投资潮涌、双重金融摩擦与货币政策传导——转型时期货币政策的结构调控功能探究

在银行融资与企业融资两大市场均存在金融摩擦的条件下,经济转型时期的“投资潮涌”蕴含重要货币经济学含义。以货币政策调控行业过剩产能为例,本文为解释转型时期中国货币政策结构调控功能构建一个理论分析框架,并对相关理论假说进行实证检验。经验证据显示:当不同产能过剩行业的企业在抵押能力信息传递上存在系统异质性时,货币政策具有显著产能调控功能,而调控作用的大小与企业产权结构以及货币政策工具类型有关。通过融合“投资潮涌”与BGG理论,本文将BGG理论中的货币政策效应异质性从企业层面拓展至行业层面,进而揭示了传统非结构性货币政策在转型经济背景下何以具有结构调控功能的理论机制。结论表明,进一步夯实金融市场微观基础,协同推进实体经济供给侧结构性改革与利率市场化改革,对于健全价格型货币政策调控体系至关重要。文章也为通过进一步完善和创新分类调控政策思路,实现灵活精准、合理适度的货币政策操作路径提供了政策启示。

Investment Surges,Dual Financial Frictions,and Monetary Policy Transmission:Demystifying the Structural Adjustment Function of Monetary Policy During the Economic Transition

Investment surges are a typical phenomenon during China's current transitional period, as Justin Lin (2007) observes. Investment may systemically lean toward certain industries, due to either market distortions or government interventions. Investment leanings can lead to capital misallocation and excess capacity in some industries. To correct this imbalance, monetary policies have sometimes been successfully applied to de-capacitize these industries. Theoretically, however, monetary policy does not have structural adjustment functions, even when it is non-neutral in the long run. Therefore, explaining the industrial structural adjustment effects of Chinese monetary policy remains a great puzzle. In this paper, we explain this puzzle from the perspectives of heterogeneous capacity features and property rights differences between enterprises in China. We construct a theoretical model with a dual financial frictions mechanism in the credit market to illustrate the de-capacitizing effects of monetary policy on excess industrial capacity. The dual financial frictions are the collateral constraint on enterprise and the leverage constraint on banks. The monetary policy transmission is marginally distorted by systematic differences in the balance sheet features of excess capacity industries and the property rights differences of enterprises. We find first that the investments of excess capacity enterprises are more strongly repressed under contractionary monetary policies. Second, state-owned enterprises are less affected by contractionary monetary policies, as they possess better collaterals than private enterprises do. Third, quantitative monetary policy tools are more effective than price-based monetary policy tools. We use macroeconomic aggregate data and A-share listed firm-level panel data from 2006 Q1 to 2017 Q3 to empirically verify the theoretical hypotheses. We find first that monetary policy has a significant de-capacitizing function. Second, the de-capacitizing function of monetary policy is mainly effective for excess capacity private enterprises. Third, quantitative monetary policy tools are more effective than price-based tools. Finally, expansionary and contractionary operations have asymmetric effects. State-owned enterprises are affected only by expansion. Private enterprises are affected by both expansion and contraction, and are more sensitive to contraction. Our paper theoretically and empirically verifies that monetary policy has long-term industrial structural adjustment functions in China. It can have such functions when financial frictions and distortions prevail in the financial market, and when enterprises are heterogeneous in balance sheet features and in their ability to obtain external financing in the credit market. Our work contributes to the literature in the following ways. First, we document and explain the long-term structural effects of monetary policy in transitional economies with financial frictions and institutional barriers. This is different from the traditional conclusion of monetary theories and studies regarding developed economies (Clarida and Gertler, 1999; Walsh, 2003). Second, our dynamic stochastic general equilibrium model clarifies the mechanisms of the de-capacitizing functions of monetary policy, identifying an interest rate channel and a credit channel. These channels fill the mechanism analysis gap in related literature on the de-capacitizing functions of monetary policy (Wei, 1993; Song, 1997; Zhou, 2004). Third, we discuss the effectiveness of interest rate tools and quantitative tools such as reserve requirements. Our paper therefore sheds light on the greater effectiveness of quantitatively based monetary policy tools in addressing structural problems. Our research has important policy implications. First, different monetary policy tools have different structural adjustment effects. This implies that monetary authorities should choose and apply different tools according to their best marginal effects. Second, the structural adjustment functions of regular monetary policy tools should be considered in practice alongside other structural monetary policy tools. This is consistent with the creative application of monetary management identified by the communiqué of the fifth plenary session of the 19th Central Committee of the Communist Party of China. Third, the full functioning of interest rate marketization depends on the deep reform of microstructure financial markets due to microeconomic agents' heterogeneous features (Xu, 2018). Finally, the coordinated promotion of real economy supply-side structural reforms, interest rate marketization reform, and the construction of a high-level socialist market economy system are essential to a sound price-based monetary policy system.