中国货币政策对银行风险承担行为的影响研究——基于异质性视角

国际金融危机的爆发引发了理论界对货币政策是否影响银行体系稳定更为广泛的关注。文章基于异质性视角构建动态面板数据模型对货币政策与银行风险承担行为之间的关系进行估计,研究结果表明：2003-2011年,货币政策变量对银行风险偏好的影响具有时滞性,贷款利率提高有助于抑制银行风险,货币供应量增加会刺激银行更加冒险;不同银行对货币政策冲击会做出异质反应,随着资本充足率的提高,货币政策对银行风险承担行为的影响效果减弱。因此,加强中国人民银行在宏观审慎监管中的主导作用、建立逆周期的货币政策和资本监管协调机制是后金融危机时代我国监管当局的重要议题。     

Bank lending channel in a dual banking system: Why are Islamic banks so responsive?

We examine the interest rate sensitivity of both deposits and credits at Islamic and conventional banks in Turkey. We find that the bank lending channel is especially operative for Islamic banks. Impulse responses for conventional and Islamic banks reveal that Islamic bank depositors’ sensitivity to policy rate changes is substantially larger than that of conventional bank depositors. Next to heavily dependence on deposit funding, we consider that inertia in Islamic bank deposit rates impedes these banks to keep those depositors who consider the opportunity cost of monetary policy rates is unbearable. On the lending side, we obtain similar results, implying that tight monetary policy leads to a larger contraction in Islamic bank credits. This finding is a reflection of the favourable attitude of Islamic banks towards small and medium‐sized enterprise (SME) financing. When similar relationships are analysed for currency and inflation shocks, we again find larger responses for Islamic banks showing the cyclical nature of SME credits.     

美国货币政策调整对中国的溢出效应与传导机制研究

文章基于高频识别和反事实分析方法研究后发现,美国货币政策冲击对我国宏观经济的影响及其传导途径在2008年金融危机前后具有显著的不一致性。在金融危机前,美国的货币政策冲击主要通过汇率渠道对我国通货膨胀与产出产生显著的正向影响;在金融危机后,美国的货币政策冲击主要通过基础货币渠道对我国的宏观产出与物价产生显著的负向影响。这种不一致性是由央行逆周期调节在金融危机前后的差异所导致的:金融危机前,央行为抑制人民币汇率过快升值,被动实行扩张性货币政策,导致我国通货膨胀走高;而金融危机后,央行追随美国紧缩性货币政策,逆向调节美国货币政策冲击对人民币汇率的影响,加剧了我国宏观产出的负向波动。     

利率政策与汇率政策协调搭配的文献综述

当前,我国经济已经进入了一个市场化与国际化的转型时期,在经济全球化背景下,利率政策和汇率政策在我国货币政策中的作用日益显著。我国很多学者在这一领域进行了积极的探索,部分成果实现了学术突破,但对于价格型货币政策即利率政策和汇率政策的综合研究还远远不够丰富和深入。我国应进一步深入研究利率政策和汇率政策的交互作用下对中国宏观经济的影响程度,这种影响是否与货币当局的预期相吻合;包含汇率政策在内的扩展的泰勒规则在中国经济的适应性;研究价格型货币政策工具之间的协调机制。通过梳理利率与汇率的关系、利率政策与汇率政策有效搭配的相关理论,可以更好地为新时期我国利率政策和汇率政策的协调搭配提供参考。     

Dove or Hawk? Characterizing monetary policy regime switches in India

The past two decades have witnessed a worldwide move by emerging markets to adopt explicit or implicit inflation targeting regimes. A notable and often discussed exception to this trend, of course, is China which follows a pegged exchange rate regime supported by capital controls. Another major exception is India. It is not clear how to characterize the monetary regime or identify the nominal monetary anchor in India. Is central bank policy in India following a predictable rule that is heavily influenced by a quasi inflation target? And how has the monetary regime been affected by the gradual process of financial liberalization in India? To address these points, we investigate monetary policy regime change in India using a Markov switching model to estimate a time-varying Taylor-type rule for the Reserve Bank of India. We find that the conduct of monetary policy over the last two decades can be characterized by two regimes, which we term ‘Hawk’ and ‘Dove.’ In the first of these two regimes, the central bank reveals a greater relative (though not absolute) weight on controlling inflation vis-à-vis narrowing the output gap. The central bank however was found to be in the “Dove” regime about half of our sample period, focusing more on the output gap and exchange rate targets to stimulate exports, rather than moderating inflation. India thus seems to be following its own direction in the conduct of monetary policy, seemingly not overly influenced by the emphasis on quasi-inflation targeting seen in many emerging markets.     

Does bank efficiency affect the bank lending channel in China?

This work examines the impact of bank efficiency on the bank lending channel in China. Using a sample of 148 Chinese banks over the period 2006–2017, we investigate how the reaction of the loan supply to monetary policy actions depends on a bank's efficiency. We find limited evidence that bank efficiency hampers the effectiveness of monetary policy transmission. In addition, bank efficiency does favor the transmission of monetary policy for banks with low loan-to-deposit ratios. These results suggest that bank efficiency may influence the bank lending channel in certain cases.     

On the Link Between Exchange‐rate Regimes,Capital Controls and Monetary Policy Autonomy in Small European Countries, 1979–2000

We investigate international monetary‐policy transmission under different exchange‐rate and capital‐account regimes in eleven small, open economies during the 1980s and 1990s. We find no systematic link between ex‐post monetary‐policy autonomy and exchange‐rate regimes. Capital controls appear to have provided a degree of temporal insulation from foreign monetary policy shocks, though not strict autonomy. The results are consistent both with short‐term autonomy for small countries even under fixed exchange rates and an open capital account, and with long‐term dependence under flexible exchange rates and an independent stability target. Results also indicate that euro‐area market interest rates are significantly more responsive to the development of the corresponding US rate than were the previous national rates.     

The Role for Long‐run Target Values of the Exchange Rate in the Bank of Japan's Policy Reaction Function

This paper analyses whether the Bank of Japan (BoJ) had fundamental concepts in mind when carrying out interventions in the foreign exchange market. We start by considering different long‐run fundamental target values based on a monetary exchange rate model and compare them with more ad hoc targets. Based on these findings, we explain the intervention probability for the BoJ after 1991 based on an ordered probit model by accounting for subperiods and asymmetric effects. It turns out that estimated fundamentally based values for the exchange rate provide additional information for the decision to intervene, in particular after 1995. However, short‐run ad hoc targets seem to be very important, in particular from 1991 until 1995, while medium‐run ad hoc targets gain importance at the end of the 1990s. Overall, we find a ‘leaning against the wind’ strategy in the event of overvaluation relies on ad hoc targets while intervention in cases of undervaluation seems to be guided more strongly by deviations from fundamental values.     

Bitcoin price growth and Indonesia's monetary system

Concerned by the volatility of Bitcoin price growth (BPG), Bank Indonesia—Indonesia's central bank—discourages trading cryptocurrencies. We examine the relationship between Bitcoin price growth (BPG) and Indonesia's monetary aggregates (inflation, real exchange rate, and money velocity). In doing so, we develop the conceptual link between Bitcoin and monetary aggregates. We find strong and robust evidence that BPG leads to inflation growth, currency appreciation, and a reduction in money velocity. Our results have policy implications for other central banks in terms of achieving stability of the monetary system if BPG is indeed a concern for those countries.     

Open Economy Dynamics in a Floating Exchange Rate Developing Country Context

ABSTRACT

This article develops a wavelet-based control model to simulate fiscal, monetary, and real exchange rate scenarios in an open economy developing country with an inflation-targeting regime. We use South African macro data to jointly simulate optimal fiscal and monetary policy under varying scenarios for real exchange rate stability with interest rate parity. As real exchange rate stability increases, the model simulates the effects on the trade balance under both a constant and depreciating real exchange rate. We find that short-term cycle stability problems are somewhat mitigated by allowing the real exchange rate to depreciate.     

Policy dialogue between multilateral institutions and developing countries

The lending criteria applied by the IMF and the World Bank have been converging for some time. Considering also that since the floating of exchange rates in the early seventies the IMF seems to have lost in importance as a monetary institution, debate is growing on the question of whether the Fund needs to correct its policy course, to be assigned new tasks by its member countries or even to be amalgamated with the World Bank into one efficient development aid institution.     

我国货币政策工具有效性分析

货币政策工具的有效性决定了货币政策的最终效果,我国运用的货币政策工具主要有公开市场操作、准备金率、中央银行基准利率、信贷政策、再贷款、再贴现以及外汇市场的调控等。具体分析发现,我国近十年主要使用的货币政策工具,总体上可以对基础货币产生影响,但对其他因素（如流动性、外汇占款过大等）来说,货币政策工具的操作效果减弱。另外,货币政策内部传导机制中的时滞效应也使货币政策工具难以及时发挥作用。     

央行频繁提高存款准备金率的思考

法定存款准备金制度作为中央银行实施货币政策的＂三大法宝＂之一,其在货币信贷数量控制、货币市场流动性和利率调节,以及促进金融机构稳健经营、限制货币替代和资本流出入等方面发挥着重要作用。截至目前,央行已连续六次上调存款准备金率,商业银行的存款准备金率已达到历史高位。由于当前金融领域存在的一个突出问题就是持续贸易顺差、FDI（对外直接投资）和国际投机资本的大量进入导致外汇占款持续增加,造成被动性的货币投放增加,导致流动性不断扩张,通货膨胀压力加大。存款准备金率连续上调就是为了回收因外汇流入过多导致的过剩流动性,实施紧缩政策以应对日益强化的通货膨胀预期。     

信贷机制、货币乘数与货币政策有效性研究

本文在蒙代尔—弗莱明的分析框架下引入商业银行信贷机制,来考察固定汇率制下小型开放经济体货币政策的有效性问题,发现货币政策可以作为稳定经济的工具。文章指出,实行固定汇率制度的小型开放经济体,其货币政策具有一定的独立性,可以对实际产出产生一定的作用;不同的货币政策工具对实际产出发生作用的传导机制不同,从而导致效果不同,因此货币当局在对宏观经济进行调节时必须选择适当的货币政策工具。     

Imperfect asset substitutability and monetary policy under fixed exchange rates

This paper presents a long-run model of the open economy in a world of fixed exchange rates and imperfect substitutability between bonds denominated in different currencies. The model explicitly accounts for the wealth flow accompanying current-account imbalance and for the flow of interest payments associated with international lending. Both the dynamic and steady-state implications of the model are quite different from those of models that specify the capital account as a continuing flow responding to the level of interest rates. In particular, we find that when there exists outside government debt, open-market policy is not in general neutral in the long run. We also find conditions under which the central bank is able to hold the domestic price level constant in the face of an inflationary disturbance from abroad without exhausting, in the long run, its stock of domestic assets.     

Managed floating as a strategy to achieve selected monetary policy objectives

The paper considers the connection between exchange rate regimes and economic performance as measured by inflation, output growth, and their volatility. It is argued first that the choice of an intermediate exchange rate regime is complicated by potential conflicts with the requirements of central bank transparency and accountability. These are considered to be longer run questions. Next, three types of managed floating regimes are defined. A variety of counterfactual experiments are shown to illustrate that a managed float, such that the objective of monetary policy is expressed in terms of an inflation target, will produce the most desirable macroeconomic outcome. The counterfactuals are supplemented with estimates of forward-looking Taylor rules to ascertain whether such rules are informative under a managed floating scenario. In general, the answer is that central bank reaction functions become less useful when the exchange rate regime is an intermediate one.     

Inflation Targeting Framework and Interest Rates Transmission in Ghana: An Empirical Investigation

This paper investigates the long-and short-run rate of transmission of the prime rate to interest rates since the implementation of inflation targeting policy in Ghana. Monthly data covering the period January 2002 to March 2016 is used. The Johansen and Hansen parameter instability cointegration, the FMOLS and DOLS estimation procedures were used. The long-run results show incomplete pass-through of the prime rate to commercial banks’ lending and deposit rates but over pass-through to the 91-day Treasury bill rate. The short-run adjustment shows relatively slow transmission of the prime rate to the respective interest rates. Given the findings, relevant policy suggestions are provided.     

美联储量化宽松货币政策正常化与人民币汇率变动——基于时变参数向量自相关模型的研究

2015年后,随着量化宽松货币政策正常化和人民币汇率进入双向波动新常态,美国货币政策对人民币汇率的外溢效应日益显著。通过构建时变参数向量自相关模型对2008-2018年美联储量化宽松货币政策的实施和退出对人民币汇率的溢出效应进行研究,结果表明：美联储加息在滞后一季度作用人民币兑美元先升值后贬值,加息通过中美利差、产出差、货币供给之差分别作用于人民币兑美元贬值、升值和升值,利差渠道是主要作用渠道;美联储资产负债表扩张和缩减分别带来人民币汇率的升值和贬值,且扩张的升值影响大于缩减的贬值影响;美联储资产负债表和利率政策有一定替代性,替代关系存在明显的结构效应;美联储资产负债表的扩张和缩减分别带来中国银行间市场利率的下降和回升,两国利率表现出一定联动性。     

Monetary policy and long‐term interest rates: Evidence from the U.S. economy

This paper addresses the ability of central banks to affect the structure of interest rates. We assess the causal relationship between the short‐term Effective Federal Funds Rate (FF) and long‐term interest rates associated with both public and private bonds and specifically, the 10‐Year Treasury Bond (GB10Y) and the Moody's Aaa Corporate Bond (AAA). To do this, we apply Structural Vector Autoregressive models to U.S. monthly data for the 1954–2018 period. Based on results derived from impulse response functions and forecast error variance decomposition, we find: a bidirectional relationship when GB10Y is considered as the long‐term rate and a unidirectional relationship that moves from short‐ to long‐term interest rates when AAA is considered. These conclusions show that monetary policy is able to permanently affect long‐term interest rates and the central bank has a certain degree of freedom in setting the levels of the short‐term policy rate.     

“三元悖论”与中国汇率制度选择

＂三元悖论＂的基本原理是指在货币政策独立、资本自由流动和固定汇率这三个经济目标中最多只能同时实现两个,而该理论本身也存在理论假设过于绝对化,组合难以有效实现,政策组合难以执行的局限性。基于对中国资本流动现状和货币政策有效性分析和＂三元悖论＂的基本原理分析,得出我国的汇率制度选择终级目标是实现＂货币政策独立＋资本自由流动＋自由浮动汇率＂的政策组合。