中国金融学术研究网
CHINA FINANCIAL RESEARCH NETWORK

银行和金融机构--金融与宏观经济
工作论文
2009-08-18 第2卷 第4期

编: 麻省理工学院斯隆管理学院金融学讲席教授,清华大学经管学院特聘教授。

执行主编: 杨之曙清华大学经济管理学院金融学副教授。


本期目录

基于跨期均衡的最优外汇储备规模确定模型——模型求解和对中国的实证研究

张莹 中国社会科学院研究生院

货币政策能盯住资产价格吗——来自中国房地产市场的证据

王擎 西南财经大学金融学院
韩鑫韬 西南财经大学金融学院

M1和M2作为货币政策中介目标适用性的比较研究

耿中元 哈尔滨工业大学经济与管理学院
惠晓峰 哈尔滨工业大学经济与管理学院

The External and Domestic Side of Macroeconomic Adjustment in China

Roland Straub European Central Bank--
Christian Thimann European Central Bank--

Handling the Global Financial Crisis: Chinese Strategy and Policy Response

Zhichao Zhang Durham UniversityBusiness School
Wei Li East China Normal University-
Nan Shi Durham UniversityBusiness School


论文摘要

基于跨期均衡的最优外汇储备规模确定模型——模型求解和对中国的实证研究

张莹中国社会科学院研究生院

本文在Jeanne和Ranciere(2006)所建立最优储备规模确定模型的框架上进行延展,将一国划分为公共部门和私人部门两大类,并将中央银行的预算约束纳入模型考虑范围。在拓展的模型中,还考虑了在危机爆发时可能出现的存款外撤、本币贬值等对最优储备规模的影响。外汇储备可以在发生危机时平滑消费和投资水平,但是持有储备也需承担一定的机会成本。根据最优化模型的解,可以对中国的最优规模进行校准标准数值模拟,假定的基准标准最优储备水平表明在2002年到2005年间,我国的外汇储备规模略高于最优水平。此外,还根据数值模拟对各因素变动对最优储备规模的影响进行了敏感性分析。

货币政策能盯住资产价格吗——来自中国房地产市场的证据

王擎西南财经大学金融学院
韩鑫韬 西南财经大学金融学院

本文基于BEKK模型和GARCH均值方程模型分析了房地产价格、货币供应量与经济增长的波动相关性以及它们的各种波动对经济增长率的影响。研究发现:房价的波动以及房价与货币供应量的联动对GDP 增长速度有显著影响,会导致GDP增长率的下降;但房价的波动对经济增长的波动没有显著影响,而且货币供应量与房价的联动变化非常剧烈,房价与经济增长的联动对经济增长的波动影响也不显著。这说明应该控制房价波动,但是目前中央银行没有必要动用货币政策去直接干预房地产价格。

M1和M2作为货币政策中介目标适用性的比较研究

耿中元 哈尔滨工业大学经济与管理学院
惠晓峰 哈尔滨工业大学经济与管理学院

M1、M2均符合可测性要求。基础货币、Ml、 M2的增长趋势, M1、M2层次的乘数及流通速度的稳定性检验,以及基础货币和货币乘数与M1、M2的格兰杰因果检验结果均表明,M1比M2更具可控性。关于M1、M2的相关性特征,(1)M1、M2均与产出和物价之间存在协整关系,M1是实际GDP、通胀率的格兰杰原因,M2与实际GDP、通胀率则互为格兰杰原因。(2)通胀率对M1冲击具有持久的正向响应,对M2冲击无正向响应。实际GDP对M1冲击有显著、持久的正向响应,对M2冲击有不稳定的正向和负向响应。(3)超前一年的M1的相对增长速度的变化与通胀率的变化正相关。M1相对增长速度的变化在大多数年份都与实际GDP增长率的变化同步正相关。因此,我国仍应以M1作为货币政策中介目标,将M2作为观测目标,并要加强对M1的相对增长速度的调控。

The External and Domestic Side of Macroeconomic Adjustment in China

Roland Straub European Central Bank--
Christian Thimann European Central Bank--

This paper sheds new light on the external and domestic dimension of China's exchange rate policy. It presents an open economy model to analyze both dimensions of macroeconomic adjustment in China under both flexible and fixed exchange rate regimes. The model-based results indicate that persistent current account surpluses in China cannot be rationalized, under general circumstances, by the occurrence of permanent technology or labor supply shocks. As a result, the understanding of the macroeconomic adjustment process in China requires to mimic the effects of potential inefficiencies, which induce the subdued response of domestic absorption to permanent income shocks causing thereby the observed positive unconditional correlation of trade balance and output. The paper argues that these inefficiencies can be potentially seen as a by-product of the fixed exchange rate regime, and can be approximated by a stochastic tax on domestic consumption or time varying transaction cost technology related to money holdings. Our results indicate that a fixed exchange regime with financial market distortions, as defined above, might induce negative effects on GDP growth in the medium-term compared to a more flexible exchange rate regime.

Handling the Global Financial Crisis: Chinese Strategy and Policy Response

Zhichao Zhang Durham UniversityBusiness School
Wei Li East China Normal University-
Nan Shi Durham UniversityBusiness School

The global financial crisis is hitting China hard with great adversity. In response, China start to formulated the plan for dealing with the financial crisis and its possible fallout in June 2008 when China was in the critical stage of putting up the Olympic Games. The Chinese leadership judges the crisis is going to be a serious disaster but not as bad as the great depression of the 1930s. An America-type crisis is unlikely to happen in the country and the main threat would be the Chinese real sector being dragged down under, which in turn sparks a crisis in the financial sector. China’s strategy for combating the crisis therefore is to deal with the immediate crisis effects in the real economy in the first place, and looks for opportunities in the meantime. The overwhelming emphasis is placed on expanding domestic demand to fuel growth. Following this strategy, China has rolled out a comprehensive package of combating measures. The fiscal expansion hit the headlines with extensive government financial support for infrastructure and public service projects. Yet the Chinese monetary stimulus is actually more powerful. The stance of Chinese monetary policy has changed from being precautionary against inflation with flexibility to appropriate easing to promote growth. After several rounds of rate cuts, the Chinese version of quantitative easing takes the central stage. In China’s battle with the financial crisis, the monetary stimulus is playing a leading role at the moment. The international dimensions of China’s monetary policy typify how China turns a crisis into a world of opportunity. China has taken a conservative approach to managing her reserves in which the huge international reserves are taken as self insurance rather than an avenue for international leverage. Within this framework and if safety of these foreign assets can be assured, China can provide finance to countries in crisis through international financial organisations. In addition to the Panda Bonds, the chief way for China to make funding contribution is through IMF. For this matter, China supports the motion to increase the IMF’s lending capacity and would buy the bonds it issues. China is actively calling for reform of international financial architecture. Chinese advisers have publically argued that the increase in China’s funding contribution has to be paralleled by an increase in China’s profile in the power structure in the IMF. In many occasions, China has also acted as spokesman of the emerging and developing economies by making cases for increasing their say in world financial affairs. But on the whole, China has been cautious not to committing herself too much as she knows probably she has little to gain from international policy coordination. Against this backdrop, China has chosen to focus on regional financial cooperation proactively and considerable progress has been made in this area. China’s dealing with the current financial crisis is unassuming. What she has done is down-to-earth common sense. However, the Chinese approach is shown signs of working. Despite the early success of crisis handling, there remain fundamental problems in China’s structure of economic growth. How to redress structural imbalances in the economy, to boost domestic demand, to calm down the property market and, above all, to create millions of jobs, are still the major huge challenges China is facing.


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