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逻辑平滑转移机制、信贷约束与不确定性:对中国货币政策的应用

ISBN:978-7-5161-5956-9

出版日期:2015-12

页数:208

字数:209.0千字

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引用量:5次

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从1992年开始,中国货币政策开始侧重运用利率工具对通胀和通缩进行调控,但对通胀和通缩的调节幅度不尽相同。例如:为抑制1996年之前的通胀,1995年央行将金融机构贷款利率提高0.24%,而对于2000年前后的通缩,1998—2002年央行又连续5次降息,1年期存款利率由5.67%降至1.98%,平均每次降息为0.738%;2007—2008年上半年,为抑制经济中出现的流动性过剩和通胀,央行连续6次加息,1年期存款基准利率从2.52%上调至4.14%,累积上调幅度为1.62%,平均每次升息为0.27%;随后,为抵制全球性金融危机的冲击,从2008年下半年开始,央行又连续5次降息,1年期存款基准利率从4.14%下调至2.25%,累积下调幅度为1.89%,平均每次降息为0.38%。这表明,在通胀和高增长时期,中国央行实施从紧货币政策时升息的速度较慢、幅度较小;而在通缩和低增长时期,中国央行实施宽松货币政策时降息的速度较快、幅度较大。这些事实很可能意味着,对于通胀和通缩,中国货币政策的反应呈现出非线性和非对称特征,这也是相关实证文献的一致结论。实证研究还表明,中国货币政策会产生不确定性理性预期均衡,中国CPI通胀率在1992—1996年和2005—2008年均形成了一个“窄尾正驼峰”式的轨迹,这一事实在一定程度上也验证了不确定性的结论。因此,中国货币政策具有非线性、非对称性、不确定性的特征。中国于1996年1月建立起全国性的同业拆借市场,同年5月,放开同业拆借利率,实现了同业拆借利率市场化。随后,一系列利率逐步放开:短期证券市场、贴现市场在近年来发展迅速,国债利率也基本实现了市场化。同时,贷款通过先实行浮动利率,后逐步调宽浮动幅度的办法,向利率放开过渡。2000年9月,又放开了外币贷款利率和外币大额定期存款利率。2002年5月,全国已经有八家农村信用社开始尝试更大程度上的浮动利率制。从2004年以来,中国金融机构更是出现基准利率上浮30%、30%—50%、50%—100%甚至100%以上的贷款占比。中国“十二五”规划将实现利率全面市场化作为金融改革重点。这自然就引出一个问题,即如何有序稳妥推进中国利率市场化改革。或者说,如何有效避免利率全面放开对中国金融体系乃至整个经济体系造成的负面冲击。利率市场化改革意味着中国宏观调控手段将转向以利率调控为主的管理手段。这表明,解决上述问题的关键是要研究中国利率市场化改革过程中影响中国利率传导的关键因素,以及如何完善中国利率市场化所需的制度基础。本书正是基于中国货币政策非线性、非对称性、不确定性以及利率市场化过程中的信贷约束的现实背景,在LRE模型框架内,进行对中国货币政策规则效应、信贷约束的货币政策传导效应及其不确定性理论分析与实证检验。本书除导言、结论与政策建议外,分五章分别展开论述。第二章采用逆序建模法基于逻辑平滑转移函数构建非线性、非对称理性预期模型。第三章基于LRE模型对逻辑平滑转移非线性货币政策规则与不确定性进行理论分析,并给出了逻辑平滑转移的货币政策规则的确定性参数区域与不确定性参数区域。第四章在LRE模型框架内,综合运用贝叶斯方法、GMM、SVAR、NLS以及校准等方法,实证检验逻辑平滑转移的非线性货币政策规则与不确定性,包括分析中国逻辑平滑转移的货币政策规则的非线性与非对称性特征;基于阈值和转移速度,在阈值两侧分别考察不同转移机制下中国逻辑平滑转移的货币政策规则的广义冲击响应路径。第五章对信贷约束对货币政策利率传导效应的不确定性影响进行了理论分析,通过定性比较信贷约束下的信贷传导效应和利率传导效应,以价格调控为主的利率传导效应要优于以数量调控为主的信贷传导效应。第六章从中国货币政策传导机制实际考虑,在LRE模型框架内,基于IS曲线的LS计量模型和GMM计量模型,分别实证分析了中国信贷约束的利率传导效应,以及放松信贷约束的货币政策效应。在此基础上,从路径选择和制度建设两个层面提出加快中国利率市场化改革和加强中国利率传导效应的政策建议。本书特点主要体现在以下两个方面:(1)在理论方面。本书分别从逻辑平滑转移机制和信贷约束两个视角对货币政策的LRE模型分析框架进行完善。首先,本书以逻辑平滑转移的非线性货币政策规则为前提,运用拉格朗日最优化方法,逆序构建逻辑平滑转移的非线性LRE模型。这一非线性理性预期模型不仅保证了逻辑平滑转移的非线性、非对称利率规则的最优性,而且能够给出作为货币政策传导机制的菲利普斯曲线的非线性形式,因而能更准确刻画货币政策传导机制和货币政策效果的非线性和非对称性。其次,本书将信贷约束引入作为LRE模型约束条件之一的IS曲线,进而比较信贷约束下的信贷传导效应和利率传导效应,以及放松信贷约束的货币政策效应。(2)在实证与模拟方面。本书基于LRE模型分别考察逻辑平滑转移机制与信贷约束对中国货币政策的不确定性影响。首先,在LRE模型框架内,本书模拟逻辑平滑转移的非线性货币政策规则与确定性参数区域和不确定性参数区域,实证检验中国逻辑平滑转移货币政策规则的非线性与非对称性特征;同时,基于阈值和转移速度,在阈值两侧实证分析不同转移机制下中国逻辑平滑转移的货币政策规则的广义冲击响应路径。其次,本书以金融机构贷款占比比率来刻画信贷约束指标,从而可以基于LRE模型的IS曲线,实证分析中国信贷约束的利率传导效应,以及放松信贷约束的货币政策效应。本书框架结构遵循这样一条技术路线展开:理论综述→理论建模→模型求解与分析→模型的经验检验或模拟分析→政策含义。在理论建模部分,本书将逻辑平滑转移机制函数和信贷约束指标引入LRE模型框架,对货币政策规则的基准LRE模型在非线性、非对称性与信贷约束下进行了改进与完善;在模型求解与分析部分,本书采用的是逆序建模方法、拉格朗日最优化动态规划方法以及最优控制理论;在模型的经验检验与模拟分析部分,本书采用贝叶斯方法、LS、GMM、SVAR、NLS及校准方法,并使用Eviews、Matlab和Dynare软件实现参数估计与冲击响应分析。这种结构框架和研究方法力图使本书体现现代经济学的研究规范。本书仍有诸多不足之处,主要体现在两个方面:(1)尽管本书分析的逻辑平滑转移的货币政策规则能够反映中国短期名义利率调整的非对称性和非线性特征,但近期相关研究也表明,这种短期名义利率调整的非线性有可能来源于货币政策规则反应系数的时变性,因此,研究时变货币政策规则的均衡确定性与不确定性是我们未来研究工作的重点方向之一。(2)在基于无信贷约束的IS曲线和带信贷约束的IS曲线实证研究中国信贷约束的利率传导效应时,所有实证结果的拟合优度和调整拟合优度的值较小,尽管这并不妨碍本书对信贷约束的利率传导效应的分析,但拟合优度值较小意味着,即使添加了信贷约束,IS曲线仍存在遗漏变量,这些遗漏变量对于中国信贷约束的利率传导效应准确的数量分析和影响因素分析至关重要。因此,对可能产生货币政策不确定性的外生冲击特别是“黑子”冲击的研究也将是我们未来研究工作的重点及方向。另外,本书在结构编排和观点建议方面也难免有不妥之处,我们将在未来的研究工作中深入思考,予以完善和改进。本书是在近三年来相关课题研究报告基础上修改整理而成的。这些课题包括:国家自然科学基金面上项目“中国通胀预期形成、前瞻性时变货币政策规则与收敛速度:基于适应性学习行为的实证研究与模拟”(项目编号:71373038);国家自然科学基金面上项目“上市金融机构系统性风险传导与演化机制实证与模拟研究”(项目编号:71273042);国家自然科学基金青年项目“基于逻辑平滑转移的非线性非对称性货币政策规则的不确定性检验:对中国货币政策的应用”(项目编号:71003016);教育部人文社科青年项目“基于Markov区制转移的中国通胀惯性特征及其货币政策应用”(项目编号:12YJC790169);辽宁省教育厅人文社会科学重点研究基地专项项目“通胀预期形成、学习效应与区域政策协调:基于辽宁省的实证研究与政策意涵”(项目编号:ZJ2013042);辽宁省高等学校优秀人才支持计划(WR2014012)“中国通胀预期形成、公众学习行为与可学习预期均衡:基于LRE模型的实证研究”。在研究与写作过程中,还得到了教育部、国家自然科学基金委、辽宁省教育厅、中国人民银行沈阳分行等多家单位的资助、协助和支持。此外,东北财经大学金融学院、科研处也给予了关注、理解和帮助,在此一并表示诚挚的谢意。特别感谢东北财经大学金融学院院长邢天才教授,邢院长往返北京数次,一直为本书的出版不辞辛劳地与出版社联系和沟通,我们对此铭感于心。最后,感谢中国社会科学出版社和卢小生主任,他们严谨高效的工作作风、认真负责的敬业精神以及训练有素的专业技能使本书增色不少,在此深表敬意。郭凯2014年5月于东财师学斋

Since 1992, China's monetary policy has focused on the use of interest rate tools to regulate inflation and deflation, but the adjustment of inflation and deflation varies. For example, in order to curb inflation before 1996, the central bank raised the lending interest rate of financial institutions by 0.24% in 1995, and for deflation around 2000, the central bank cut interest rates five times in a row from 1998 to 2002, and the one-year deposit rate was reduced from 5.67% to 1.98%, with an average rate cut of 0.738% each time; From 2007 to the first half of 2008, in order to curb excess liquidity and inflation in the economy, the central bank raised interest rates six times in a row, raising the benchmark interest rate of 1-year deposits from 2.52% to 4.14%, with a cumulative increase of 1.62%, and an average of 0.27% per interest rate hike; Subsequently, in order to resist the impact of the global financial crisis, since the second half of 2008, the central bank has cut interest rates five times in a row, and the benchmark interest rate for 1-year deposits has been lowered from 4.14% to 2.25%, with a cumulative reduction of 1.89%, with an average of 0.38% per rate cut. This shows that during periods of inflation and high growth, the pace and small rate hikes by the People's Bank of China when implementing tight monetary policy are slower; In times of deflation and low growth, the People's Bank of China cuts interest rates faster and more sharply when implementing loose monetary policy. These facts may well imply that China's monetary policy response to inflation and deflation is non-linear and asymmetric, which is the consistent conclusion of the relevant empirical literature. Empirical research also shows that China's monetary policy will produce uncertain rational expectation equilibrium, and China's CPI inflation rate formed a "narrow-tailed hump" trajectory in 1992-1996 and 2005-2008, which also verifies the uncertainty conclusion to a certain extent. Therefore, China's monetary policy is characterized by non-linearity, asymmetry and uncertainty. China established a nationwide interbank lending market in January 1996, and in May of the same year, it liberalized interbank lending rates, realizing the marketization of interbank offered rates. Subsequently, a series of interest rates were gradually liberalized: the short-term securities market and discount market have developed rapidly in recent years, and the interest rate of government bonds has basically achieved marketization. At the same time, loans are transitioning to interest rates by first implementing floating interest rates and then gradually widening the floating range. In September 2000, interest rates on foreign currency loans and large foreign currency time deposits were liberalized. In May 2002, eight rural credit cooperatives across the country began experimenting with a more variable interest rate system. Since 2004, Chinese financial institutions have raised their benchmark interest rates by 30%, 30%-50%, 50%-100% or even more than 100% of loans. China's 12th Five-Year Plan makes the realization of comprehensive marketization of interest rates the focus of financial reform. This naturally raises the question of how to promote the market-oriented reform of China's interest rates in an orderly and steady manner. In other words, how to effectively avoid the negative impact of the full liberalization of interest rates on China's financial system and even the entire economic system. The market-oriented reform of interest rates means that China's macro-control measures will shift to management methods based on interest rate control. This shows that the key to solving the above problems is to study the key factors affecting the transmission of China's interest rates in the process of China's interest rate marketization reform, and how to improve the institutional foundation required for China's interest rate liberalization. Based on the actual background of the nonlinearity, asymmetry, uncertainty and credit constraints in the process of interest rate liberalization of China's monetary policy, this book analyzes and empirically tests the effect of China's monetary policy rules, the monetary policy transmission effect of credit constraints and their uncertainty theory within the framework of LRE model. In addition to the introduction, conclusions, and policy recommendations, the book is divided into five chapters. The second chapter uses the reverse order modeling method to construct a nonlinear and asymmetric rational expectation model based on the logistic smooth transfer function. Chapter 3 provides a theoretical analysis of the nonlinear monetary policy rules and uncertainty of logical smooth transfer based on the LRE model, and gives the deterministic parameter areas and uncertainty parameter regions of the monetary policy rules of logical smooth transfer. Chapter 4 comprehensively uses Bayesian methods, GMM, SVAR, NLS and calibration methods within the framework of LRE models to empirically test the nonlinear monetary policy rules and uncertainties of logical smooth transfer, including analyzing the nonlinear and asymmetric characteristics of monetary policy rules of China's logical smooth transfer. Based on the threshold and transfer speed, the generalized shock response path of China's monetary policy rules of logical smooth transfer under different transfer mechanisms is examined on both sides of the threshold. Chapter 5 makes a theoretical analysis of the uncertain impact of credit constraints on the transmission effect of monetary policy interest rates, and by qualitatively comparing the credit transmission effect and interest rate transmission effect under credit constraints, the interest rate transmission effect based on price regulation is better than the credit transmission effect based on quantity regulation. Chapter 6 empirically analyzes the interest rate transmission effect of China's credit constraints and the monetary policy effect of loosening credit constraints respectively from the actual consideration of China's monetary policy transmission mechanism, and within the framework of the LRE model, the LS econometric model and GMM econometric model based on the IS curve are empirically analyzed. On this basis, from the two aspects of path selection and system construction, policy suggestions are put forward to accelerate the market-oriented reform of China's interest rates and strengthen the transmission effect of China's interest rates. The characteristics of this book are mainly reflected in the following two aspects: (1) In the theoretical aspect. This book improves the LRE model analysis framework of monetary policy from the perspectives of logical smooth transfer mechanism and credit constraint. Firstly, this book takes the nonlinear monetary policy rules of logical smooth transfer as the premise, and uses the Lagrangian optimization method to construct a nonlinear LRE model of logical smooth transfer in reverse order. This nonlinear rational expectation model not only ensures the optimality of the nonlinear and asymmetric interest rate rules of logical smooth transfer, but also gives the nonlinear form of Phillips curve as the monetary policy transmission mechanism, so it can more accurately characterize the nonlinearity and asymmetry of the monetary policy transmission mechanism and monetary policy effect. Secondly, this book introduces credit constraints into the IS curve as one of the constraints of the LRE model, and then compares the credit transmission effect and interest rate transmission effect under credit constraint, and the monetary policy effect of loosening credit constraint. (2) In terms of empirical and simulation. Based on the LRE model, this book examines the uncertain impact of logical smooth transfer mechanism and credit constraint on China's monetary policy. Firstly, within the framework of the LRE model, this book simulates the nonlinear monetary policy rules and deterministic parameter areas and uncertainty parameter regions of logical smooth transfer, and empirically tests the nonlinear and asymmetric characteristics of China's logical smooth transfer monetary policy rules. At the same time, based on the threshold and transfer speed, the generalized shock response path of China's monetary policy rules under different transfer mechanisms under different transfer mechanisms is empirically analyzed on both sides of the threshold. Secondly, this book uses the proportion of loans of financial institutions to characterize the credit constraint index, so that based on the IS curve of the LRE model, we can empirically analyze the interest rate transmission effect of China's credit constraint and the monetary policy effect of credit relaxation. The framework structure of this book follows such a technical route: theoretical review→ theoretical modeling→ model solving and analysis→ empirical testing or simulation analysis of models, → policy implications. In the theoretical modeling part, this book introduces the logical smooth transfer mechanism function and credit constraint index into the LRE model framework, and improves and perfects the benchmark LRE model of monetary policy rules under nonlinearity, asymmetry and credit constraints. In the part of model solving and analysis, this book adopts the inverse order modeling method, the Lagrange optimization dynamic programming method and the optimal control theory. In the empirical testing and simulation analysis of models, the book uses Bayesian methods, LS, GMM, SVAR, NLS, and calibration methods, and uses Eviews, Matlab, and Dynare software to implement parameter estimation and shock response analysis. This structural framework and research methodology seek to make this book reflect the research norms of modern economics. There are still many shortcomings in this book, mainly reflected in two aspects: (1) Although the logic smooth transfer monetary policy rules analyzed in this book can reflect the asymmetric and nonlinear characteristics of China's short-term nominal interest rate adjustment, recent relevant research also shows that this short-term nonlinearity of nominal interest rate adjustment may come from the time-varying nature of the response coefficient of monetary policy rules, so studying the equilibrium certainty and uncertainty of time-varying monetary policy rules is one of the key directions of our future research work. (2) When empirically studying the interest rate transmission effect of credit constraints in China based on the IS curve without credit constraint and the IS curve with credit constraint, the values of goodness-of-fit and adjusted goodness-of-fit of all empirical results are small, although this does not prevent the analysis of the interest rate conduction effect of credit constraint in this book, but the small goodness-of-fit value means that even if credit constraints are added, there are still missing variables in the IS curve. These missing variables are critical for accurate quantitative analysis and influencing factor analysis of the interest rate transmission effects of credit constraints in China. Therefore, the study of exogenous shocks that may produce monetary policy uncertainty, especially the "sunspot" shock, will also be the focus and direction of our future research work. In addition, there are inevitably some improprieties in the structure and suggestions of this book, and we will think deeply about it in future research work, improve and improve it. This book is based on the research reports on related topics in the past three years. These topics include: the National Natural Science Foundation of China's project "The Formation of Inflation Expectations, Forward-looking Time-varying Monetary Policy Rules and Convergence Speed: Empirical Research and Simulation Based on Adaptive Learning Behavior" (Project No. 71373038); National Natural Science Foundation of China, "Empirical and Simulation Research on Systemic Risk Transmission and Evolution Mechanism of Listed Financial Institutions" (Project No.: 71273042); National Natural Science Foundation of China Youth Project, "Uncertainty Test of Nonlinear Asymmetric Monetary Policy Rules Based on Logical Smooth Transfer: Application of China's Monetary Policy" (Project No. 71003016); Ministry of Education Humanities and Social Sciences Youth Project "China's Inflation Inertia Characteristics and Its Monetary Policy Application Based on Markov District System Transfer" (Project No.: 12YJC790169); Special Project of Key Research Base of Humanities and Social Sciences of Liaoning Provincial Department of Education "Inflation Expectation Formation, Learning Effect and Regional Policy Coordination: Empirical Research and Policy Implications Based on Liaoning Province" (Project No.: ZJ2013042); Liaoning Provincial Higher Education Institutions Excellent Talent Support Program (WR2014012) "The Formation of Inflation Expectations, Public Learning Behavior and Learnable Expectation Equilibrium in China: An Empirical Study Based on LRE Model". In the process of research and writing, he has also received funding, assistance and support from the Ministry of Education, the National Natural Science Foundation of China, the Department of Education of Liaoning Province, the Shenyang Branch of People's Bank of China and other units. In addition, the School of Finance and the Scientific Research Office of Dongbei University of Finance and Economics have also given attention, understanding and help, and would like to express our sincere gratitude. Special thanks to Professor Xing Tiancai, Dean of the School of Finance, Dongbei University of Finance and Economics, who has traveled back and forth to Beijing several times and has been working tirelessly to contact and communicate with the publishing house for the publication of this book. Finally, I would like to thank China Social Sciences Press and Director Lu Xiaosheng, whose rigorous and efficient work style, serious and responsible professionalism and well-trained professional skills have added a lot to this book. Guo Kai studied at Dongcai in May 2014(AI翻译)

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GB/T 7714-2015 格式引文
郭凯,闫思,闫瑶.逻辑平滑转移机制、信贷约束与不确定性:对中国货币政策的应用[M].北京:中国社会科学出版社,2015
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郭凯,闫思,闫瑶.逻辑平滑转移机制、信贷约束与不确定性:对中国货币政策的应用.北京,中国社会科学出版社:2015E-book.
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APA 格式引文
郭凯,闫思和闫瑶(2015).逻辑平滑转移机制、信贷约束与不确定性:对中国货币政策的应用.北京:中国社会科学出版社
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