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
2013-08-29 第6卷 第5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

货币政策利率工具有效性的实证研究

梁辉 对外经济贸易大学国际经济贸易学院

最优货币政策和最优金融稳定政策的一般均衡分析

郭敏 对外经济贸易大学金融学院
赵继志 对外经济贸易大学金融学院

Financial Development Dampening Macroeconomic Fluctuation in China: Evidence Using EGARCH

Yaojun Yao Zhejiang Gongshang UniversityCollege of Finance
Xiaoyi Zeng Southwestern University of Finance and EconomicsCollege of Finance,

货币政策调整对企业投资的微观效应

刘可 暨南大学经济学院

Financial Intermediation Development and Economic Fluctuation in China: Evidence Based on Time Series

Yaojun Yao Zhejiang Gongshang UnivertyFinance School


论文摘要

货币政策利率工具有效性的实证研究

梁辉对外经济贸易大学国际经济贸易学院

利率工具作为央行货币政策的重要组成部分,也是实施货币政策的主要手段之一。中央银行根据货币政策实施的需要,适时地运用利率工具,对利率水平和结构进行调整,以此影响社会资金供求状况,调节微观经济主体的具体经济行为,进而实现既定的货币政策目标。 自2008年经济危机以来,中国人民银行多次利用存款准备金率和利率工具对国家宏观经济进行调节,特别是2010年以来为了应对由之前过度宽松货币政策导致的严重通胀形势,央行5次提高存贷款基准利率,12次提高存款准备金率至21.5%的历史高位。尽管如此,但是国内利率水平依然处在低位,实际利率持续为负。存准率过度提高导致货币供给大幅减少,利率水平维持低位使货币需求上升,这样扭曲的货币政策导致了我国宏观经济在各方面的失衡,并且遭到了来自各界的非议。究竟利率工具的宏观经济调控效果如何呢,为何央行不愿意使用价格型货币政策工具——利率进行调控呢?虽然目前存准率工具的使用次数要远多于利率工具,但是随着今后利率市场化改革的深入推进和我国金融体制的开放改革,今后利率调控工具将会成为央行调节宏观经济运行节奏的主要手段。因此,研究利率政策调控对宏观经济的影响将有助于我们明确利率调控的效果、认清宏观经济变化的原因,在利率市场化的背景下也能够为央行制定科学的货币政策提供决策依据。 本文是按照“回顾改革以来利率政策的调整历史→实际利率变动对主要宏观经济目标的实证检验→影响利率政策效果的原因分析→增强利率调控效果的政策建议”的基本思路,展开全文的分析讨论。在对改革开放三十年以来的利率政策历史回顾分析的基础上,采用定性和定量分析相结合的方法,对利率变动与经济增长率、通货膨胀率以及城镇登记失业率进行实证检验,得出不同阶段实际利率的变化对不同宏观经济目标的影响。在此基础上得出全文结论,实际利率与经济增长率的关系从正相关逐渐发展为负相关,与通胀率则是显著的负相关,而实际利率与城镇登记失业率则呈现很弱的相关性。然后具体分析影响我国利率政策调控宏观经济效果的原因,主要包括利率管制政策、金融市场发展建设及经济主体行为三个方面。最后在前文讨论的基础上提出增强利率调控效果的政策建议,主要包括放松利率管制、继续推进利率市场化改革、完善货币市场发展建设、加强央行宏观调控能力等方面。 Interest rate policy is an important component of monetary policy,also the one main instruments of monetary policy implementation.According to the People’s Bank of China monetary policy needs in a timely manner,use of interest rate tools,include the level of interest rates and interest rate structure in order to affect the supply and demand of funds,micro-economic regulation of the main acts,and to achieve monetary policy objectives. After 2008 world economic crisis, the interest rate and deposit-reserve ratio has been changed more times to adjust China’s macroeconomic. Especially since 2010 to cope with the serious inflation caused by the prior overly lax monetary policy, the central bank raised the benchmark deposit and lending interest rates 5 times and 12 times to raise the deposit reserve ratio to 21.5% highs. In spite of this, but the domestic interest rate level is still low, the real interest rate is negative for longtime. Money supply is greatly reduced by the excessive increase of deposit reserve ratio, and monetary demand rises because the level of interest rates remains low. Such distortion of the monetary policy in our country makes our macro economy imbalance in all aspects, and has received criticism from all walks of life. How about the interest rate tool of macroeconomic regulation and control effect, why the central bank is not willing to use price monetary policy tools -- interest rate regulation? Although the deposit-reserve ratio has been changed more than the interest rate, but with the market-oriented reform of interest rate and financial system, interest rate regulation will be the main method of macroeconomic adjusting control. So studying on macroeconomic effects of real interest rate would help us to be more clearly knowing the results of the interest rate policy and understanding the reasons for changes in the economy. Furthermore,in our country, the interest rate is not fully market-oriented, the study is also helpful for authorities to make the correct monetary and interest rate policy. “Review the history of interest rate policy adjustment from Reform and Opening up→the empirical test of real interest rate on the main macroeconomic goals→the reasons analysis which have influence on the effects of interest rate policy→the policy recommendations which make interest rate regulation more effective" This is the main train of thought of this paper, around which expand the analysis and discussion. Based on the review of the history of interest rate policy after Reform and Opening-up from 1980, used the combination of qualitative and quantitative analysis, through analyzed the effects of real interest rates which impacted on the three macroeconomic objectives, include the GDP growth rate、the inflation rate and the urban registered unemployment rate, we get the result that in different stages, the interest rate policy have different impacts on economic objectives. At the last, we get the whole conclusion and analyzed the reasons which caused interest rate policy to be ineffective on the macro economy. Finally, according to China’s financial market, this paper gave some reform suggestions which can make interest rate policy to be more effective on macro economic adjusting control.

最优货币政策和最优金融稳定政策的一般均衡分析

郭敏对外经济贸易大学金融学院
赵继志 对外经济贸易大学金融学院

本文建立一个含有商业银行风险承担意愿的一般均衡模型,同时,将货币政策目标和金融稳定目标纳入统一的政策目标分析框架。理论模型的分析结果表明:在单一货币政策目标的情况下,货币政策与金融稳定政策具有完全替代性;当且仅当货币政策和金融稳定政策充分协调时,才能实现物价稳定和金融稳定的政策效果。

Financial Development Dampening Macroeconomic Fluctuation in China: Evidence Using EGARCH

Yaojun Yao Zhejiang Gongshang UniversityCollege of Finance
Xiaoyi Zeng Southwestern University of Finance and EconomicsCollege of Finance,

The topic about the nexus of economic fluctuation and financial development in China is being on cutting-edge research. Using monthly time series data from 2001 to 2012 in China, the present paper examines the nexus of fluctuation of economic growth and financial development. Based on an exponential generalized autoregressive conditional heteroskedasticity (EGARCH) model with exogenous variables, the present paper suggests that financial development has statistically significantly reduced fluctuation of economic growth, which is in line with theoretical expectation that financial development as a shock absorber to mitigate economic volatility.

货币政策调整对企业投资的微观效应

刘可暨南大学经济学院

货币政策将显著改变企业外部环境,进而对企业的经营活动,特别是投资行为产生重大影响。本文采用我国上市公司2001-2011年相关数据,验证了两次紧缩性货币政策下不同企业所受到的冲击。研究发现:紧缩性货币政策对公司过度投资存在异质性的影响,其显著抑制了小规模、弱担保能力公司的过度投资;但并未发现国有化程度低的公司过度投资受到抑制的证据。该研究深化了关于企业过度投资的理论,进一步扩展了对货币政策微观传导机制的认识。

Financial Intermediation Development and Economic Fluctuation in China: Evidence Based on Time Series

Yaojun Yao Zhejiang Gongshang UnivertyFinance School

Using annual time series data (1978-2010), the present paper examines the nexus between financial intermediation development and economic fluctuation in China. The time series properties of the data are analyzed by bounds testing approach, ARDL model and vector error-correction model. The empirical results show that, there is long-term negative equilibrium relationship between financial intermediation development and economic fluctuation margin. However, although the short-term dynamics of volatility in economy growth can make adjustments in light of the long-term equilibrium relationship, it is not enough for economic fluctuation margin to revert to the equilibrium only through the error correction mechanism. Meanwhile, using the Granger causality test based on error correction model, the present paper finds the empirical evidence to support unidirectional Granger causality from financial intermediation development to economic fluctuation margin.


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