经济增长、结构失衡与流动性过剩——论我国当前流动性过剩的成因与对策

由于社会保障制度的不完善和分配结构的不合理,经济增长带来居民收入增长的同时,消费需求难以有效放大,储蓄和净出口的高增长成为必然。储蓄的高增长导致银行的存贷差上升,其分流导致股市和房市的流动性过剩;净出口的持续高增长和国际资本的大量涌入导致国际收支持续的高顺差。由于汇率缺乏弹性,基础货币的被动增加和货币乘数的预期外上升一并导致货币供给过剩。强化储备货币发行国的发行约束;调整外贸发展战略,优化产业结构;扩大消费需求;扩大汇率浮动区间;提高货币政策的科学性等措施可以有效控制和利用流动性过剩。     

Demand for money in developing countries: Some theoretical and empirical results

This paper examines the role of credit restraint variables in the demand for money function for developing countries where interest rates are inoperative. A simultaneous equation model is proposed to allow for the interaction between these variables and the supply of money. Statistical results indicate that credit restraint variables in the demand for money function have stronger explanatory power than either the inflation rate or the real rate of return on money. The paper also deals with partial demand adjustment and adaptive expectations mechanisms with particular reference to the existence of credit rationing and substitution between money and real assets.     

Money Velocity in an Endogenous Growth Business Cycle with Credit Shocks

The paper sets the neoclassical monetary business cycle model within endogenous growth, adds exchange credit shocks, and finds that money and credit shocks explain much of the velocity variations. The role of the shocks varies across subperiods in an intuitive fashion. Endogenous growth is key to the construction of the money and credit shocks because these have similar effects on velocity, but opposite effects upon growth. The model matches the data's average velocity and simulates well velocity volatility. Its Cagan-like money demand means that money and credit shocks cause greater velocity variation, the higher is the nominal interest rate.     

Are expectations of inflation rational? or Is variation of the expected real interest rate unpredictable?

The joint hypothesis developed and tested in this paper is that the nominal interest rate is a rational expectation of the real interest rate plus the inflation rate and that variation of the expected real interest rate is unpredictable on the basis of information used in the test. This test is applied to quarterly data on three-month United States Treasury bills of 1954 to 1973. The information used in the tests includes, besides past interest rates and inflation rates, past growth rates of the source base, the money supply, and real GNP. Some of the tests allow for a positive marginal tax rate, which changes the results little. The hypothesis is generally consistent with the data, which provides support for the proposition that predictable changes of the money supply do not affect expected real interest rates over periods as short as a quarter.     

A Clower constraint model of unbacked money

The stylized monetary facts — (1) money growth causes inflation, (2) inflation is bad, (3) money demand depends upon the nominal interest rate, (4) the real interest rate equals a parametrically fixed rate of time preference, and (5) investment depends upon the real interest rate — are produced in a Grandmont-Younes modified Clower constraint model of money. Inflation is distorting, but is no one's intertemporal rate of substitution. Inflation discourages trade, but not investment. As a by-product the Friedman hypothesis, that the optimal deflation equals the rate of time preference, is confirmed in the model.     

Money supply announcements and interest rates: Does monetary policy matter?

Most current explanations of the effect of money supply announcements on the rate of interest center on central bank policy. This paper analyzes a flexible price macroeconomic model where present and future monetary policy have no influence on either interest rates or real output, but monetary data signal information about real economic activity which influences both short- and long-term real rates of interest. The magnitude of the interest rate response is shown to depend on the difference in the income elasticities of currency and deposit demand and the relative size of monetary and real disturbances to the economy.     

土地资产价格波动与经济中的流动性供给——基于以地融资视角的研究

本文通过构建理论模型探讨土地资产价格波动与流动性供给之间的关系。在本文模型中,土地兼具生产资本与抵押资产属性,银行贷款同时受到投资需求、抵押品价值与信贷额度的约束。本文主要结论是:(1)土地资产价格在低于一个由基础货币供给决定的临界值后,能影响企业的抵押品价值并反映投资需求变化,故而与存款货币流动性供给正相关。这也使土地资产价格变化与企业杠杆周期一致且具有“预期自我实现”特征。(2)基础货币供给能够通过影响土地的流动性价值的方式来引导土地资产价格,前提是央行可掌握土地资产价格外生变化的原因。(3)信贷资产证券化会提高存款货币供给与土地价格的关联度,但也会削弱基础货币供给对土地价格的引导能力。本文的研究有助于认识土地资产价格与货币政策效果以及系统性金融风险的关联机制,为房地产调控政策提供启示。     

General equilibrium real and nominal interest rates

We derive the general equilibrium short-term real and nominal interest rates in a monetary economy affected by technological and monetary shocks and where the price level dynamics is endogenous. Assuming fairly general processes for technology and money supply, we show that an inherent feature of our equilibrium is that any real variable dynamics, in particular that of the short-term real interest rate, is driven by both monetary and real factors. This money non-neutrality is generic, as it does not stem from any friction such as price stickiness, or from a particular utility function. Non-neutrality obtains because the ex ante cost of real money holdings is random due to inflation uncertainty. We then analyze in depth a specialized version of this economy in which the state variables follow square root processes, and the representative investor has a log separable utility function. The short-term nominal rate dynamics we obtain encompasses most of the dynamics present in the literature, from Vasicek and CIR to recent quadratic and, more generally, non-linear interest rate models. Moreover, our results pave the way to several new nominal term structures.     

Central Bank Digital Currency,Credit Supply,and Financial Stability

We examine the implications of central bank digital currency (CBDC) for credit supply and financial stability using a monetary general equilibrium model. The introduction of deposits in CBDC account decreases credit supply by banks, raising the nominal interest rate and lowering a bank's reserve-deposit ratio. This increases the likelihood of bank panic in which banks exhaust cash reserves. However, once the central bank can lend all the deposits in CBDC account to banks, an increase in the quantity of CBDC which does not require reserve holdings can enhance financial stability by increasing credit supply and lowering nominal interest rate.     

Inflation,wealth and interest rates in an intertemporal optimizing model

This paper analyzes the relationship between the growth of the money supply and capital accumulation in a monetary optimizing model. Under certain conditions we show that a large intertemporal elasticity of substitution makes the nominal rates of interest undershoot its long-term value, that a low elasticity gives rise to overshooting, while a unitary elasticity is shown to make the nominal rate of interest a constant. These considerations plus explicit attention paid to the income and substitution effects induced by the changes in the nominal rates of interest provide us with an understanding of the correlation between growth of money and capital accumulation.     

Monetary randomness and investment

This paper develops a neoclassical model in which the behavior of the money supply affects investment by affecting the real distribution of asset returns. Investment depends on wealthholders' demand for capital. A stochastic money growth rule influences portfolio choice by affecting the distribution of the inflation rate. The variance of inflation matters to wealthholders because of the existence of assets with returns that are not indexed to changes in the price level: money and bonds which are contracted in nominal terms. In a rational expectations environment, asset demands will thus be sensitive to the distribution of the money growth rate. Our principle conclusion is that an increase in the variance of the money growth rate lowers investment, which complements Tobin's (1965) result that an increase in the mean stimulates capital accumulation. The paper also represents a step toward incorporating an asset market into a macroeconomic model in a manner which takes account of Lucas' (1976) criticism of econometric policy evaluation. All variables in the model, including asset return distributions, are functions of technology, preferences and the money supply rule. Further, expectations are rational.     

时变概率的区制转换泰勒规则设计及其“稳定器”作用机制研究

本文将传统泰勒规则发展为具有时变转换概率的马尔科夫区制转换泰勒规则,基于Kim(2004)以两步MLE方法估计了该货币政策规则,并证明了其稳定器作用。研究发现:(1)货币政策中规则性成分的稳定器作用存在非对称性,在区制一内,规则性成分不存在稳定器作用,在区制二内,规则性成分有较强稳定器作用;(2)货币政策中相机抉择成分可以影响各区制的自我演化概率,在进行相机抉择逆周期调控的同时,又可以引导经济系统转向规则性成分有稳定器作用的区制。文章最后根据该货币政策规则的稳定器作用机制给出货币政策操作模式,在经济增长放缓时期,中央银行应该以增大基础货币增长和宽松型窗口指导为直接操作工具,以短期名义利率为中间目标;在经济高涨时期,中央银行应该以提高直接标价法的中美汇率水平和上调存款准备金率为直接操作工具,以短期名义利率为中间目标。     

Demand and supply functions for money in Canada: Some further evidence

The demand and supply functions for money in Canada are estimated in a simultaneous-equation model format in which the supply of money is considered endogenous. The results indicate that the important determinants of the demand for money are income, short-term interest rate and lagged real cash balance variables. Wealth is an unimportant explanatory variable in money demand thus rejecting the hypothesis that an increase in outside wealth increases the demand for money. The monetary base and cash reserve ratio are important explanatory variables in the money supply function and play a direct role in monetary control.     

Financial innovation,new assets,and the behavior of money demand

Two fundamental changes in US banking regulations have affected the behavior of money demand (M1). The first authorized checkable deposit accounts paying explicit interest rates. The second allowed these rates to be market determined. The theoretical literature does not directly address the impact of these events, suggesting that they are primarily an empirical issue. However, the empirical literature has yet to agree on the impact of financial innovation on money demand; for example, several studies report an increase in the elasticity of money demand, several others report a decline. This paper uses a Lancaster-type choice model to analyze formally the expected impact of these two changes on the demand for money. The model derives specific conditions under which (i) the demand for money increases as new assets are introduced and (ii) the impact of either the introduction of new assets or the elimination of interest rate restrictions on the elasticity of money demand.     

关于我国利率和利率传导关系的思考

当前我国银行体系利率大致可分为货币市场利率和信贷市场利率,其中由央行指定的利率主要有存贷款基准利率、再贴现率等。在货币市场上,隔夜同业拆借利率具有基准利率的地位。在信贷市场上,在特定时期,保持适当的存贷款利差具有积极意义。由于一些阻碍信贷市场与货币市场统一的制度安排的存在,这两个市场间的利率传导呈现出一定的不对称性。为推进利率市场化,进一步完善我国利率体系,下一步应逐步弥合市场分割,加强货币市场基准利率建设,培育商业银行利率定价能力。     

德国利率市场化改革的特点与其金融业发展

利率市场化是指金融机构在货币市场经营融资的利率由市场供求来决定,它包括利率决定、利率传导、利率结构和利率管理的市场化。文章考察了德国利率市场化改革的特点及其对金融业发展的积极影响。德国利率市场化改革分步骤平稳推进。改革后,在全能银行模式下德国金融业没有出现象美、英那样的银行集中倒闭危机;银行贷款在非金融部门融资中仍居于主导地位,而住户部门的金融资产结构发生显著变化;德国的货币政策主要是通过改变银行的流动性来影响金融市场利率,进而间接影响银行信贷政策以及实体经济。     

Divisia Monetary Aggregates,the Great Ratios,and Classical Money Demand Functions

King et al. ( 1991 ) evaluate the empirical relevance of a class of real business cycle models with permanent productivity shocks by analyzing the stochastic trend properties of postwar U.S. macroeconomic data. They find a common stochastic trend in a three‐variable system that includes output, consumption, and investment, but the explanatory power of the common trend drops significantly when they add money balances and the nominal interest rate. In this paper, we revisit the cointegration tests in the spirit of King et al., using improved monetary aggregates whose construction has been stimulated by the Barnett critique. We show that previous rejections of the balanced growth hypothesis and classical money demand functions can be attributed to mismeasurement of the monetary aggregates.     

THE BEHAVIOR OF U.S. SHORT-TERM INTEREST RATES SINCE OCTOBER 1979

Short-term interest rates in the United States have been “too high” since October 1979 in the sense that both unconditional and conditional forecasts, based on an estimated vector autoregression model summarizing the prior experience, underpredict short-term interest rates during this period. Although a nonstructural model cannot directly answer the question of why this has been so, comparisons of alternative conditional forecasts point to the post-October 1979 relationship between the growth of real income and the growth of real money balances as closely connected to the level and pattern of short-term interest rates. This finding is consistent with the authors' earlier conclusion, based on analysis of a small structural macroeconometric model, that the high average level of interest rates has been due to a combination of slow growth of (nominal) money supply and continuing price inflation, which together have kept real balances small in relation to prevailing levels of economic activity.     

The role of money supply shocks in the short-run demand for money

Previous money-demand models are either inconsistent with contemporaneous adjustment of the price level to expected changes in the nominal money supply or imply implausible interest-rate fluctuations in response to innovations in nominal money. We propose a shock-absorber money- demand model in which money supply shocks affect the synchronization of asset transactions and so engender a temporary increase or decrease in desired money holdings. Expected changes do not engender such fluctuations in real money inventories. In simultaneous estimates for eight industrial countries, the shock-absorber model proved empirically superior.     

居民风险偏好与中国货币政策的宏观经济效应——基于DSGE模型的数量分析

当前,我国宏观经济形势复杂多变,货币政策实施效果的影响因素随之呈现多样化特征。在此背景下,本文试图以风险偏好为研究视角,对我国居民风险偏好水平变动与货币政策宏观经济效应之间的关系进行分析。本文以标准新凯恩斯模型为基础,构造符合我国宏观经济现实特征的DSGE(动态随机一般均衡)模型,并对转型时期的最优混合型货币政策规则进行研究;为进一步强调货币在中国宏观经济波动中所扮演的重要角色,模型中引入消费和实际货币余额不可分的跨期效用函数形式。研究结果表明:(1)包含名义货币增长的混合型泰勒规则拟合我国转型时期的货币政策规则效果最佳,因此货币供应量仍是重要的政策工具;(2)与可分性模型相比,不可分模型拟合我国宏观经济现实特征的效果更优。在不可分效用函数下,与货币供应量相关的实际货币余额将影响经济的产出缺口和通货膨胀,使得居民风险偏好成为决定货币政策效果的重要因素。具体而言,当居民风险偏好水平上升时,货币政策对我国宏观经济波动的影响随之增强。因此,在选择货币政策实施时点上,应充分考虑市场中的风险偏好情况,从而更好地发挥货币政策调控宏观经济的职能。