumption and currency supply endogenous assumption precondition. By using January 1998 ~ April 2009 monthly data, the empirical research shows that: in the different stages of economic cycle, money supply that central bank controls is different, causing monetary policy implementation effect in deviation. In the economic prosperity stage, with the higher level of social capital efficiency and no surplus liquidity, central bankers can more easily control the money supply by adjusting the monetary base and monetary multiplier. In this stage, money supply of exogenous is stronger and monetary policy effect is remarkable. In recession stage, while investment opportunities which can be chosen are less, currency liquidity is relative surplus and endogenous monetary policy strengthens. The expansionary monetary policy that central bank takes cannot increase money supply and the effect of monetary policy weakens. Although financial expenditure on enterprises investment may produce positive effects in short-term, the negative influence may stronger than positive effect, so positive fiscal policy has obvious extrusion effect on enterprises investment.
Consumer demand is the main part of social demand, and the investment lack of the consumer demand will become invalid investment. This can not only waste resources but also make against the sustainable development of national economy so that expanding consumer demand has become the focus of macroeconomic control. The fifth chapter analyzed the response style of consumption under the impact of monetary policy based on the analysis of traditional theory of consumption. By using variable parameter model to analyze the 1990-2008 China consumer reaction to monetary policy condition and using the linear model to analyze the response difference of town residents' consumption of different income groups of monetary policy, I get the results that consumers are sensitive to monetary policy, and that residents’response to the changes of interest rate increases and the response to changes in the money supply decreases with the enhancement their market consciousness. Interest rate changes to the residents per capita income consumption expenditure of each group shows obvious influence regularity. The higher the income level, the weaker the influence of the change interest rates on consumer spending residents.
In open economy conditions, the effect of the monetary policy is influenced not only by domestic economy, but also by international economic fluctuations. In the situation of current global financial integration, how to ensure the independence of the monetary policy is a difficult problem. And exchange rate target has become one of the key goals that the monetary authorities’monetary policy pursues. At present, many scholars has introduced foreign pressure index (EMP) to study the monetary policy in the framework of open economy. The sixth chapter first analyzed the effect mechanism of monetary policy tool on monetary base from an angle of the central bank assets and liabilities structure and expounded the significance of exchange market pressure and the monetary policy relationship. Secondly, this chapter measured the RMB exchange market pressure measurement index (EMP) and analyzed its characteristics. Finally a vector error correction model was specified which included the foreign exchange market pressure index and the relationship between the foreign exchange reserves and monetary policy variable, and the co-integration relationship of these variables was identified based on the constraints of monetary policy and exchange-rate appreciation pressures. Then the relationship between monetary policies, the foreign exchange reserves and exchange rate fluctuations and the interaction between monetary policy orientation of the central bank and the exchange rate appreciation pressure on the interactions in the framework of open economy were studied. Results show that: (1) There is a cointegrating relationship between the EMP, foreign currency reserves, credit and interest rates. EMP can be reduced by Foreign currency reserves, credit, size shrinkage, interest rates will decline to, namely in the foreign exchange market pressure will appear. And there is also a cointegrating relationship between foreign exchange reserves, EMP and M2. An increase in exchange rate appreciation pressure or M2 will lead to the expansion of foreign exchange reserves. (2) The monetary authorities in our country are perplexed by "ternary paradox" in the long term. Under the condition of the relaxation of capital restrictions, that the central bank use rate tools to control the excess liquidity situation will lead to capital flow and thus the exchange rate bears on greater pressure, therefore the central bank may need to rely more on credit control to deal with foreign exchange market pressure fluctuations. After the global financial crisis, central Banks should gradually return to the original intentions: the moderately expand of exchange rate fluctuations interval, more flexibility to market equilibrium level, independent release appreciation or depreciation pressure. (3) The foreign exchange reserve growth is favor to cope with the financial crisis and favor to the appropriate looser monetary policy to relieve the pressure of RMB appreciation, but with monetary policy tightening, the RMB appreciation pressure will rise as well as the foreign exchange reserves. They will promote each other mutually. Eventually central bank should adopt a more flexible exchange rate policy in order to relieve pressure of RMB appreciation.
引文
1本节中计算各项指标所用的基础数据均来自中国经济信息网(http://202.199.163.12:86/)中国经济统计数据库。
2参见:万解秋,徐涛:《货币供给的内生性与货币政策的效率——兼评我国当前货币政策的有效性》,《经济研究》, 2001年第3期
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[3]张厚义,中国私营企业主阶层成长的新阶段、新情况、新问题,http://www.showchina.org/gqbg/2009/02/200902/t265198.htm
[4]中国网:民营企业多指标高于全国平均水平凸显灵活机制,http://www.china.com.cn/economic/txt/2009-09/09/content_18494389.htm
[5]中国金融家网,厉以宁:货币紧缩政策无助解决信贷结构问题,http://www.zgjrj.com/hbzc/20100103-50.htm
2参见:万解秋,徐涛:《货币供给的内生性与货币政策的效率——兼评我国当前货币政策的有效性》,《经济研究》, 2001年第3期
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19参见:于春晖主编,《中国经济体制改革30年》,上海:上海财经大学出版社,2008.12,P799。
20参见:于春晖主编,《中国经济体制改革30年》,上海:上海财经大学出版社,2008.12,P560-561。
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25曹龙骐主编,《货币银行学》,高等教育出版社,2000年
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[1]段进:我国股票市场和货币政策的相互影响研究[D],湖南大学博士论文,2007年。
[1]曹小衡、张敬庭:中国货币政策效果的非对称性[J],《山西大学学报(哲学社会科学版)》2008年第2期。
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[7]陈学彬、杨凌、方松:货币政策效应的微观基础研究——我国居民消费储蓄行为的实证分析[J],《复旦学报(社会科学版)》2005年第1期。
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