股票市场的货币政策传导分析

货币政策的传导机制不是唯一的，金融市场的种种特征造成了货币政策传导的多样性，股票市场中的货币政策传导就具有独特的规律，在不与银行信贷的创造机制相连的前提下，信贷资金和股市资金的沟通是合理的，目前中国信贷市场和股票市场之间千丝万缕的关系，并没有为货币政策传导创造更加有效的机制基础，股票市场还不能成为货币政策的有效传导渠道。     

Asymmetric responses of money demand to oil price shocks in Saudi Arabia: a non-linear ARDL approach

Saudi Arabia is an open oil-based economy with fixed exchange rates; therefore, it has limited monetary policy autonomy. Using non-linear autoregressive distributed lag approach, this article investigates the asymmetric effects of oil price shocks on the demand of money in Saudi Arabia over the period 1990:Q1–2014:Q4. The empirical results show evidence of positive long run but asymmetric effects of oil price shocks on the money demand. In particular, we find that the positive oil price shocks are more important than negative shocks. Therefore, two policy responses can be considered: either sustaining the fixed exchange rate regime and following an economic diversification policy or switching towards a flexible exchange rate regime to achieve price stability. In that case, the existence of a stable money demand function in Saudi Arabia is a necessary precondition for adopting a monetary policy strategy targeted to price stability using instruments like money targeting.     

Substitution Between Money and Near-Monies in Switzerland

This paper investigates the substitutability between money and near-money assets during the period 1976 to 1996 in Switzerland. Financial developments have made a variety of instruments available to store wealth and conduct economic transactions. These developments have generated a “near money” component in households’ and businesses’ portfolio balances. It is important to evaluate the effect of “near-money” on money demand and the effectiveness of monetary policy. Towards this goal, five monetary assets: currency and demand deposits at commercial banks, demand deposits with the postal system, deposits on transaction accounts with banks, savings deposits and time deposits are considered. We evaluate the degree of substitutability among these assets using the Morishima elasticity. Results show that various monetary assets substitute for one another. Consistent with a high degree of diversification, the Morishima elasticity is significantly larger when adjustment takes place in the price of a relatively broader monetary asset as compared with a narrower one. Targeting a broad monetary aggregate captures a variety of assets that contribute to liquidity and aggregate demand, enhancing the effectiveness of monetary policy. Nonetheless, high elasticity of substitution between monetary assets has made it increasingly difficult to target money demand via changes in the interest rate. As a result, in 1999 the Swiss National Bank abandoned monetary targeting in favor of an expected inflation target.

     

Financial crises,exchange rate linkages and uncovered interest parity: Evidence from G7 markets

This paper examines the dynamic linkages among major exchange rates during the Global Financial Crisis and Eurozone Sovereign Debt Crisis. We extend the previous literature on volatility spillover linkages among the currencies by taking into account the uncovered interest-rate parity hypothesis for 2004–2015. The results indicate that the Canadian Dollar and Great British Pound were affected mainly by the US Dollar across the two crises due to strong financial and economic ties among the three economies, while the Japanese Yen shows evidence of a safe-haven currency. We also provide evidence of varying vulnerability of currencies to both crises, implying increased portfolio diversification benefits, since holding a portfolio with diverse currencies is less subject to systematic risk. These results show that the policy makers need to adopt a stricter form of monetary policy coordination among central banks, since the different vulnerability of currencies across turbulent periods reveals possible non-cooperative monetary policies.     

The Impact of Euro on Sectoral Equity Returns and Portfolio Risk

This paper examines the implications of the adoption of the euro and the resulting monetary policy integration for investors in the Euro area in terms of stock market diversification. In particular, we study the difference between investment strategies based on country indices and on sector indices. In addition, we use GARCH-M to model return and volatility for the daily sectoral euro equity indices from 1992 to 2009 to analyze how and to what extent volatility in the sector equity index is driven by shocks occurring in the US, aggregate European equity index, aggregate Euro Zone equity index, and the global equity index. We find strong evidence that diversification over sectors yields more efficient portfolios than diversification over countries and that the volatility spillover of the aggregated Euro zone equity return index on the sectoral equity return index has increased after the launch of the euro.     

略论中国货币政策有效性

在界定货币政策有效性的概念基础上对中国的货币政策效果进行实证分析,进而提出提高中国货币政策有效性的对策建议。货币政策目标的实现程度是衡量货币政策有效性的标志。货币政策有效性的内涵就是货币政策具有真实效应,能够对真实经济变量产生影响。货币政策有效性就是货币政策能够在保持物价稳定、国际收支平衡的前提下促进经济增长和降低失业。     

Understanding China’s monetary policy: an institutional perspective

Given China’s status as a large transitional economy, analysing the country’s monetary policy requires an understanding of the institutional and policy environment within which monetary policy operates. As China’s monetary policy has multiple objectives and the central bank is subordinate to the State Council in monetary policy decisions, addressing deep-rooted structural issues and improving governance and institutions are essential so that monetary policy can be more focused and effective. Confronted with the Impossible Trinity dilemma, China faces daunting challenges in tackling the inevitable policy choice between monetary autonomy and exchange rate control as its capital account increasingly liberalises. This article analyses China’s unique and evolving monetary policy framework from an institutional perspective and evaluates the challenges to monetary management and reforms. Relevant policy implications for monetary policy implementation are also discussed.     

多元化战略对管理层激励的影响--来自中国资本市场的经验证据

本文利用2001-2004年中国上市公司的数据,使用面板数据模型,对中国上市公司多元化与管理层激励之间的关系进行了检验.结果表明:现金薪酬水平与公司价值负相关,高管人员持股比例与公司价值之间是非线性关系,激励并没有发挥其应有的作用;多元化对公司价值的影响并不显著.当控制了影响多元化的公司内部因素后,我们发现国有股占主导地位的公司,多元化程度与现金薪酬之间是负向关系;多元化程度与管理层持股比例之间是正向关系.多元化程度与在职消费正相关.多元化决策是管理当局希望从多元化中获取更多的剩余收益和隐性的私人利益.     

中国货币政策的区域经济稳定效应分析——基于2000-2008年省份月度数据的实证研究

文章基于TVP-GARCH模型构建货币政策反应函数,利用时变参数模型构建包含货币政策变量的省份宏观经济波动模型,发现货币政策对各省份经济的稳定性作用并不明显,可预期的货币政策的省份稳定效应高于不可预期的货币政策,而经济冲击和货币政策制定层面引发的货币增长的不确定性,加大了省份经济波动;货币政策的经济稳定能力存在明显的省份差异,和经济周期同步性以及货币、信用和汇率三个传导渠道的省份特征密切相关。     

货币政策对金融生态的影响机理及实证检验——基于上市商业银行面板数据的分析

传统的货币理论忽视了货币政策对银行风险承担及金融生态的影响,文章从商业银行的微观视角出发研究了货币政策对金融生态的影响机理。理论层面,金融生态与货币政策制度供给、传导机制和有效性相互关联,货币政策则通过资产价格或估值机制、收入及现金流机制、追求收益机制、杠杆调整机制、道德风险机制和风险转移机制影响商业银行的风险承担;实证层面,构建了货币政策影响商业银行信贷投放和风险承担的数理模型,选取国有和股份制两类共12家上市商业银行2008-2013年的面板数据进行固定效应模型实证检验。结果表明,宽松货币政策导致商业银行的信贷投放规模增加、风险承担意愿增强,有利于优化金融生态,反之则反是;国有商业银行对货币政策变化更敏感,而股份制商业银行对金融生态更敏感。因此,在我国宏观经济管理中,需要货币政策与宏观审慎政策相互协调配合。     

货币政策、企业家信心与上市公司投资效率*

企业、企业家等微观主体对货币政策的反应，在较大程度上影响货币政策的效果。货币政策可通过对企业家信心的影响，进而对公司投资效率产生作用。基于中国2007—2016年40个季度A股上市公司样本的实证研究表明：企业家信心在货币政策传导过程中有不可忽视的作用。企业家信心增强或者货币政策宽松时会加剧过度投资，减轻投资不足；企业家信心减弱或者货币政策紧缩时可以有效抑制过度投资，但会加剧投资不足。其中，国有企业对企业家信心和货币政策松紧的敏感性更强。进一步，货币政策对企业投资效率的影响，也会通过货币政策和企业家信心的交互作用而发挥作用。这种作用在国有企业和非国有企业之间无显著差异。     

金融结构及其对货币传导机制的影响

本文在简要考察中国金融结构转型中货币政策机制 ,包括货币政策的工具、效率前沿和规则及相应的货币传导机制变迁轨迹的基础上 ,根据结构分割点原则 ,实证检验、估计和分析了金融结构变迁对货币政策的适用工具和反应函数的影响 ,以及对货币传导的利率机制 ,即由政策利率到市场利率、并进而到通胀率 -产出波动前沿的影响。基本的结论是 ,金融结构变迁深刻地影响着货币传导机制的性质和作用程度     

Asymmetric effects of monetary policy shocks on economic performance: empirical evidence from Turkey

This study investigates the asymmetric effects of monetary policy shocks on the macroeconomic variables of exchange rate, output and inflation for an emerging economy ? Turkey ? by using monthly data between 1990 and 2014. We employ the innovative nonlinear vector autoregressive model of Kilian and Vigfusson (2011), which allows us to observe the effect of different stances (tight or loose) and different sizes (small or large) of monetary policy actions. Our empirical evidence reveals that tight monetary policy, which, in this case, is captured with a positive shock to interest rate, decreases exchange rate, output and prices, as economic theory suggests. Loose monetary policy, which is captured with a negative shock to interest rate, has the opposite effect on these variables. However, the effects of loose monetary policy are weaker than the effects of tight monetary policy because loose monetary policy shocks are less effective than tight monetary policy shocks. Moreover, as the magnitude of a shock increases, the difference between the effects of tight and loose monetary policy policies also increases.     

基于资产价格影响的货币政策非对称性效应研究

利用NK-SVAR模型就我国货币政策的非对称性效应进行研究,结果表明,紧缩性货币政策的效果比较明显,而扩张性货币政策效果较弱.货币冲击的紧缩效应强于扩张效应,这表明抑制经济的过快增长时紧缩性的货币政策效果显著,但扩张性货币政策无法摆脱经济的恶性衰退.     

货币政策对房地产价格调控的非对称效应——基于STR模型

从货币政策的非对称效应的角度,运用非线性模型——STR模型,探究了中国货币政策与房地产价格的关系。研究结果表明:货币政策对房地产价格的影响确实因所处经济周期阶段的不同而发生变化;货币政策与房地产价格之间存在非线性关系;不同经济增长水平下货币政策对房地产价格的调控效应是不对称的;在调控房地产价格方面,我国货币政策的信贷传导路径比利率传导路径更有效。     

我国资产价格波动与货币政策关系研究

随着金融自由化的逐步推进,资本市场存量日益增大.这既体现了金融深化程度的提高,又意味着货币供应与国民经济主要指标之间稳定性的弱化.资产价格对货币政策的制订和执行会产生深刻的影响.其中股价、房价等资产价格在货币政策传导机制中扮演的角色越来越重要.本文从实证角度出发,通过构建VAR模型检验我国资产价格对货币政策的反应以及资产价格对货币政策目标的影响,发现资产价格、货币政策及货币政策目标间存在长期协整关系,资产价格对产出有正向冲击作用,股市显著影响通货膨胀,但房地产市场对通货膨胀推动作用不明显,资产价格受货币政策的冲击影响显著,其中股市对货币政策冲击的反应明显大于房地产市场.     

Does the Reserve Bank of Australia follow a forward-looking nonlinear monetary policy rule?

ABSTRACT

The conventional monetary policy rule describes a simple linear relationship between the domestic interest rate, inflation rate and output gap. An important extension to this rule is to incorporate the forward-looking behaviour of central banks, where it is assumed that they target an expected level of inflation instead of its current realised value. Using quarterly observations for the period 1993:1-2018:2, this paper investigates whether the conduct of monetary policy in Australia can be described by a forward-looking linear monetary policy rule, or by a nonlinear forward-looking monetary policy rule. In particular, the nonlinear forward-looking monetary policy rule is analysed in a regime-switching framework using a smooth logistic transition regression model. While the results show that the conventional forward-looking linear monetary policy rule describes the application of monetary policy in Australia reasonably well, the interest rate setting behaviour of the RBA is best described by a nonlinear forward-looking monetary policy rule.     

论中国的货币政策目标

货币政策目标是货币政策的核心 ,货币政策效果如何 ,表现为货币政策目标是否实现。本文回顾了中国两种不同货币政策目标的形成原因 ,认为近期内中国货币政策目标不会发生变化 ,从长期来看有可能变为四大目标。尽管把金融市场的稳定作为货币政策目标存在着操作上的困难 ,但中国的货币政策应该关注金融市场的稳定。     

Monetary and fiscal policy interactions: Evidence from emerging European economies

This paper examines the interactions between fiscal and monetary policy for some former transition, emerging European economies over the 1995Q1–2010Q4 period by using a Markov regime-switching model. We consider the monetary policy rule proposed by Taylor (1993) and the fiscal policy rule suggested by Davig and Leeper (2007) in accounting for monetary and fiscal policy interactions. Empirical results suggest that monetary and fiscal policy rules exhibit switching properties between active and passive regimes and all countries followed both active and passive monetary policies. As for fiscal policy, the Czech Republic, Estonia, Hungary, and Slovenia seem to have alternated between active and passive fiscal regimes while fiscal policies of Poland and the Slovak Republic can be characterized by a single fiscal regime. Although the policy mix and the interactions between monetary and fiscal policy point a diverse picture in our sample countries, the monetary policy seems to be passive in all countries after 2000. This finding is consistent with the constraints imposed by European Union enlargement on monetary policy.     

On the Effectiveness of Monetary Policy and of Fiscal Policy

There has been a major shift within macroeconomic policy over the past two decades or so in terms of the relative importance given to monetary policy and to fiscal policy in both policy and theoretical terms. The former has gained considerably in importance, with the latter being rarely mentioned. Furthermore, the nature of monetary policy has shifted away from any attempt to control some monetary aggregate (prevalent in the first half of the 1980s), and instead monetary policy has focused on the setting of interest rates as the key policy instrument. There has also been a general shift towards the adoption of inflation targets and the use of monetary policy to target inflation. This paper considers the significance of this shift in the nature of monetary policy. This enables us to question the effectiveness of monetary policy, and to explore the role of fiscal policy. We examine these questions from the point of view of the "new consensus" in monetary economics and suggest that it is rather limited in its analysis. When the analysis is broadened out to embrace empirical issues and evidence the clear conclusion emerges that monetary policy is relatively impotent. The role of fiscal policy is also considered, and we argue that fiscal policy (under specified conditions) remains a powerful tool for macroeconomic policy. This is particularly an apt conclusion under current economic conditions.