我国广义货币供应量M2的回归模型与预测

货币供应量是货币政策工具重要的中介变量。该文通过分解我国货币供应量的诸多宏观影响因素,尝试建立一个较为完整的货币供应量多变量回归模型,揭示宏观经济变量对货币供应量的影响程度,并运用该模型对货币供应量的短期变化进行预测,以期为把握宏观经济形势、理解货币政策变化及预判金融市场走势提供参考依据。检验结果表明,该模型对货币供应量的预测比较符合实际情况。     

货币乘数影响因素的扩展分析

货币乘数是货币供应理论的核心变量,在当代经济金融环境下,货币乘数的大小和变化受到中央银行货币政策、监管部门监管要求、商业银行资产负债选择以及社会公众行为偏好的共同影响。本文在对货币乘数影响因素进行扩展分析的基础上,构建了新的货币乘数决定模型,并进行了实证计量检验。研究结果表明,监管要求对广义货币乘数的影响最大,货币政策对货币乘数的影响已不是决定因素,这也为我国实施宏观审慎管理提供了重要的必要性依据。     

Money creation within the macroeconomy: An integrated model of banking

We develop a monetary framework to describe a macroeconomic system consisting of households, firms, the government, the central bank, and banks. The framework is based on the balance sheets of all sectors, in which the monetary flows between them govern the dynamics of the items. The whole system evolves over time and eventually attains a stationary state. Using this integrated model, we find that all flows coming from banks, including issuing loans, purchasing bonds, paying dividends, and paying interest on deposits, create money. On the contrary, all flows going to banks, including receiving repayments, selling bonds, issuing equities, and receiving interest on loans and bonds, destroy money. These flows associated with the behaviors of money creation and destruction are core factors that determine stationary states. We show the relationships between these flows and stationary stocks, especially the quantity of money. We also present the dependence of final output on these flows. We analyze the effects of monetary policies, such as changing the rate on loans and the amount of bank reserves. We find that an increase in the rate may yield higher output, while injecting more reserves may result in lower output.     

内生金融理论视野中的基础货币供给

内生金融理论认为 ,中央银行基础货币的供给并非是由中央银行完全控制的外生变量 ,而主要是由经济体系内生决定的。本文首先阐述了内生金融理论的主要观点 ,然后在此视野内 ,分别考察了我国基础货币供给四种方式的内生性 ,最后得出要培育良性的货币供给内生机制的启示 ,建议中央银行采取古典的货币供给模式和“钉住利率型”的中介目标 ,以此促进金融经济的稳定、发展     

Money supply,interest rate,liquidity and share prices: A test of their linkage

The money supply impacts on interest rate and liquidity were first proposed in 1961 by Friedman, the late Nobel laureate. The liquidity effect has yet received unanimous empirical support. Also, research interest on liquidity subsided in the 2000s. Using quarterly data over 1960–2011 and simultaneous solution to a system of equations, this paper reports positive liquidity effect from money supply. By extending the system of equations with a liquidity equation and after controlling the effect of earnings, evidence is found of a significant positive effect from liquidity on share prices. Money supply is found to be endogenous as in post Keynesian theory. These findings, obtained after solutions to several econometric deficiencies in prior studies, provide clear verification of the endogenous money supply theory, money effect on liquidity and on the extension of the model for a liquidity effect on asset prices.     

基础货币被动投放下和率与货币供应量的关系

货币供应量是我国货币政策的中介目标,影响货币供应量的一个关键变量是利率。一般来讲,利率与一国的货币供应量为反相关关系,但这一关系在我国基础货币被动投放的情况下需要重新考量。鉴于我国处在利率市场化的过渡时期,管制利率与正在培养中的市场基准利率Shibor并存,应该通过Shibor作为中间变量来分析央行调控管制利率对货币供应量的影响。     

基于ARINA模型的我国广义货币供应量变动规律研究

货币供给对我国货币政策运行乃至整个宏观经济调控具有重要意义,广义货币供应量的规模及其变化趋势直接影响到中央银行货币政策的执行效果。本文运用ARIMA模型,对1996年1月至2012年1月期间我国广义货币供应量的变动规律进行研究,并运用模型对给定样本期内的M2值进行了预测,结果表明本文建立的ARIMA模型具有良好的预测精度。     

2010年1～9月国内金融形势评述

2010年前三季度,货币信贷市场平稳运行,金融体系持续稳定健康。主要特点是：货币增速总体呈回落态势;人民币贷款投放平稳,中长期贷款需求保持旺盛;企业存款和储蓄存款增速由降转升;银行间市场交易活跃,市场利率总体有所回升;人民币汇率弹性增强,9月末海外市场对人民币升值预期比上年末有所减弱。     

2011年上半年国内金融形势评述

2011年上半年,国内金融运行总体平稳。主要特点是：货币供应量增速总体呈现回落态势,符合稳健货币政策要求;社会融资规模保持合理水平,直接融资作用继续增强;贷款增长向常态回归,其中中长期贷款同比少增较多;企业存款平稳增长,居民储蓄意愿明显增强;银行间市场交易保持活跃,市场利率明显上升;与上年末比,人民币汇率升值2.33%,海外市场对人民币升值预期明显减弱。     

直接债务融资对货币供应的影响分析

本文以货币派生传导原理为基础框架,通过引入货币供应融资比对不同融资模式对货币供应的影响进行理论模型研究,并进一步通过对广义货币供应量、贷款余额及债券托管量三者之间关系构建回归模型,从实证角度验证理论推导的结果,进而对发展债券市场、提高货币政策实施有效性给出政策建议。     

国库库存纳入货币统计口径的可行性分析

货币供应量是我国货币政策的中介目标,目前我国货币供应量调控成本巨大,调控目标越来越难以实现,一些经济学家提出扩大货币统计口径的范围,给出了M3、M4等货币供应量指标,以引起货币当局对全社会资金的重视。与此同时,我国国库库存余额逐年加大,季节性波动明显,国库库存变动对与货币供应量和宏观经济的影响越来越大,在货币政策操作中需要密切关注国库库存的运行变化。本文首先描述了我国国库库存与货币供应量的特征,并分析了两者关系;接着探讨了将国库库存纳入货币统计口径的理论依据;然后利用近十年的数据检验将国库库存纳入货币统计口径后的实际效应;最后得出:货币当局将国库库存变量纳入中介目标监控体系,将有助于提高货币政策的有效性,并在结论的基础上给出相应的政策建议。     

信贷与资产价格关系研究——来自中国房地产市场的证据

货币政策与资产价格之间的关系一直以来都是学术界研究的重点,但从房地产信贷视角分析房地产价格的文献却相对较少。本文基于多元MGARCH—BEKK模型和GRACH均值方程模型分析了房地产信贷、货币供应量与房地产价格的波动相关性以及它们的各种波动对房地产价格的影响。研究发现,房地产信贷增长的波动能影响房地产价格的增长,而货币供应量的波动,对房地产价格增长影响不显著。同时实证分析显示在对房价的调控中,房地产信贷的调控是抑制房价波动的一个工具选项。以银行信贷为主的货币供应量已经不能全面反映社会的流动性状况。与货币供应量相比,社会融资总量指标与实体经济指标的联系更加紧密。     

开放经济条件下我国货币内生性问题研究

1994年以来,基础货币投放中外汇占款所占比例越来越高,我国货币供给表现出很强的内生性。本文把货币内生性放在开放经济的框架下进行研究,在对货币内生性基本原理进行阐述的基础上,对强制结售汇与盯住汇率制度组合下我国货币供给的内生性问题进行探讨,分析了货币内生性对我国货币政策的影响,在此基础上就如何应对挑战、提高货币政策有效性提出了政策建议。     

Does bank lending affect output? Evidence from the U.S. states

This paper uses a panel of state-level data to test whether changes in bank loan supply affect output. Since the U.S. states are small open economies with fixed exchange rates, state-specific shocks to money demand are automatically accommodated, leading to changes in lending if banks rely on deposits as a source of funding. Using these shocks as an instrumental variable, I find that shocks to money demand have large and statistically significant effects on the supply of bank loans, but loans have small, often negative and statistically insignificant effects on output.     

How do banks create money,and why can other firms not do the same? An explanation for the coexistence of lending and deposit-taking

Thanks to the recent banking crises interest has grown in banks and how they operate. In the past, the empirical and institutional market micro-structure of the operation of banks had not been a primary focus for investigations by researchers, which is why they are not well covered in the literature. One neglected detail is the banks' function as the creators and allocators of about 97% of the money supply (Werner, 1997, Werner, 2005), which has recently attracted attention (Bank of England, 2014a, Bank of England, 2014b, Werner, 2014b, Werner, 2014c). It is the purpose of this paper to investigate precisely how banks create money, and why or whether companies cannot do the same. Since the implementation of banking operations takes place within a corporate accounting framework, this paper is based upon a comparative accounting analysis perspective. By breaking the accounting treatment of lending into two steps, the difference in the accounting operation by bank and non-bank corporations can be isolated. As a result, it can be established precisely why banks are different and what it is that makes them different: They are exempted from the Client Money Rules and thus, unlike other firms, do not have to segregate client money. This enables banks to classify their accounts payable liabilities arising from bank loan contracts as a different type of liability called ‘customer deposits’. The finding is important for many reasons, including for modelling the banking sector accurately in economic models, bank regulation and also for monetary reform proposals that aim at taking away the privilege of money creation from banks. The paper thus adds to the growing literature on the institutional details and market micro-structure of our financial and monetary system, and in particular offers a new contribution to the literature on ‘what makes banks different’, from an accounting and regulatory perspective, solving the puzzle of why banks combine lending and deposit-taking operations under one roof.     

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.     

作为货币政策调控目标的货币供应量和信贷规模

货币政策一般认为,作为金融数量指标的货币供应量在货币政策调控中占据着核心地位,而排斥另一重要金融数量指标——信贷规模的作用。本研究试图利用我国自1998年以来的经济金融数据,通过计量方法,比较货币供应量、信贷规模作为核心金融指标的适用性,发现:(1)信贷规模和货币供应量各自在不同意义上都是最稳定的,并且,各自与经济活动之间的关系一样规则而稳定,没有证据表明何者更具优势;(2)在同时引入货币供应量和信贷规模时,大大提高了对实体经济的解释能力;(3)货币供应量的变化依存于信贷规模的变化,表明信贷规模在我国经济金融中占据一定地位。这些结论对于理解我国货币政策传导机制是有意义的,表明政策调控时,应同时关注货币供应量和信贷规模这两个指标。     

外资银行信贷行为对我国货币供应量影响的实证分析

目前,同业往来是外资银行人民币资金的重要来源,短期贷款是外资银行资金运用的主要渠道。外资银行信贷行为不受信贷调控指导,增加了货币供给的不确定性,对货币供应量的可控性产生了影响。外资银行对我国各个区域货币供给影响程度差异也很大。实证分析发现,外资银行贷款已经开始对我国M1产生了一定的影响,需要引起宏观金融调控部门的关注。     

2010年国内金融形势评述

2010年,金融体系总体保持平稳运行,货币条件由＂反危机＂状态逐步向常态回归。主要特点是：广义货币M2和狭义货币M1增速明显低于上年水平;贷款投放较为适度,投资项目资金得到有效保障;企业存款增速高位回落,储蓄存款增速由降转升,活期化倾向明显增强;银行间市场交易活跃,市场利率低位回升;人民币汇率弹性明显增强。     

Financial Dampening

We propose a novel mechanism, “financial dampening,” whereby loan retrenchment by banks attenuates the effectiveness of monetary policy. The theory unifies an endogenous supply of illiquid local loans and risk sharing among subsidiaries of bank holding companies (BHCs). We derive an instrumental variable (IV) strategy that separates supply-driven loan retrenchment from local loan demand by exploiting linkages through BHC internal capital markets across spatially separate BHC member banks. We estimate that retrenching banks increase loan supply substantially less in response to exogenous monetary policy rate reductions. This relative decline has persistent effects on local employment and thus provides a rationale for slow recoveries from financial distress.