货币政策对银行间市场流动性影响效应的实证研究及启示

银行间货币市场是央行实施货币政策的重要平台,研究货币政策对银行间市场流动性的影响对于完善商业银行日常流动性管理具有重要意义。文章在设定银行间市场流动性测度指标与梳理货币政策工具对市场流动性的影响机制的基础上,分别使用事件分析法和时间序列模型对不同政策工具的影响效应进行实证分析,得出相关分析结论,并总结其对于完善商业银行日常流动性管理的启示。     

Effectiveness of alternative channels of monetary policy transmission: some evidence for India

In this article, we have employed ‘shutdown’ methodology, not used before in the Indian context, to study the relative importance of alternative channels of monetary policy transmission. We have, for the first time, studied the impact of monetary policy on consumer price index (CPI) inflation. In response to a shock to the operating target, the maximum decline in gross domestic product growth occurs with a lag of two to three quarters, while the impact on inflation (both CPI and wholesale price index) is felt with a lag of three to four quarters. The interest rate channel is found to be the most dominant channel of monetary policy transmission in India.     

A monetary policy model for India

A New Keynesian model estimated for India yields valuable insights. Aggregate demand reacts to interest rate changes with a lag of three quarters, while inflation takes four quarters to respond to demand conditions. Inflation thus responds to monetary policy actions with a lag of seven quarters. Inflation is inertial and persistent when it sets in, irrespective of the source. Exchange rate pass-through to domestic inflation is low. Inflation turns out to be the dominant focus of monetary policy, accompanied by a strong commitment to the stabilization of output.     

The role of liquidity constraints in the response of monetary policy to house prices

We analyse the optimal response of monetary policy to house prices in a New Keynesian framework. A positive wealth effect from housing is derived from liquidity constrained consumers. Housing equity withdrawal allows them to convert an increase in housing value into consumption and we show that monetary policy should react to house prices due to their effect on consumption by constrained agents. Moreover, we allow the share of liquidity constrained consumers to vary with house prices. Consequently, the optimal weights on expected inflation, the output gap and house prices in the optimal interest rate rule vary over time too.     

关于完善我国宏观经济流动性管理的思考

随着全球货币条件的持续宽松,加强流动性管理已成为全球宏观经济管理中的一个突出问题。文章从多个角度衡量了我国宏观经济的流动性状况,从国内外两个背景分析了我国宏观经济流动性增加的原因,并从完善央行与公众沟通策略、利用数量型货币政策工具回收流动性、拓宽直接融资渠道等角度,提出加强流动性管理的政策建议。     

Oman's monetary policy transmission process under the fixed peg: some empirical puzzles

This paper highlights that an open economy, like Oman, could often enjoy partial monetary policy independence despite operating with a fixed peg, which may appear as a clear violation of the ‘macroeconomic trilemma'. While explaining the country-specific factors that create the scope for partial monetary policy independence, the paper underscores that for meaningful use of this partial monetary policy independence to attain domestic goals of inflation and output, the transmission mechanism of monetary policy must work effectively. Empirical analyses presented in this paper for Oman, however, suggest the presence of not only the ‘interest rate puzzle’ but also the ‘IS puzzle’ and the ‘Phillips curve puzzle’, which together signal the presence of significant transmission weaknesses. The paper, thus, concludes that costs stemming from loss of any monetary policy independence because of the fixed peg may not be very significant for Oman, and hence, any alternative exchange rate regime cannot be viewed as appropriate just on the grounds that an alternative regime could deliver greater monetary policy independence.     

中国流动性过多与外汇储备累积

本文以流动性的界定以及流动性过多原因分析为起点,试图探究并论证我国流动性过多与外汇储备过度累计两者之间的关系及其作用机制。通过2000～2007年时间序列数据的经验研究表明,中国流动性过多与外汇储备累积之间存在双向因果关系。因此,要解决流动性过多问题,短期而言要缓解外汇储备过度累积,长期而言,要在外汇储备管理体制、人民币汇率制度、外汇市场交易体系等方面进行体制改革,从根本上切断外汇储备与货币供应之间的被动联系。     

Political institutions,stock market liquidity and firm dividend policy: Some international evidence

In this cross-country study, we draw on the dividend liquidity hypothesis and the political economy literature to examine whether political institutions affect the relationship between stock market liquidity and a firm’s dividend policy. In countries with weak political institutions, we expect that investors are less able to demand higher dividends for stocks with low liquidity. Using a sample of 52 countries, we show that the negative association between stock market liquidity and dividends is more pronounced in countries with sound political institutions, consistent with the “outcome” model of dividends. These results are stronger in countries with better legal institutions and weaker for firms with financial constraints.     

我国反通货紧缩政策的成效与思考

论文回顾了我国近几年来反通货紧缩货币政策的成效 ,剖析了影响货币政策成效的制约因素 ,并提出了减税、扩大政府支出、降息等政策主张。     

不良金融资产与中国货币政策有效性

目前关于不良金融资产问题 ,人们更多是从金融风险角度来讨论不良金融资产的成因及其化解等问题 ,而对于不良金融资产对中国货币政策有效性的影响则缺乏深入研究。从宏观经济总量角度看 ,不良金融资产使市场化改革中的商业银行经营行为发生变异 ,相应使商业银行作为主要传导中介的货币政策实施效果受到严重影响。提高我国货币政策的有效性、强化宏观金融的调控效率 ,应充分考虑巨额不良金融资产所产生的消极影响 ,并采取相应的对策。     

现行国际货币体系难以承受之重：美国货币政策的量化宽松

美联储第二轮量化宽松的货币政策出台前后,国际社会争议不断。文章从量化宽松货币政策与国际货币体系的关系着手分析,指出本次国际金融危机再次暴露出现行国际货币体系内在缺陷,量化宽松货币政策有可能加剧国际金融风险,并提出了改革国际货币体系的对策建议。     

Federal reserve's policy,global equity markets,and the local monetary policy stance

This paper examines the extent to which local monetary policy stance determines the strength of US monetary policy international transmission to global equities. Using a sample of 35 countries, we document that US monetary policy surprises exert significant inverse effects on global equity returns. Our results suggest that countries whose policy rates are brought into line with that of the US are less sensitive to US monetary policy shocks only when they have a high and intermediate level of cross-border financial linkages, and only when they have a low and intermediate level of exchange rate volatility.     

Unconventional monetary policy and stock repurchases: Firm-level evidence from a comparison between the United States and Japan

This paper is the first comparative study examining the determinants of stock repurchases during the period of unconventional monetary policy. By constructing a vast firm-level dataset of the U.S. and Japan and conducting multivariate Tobit and probit analyses, this paper presents evidence that during the period of unconventional monetary policy, in both the U.S. and Japan, firms with more free cash flow and lower borrowing costs are more likely to repurchase stock, firms with higher financial leverage are more likely to abstain from stock repurchases, and firms coordinate dividends and stock repurchases to please shareholders. I also find striking contrasts between the results of U.S. and Japanese firms, and show the importance of financial structure in explaining the contrasting results. From a micro perspective, this paper provides new insight and evidence to support the view that financial structure should be thought of as an important factor determining the effects of unconventional monetary policy.     

当前美联储货币政策工具简介

2007年8月次贷危机爆发以来,美联储又陆续推出拍卖式融资便利（TAF）、主经纪商融券便利（TSLF）、主经纪商融资便利（PDCF）等货币政策工具向市场注入流动性。该文通过对联储货币政策操作层面较为细致的分析,详细介绍了美联储所推出的创新型货币政策工具,廓清相关事件的内在联系,并对政策背后的真实含义进行探究。     

Unconventional monetary policy announcements and risk aversion: evidence from the U.S. and European equity markets

ABSTRACT

This paper examines the role of unconventional monetary policy announcements on risk aversion – as proxied by the variance premium – by using panel data analysis. The objective of this empirical analysis is to investigate the risk-taking channel of monetary policy for the major European and U.S. equity markets by studying the impact that the announcements of an unconventional monetary policy has on market uncertainty and risk perception. By measuring the difference between risk-neutral and realised and conditional variance, we estimate the variance premium, which captures the impact that pricing concerns have on the prices of options. The empirical analysis indicates that easing monetary policies can significantly reduce the variance premium. In addition, we examine the risk premium structure across markets to determine the potential differences in investors’ risk aversion.     

资产价格与货币政策：一个理论综述

该文对近几年国内外学术界对资产价格如何影响实体经济,货币政策是否应该考虑资产价格,如何将资产价格纳入到货币政策指标体系中等问题的研究进行了理论综述。文章认为,资产价格变动会通过财富效应,托宾Q值效应,金融加速器效应和预期效应等影响实体经济活动,但学者们对货币政策是否应该考虑资产价格以及如何将资产价格纳入到货币政策指标体系中始终存在不同看法。     

Money market microstructure and monetary policy: the Indian experience

Money market microstructure has recently started drawing attention in the empirical literature on financial markets of emerging market economies. In the Indian context, a GARCH(1, 1) model shows that policy instruments impact bid–ask spreads in the money market. Volatility of bid–ask spreads seems to be more persistent in the overnight market than in longer maturity segments. The results also suggest the dominance of policy interventions over the market microstructure across the term structure of the Indian money market. Unanticipated policy actions can delay mean reversion and, therefore, the return to stability.     

货币政策为何及如何关注食品价格

食品价格是通货膨胀压力的灵敏反映指标,且由于食品部门供应价格弹性、存货缓冲能力、需求价格弹性和生产效率相对较低,产品同质化程度相对较高,食品价格的弹性明显高于非食品价格,加之在通货膨胀和经济周期过程中,食品部门具有需求顺周期和供给逆周期的特征,食品价格波动幅度往往远高于非食品价格,存在一定程度的超调。因此,文章建议货币政策应充分关注食品价格,同时适当提高对食品价格波幅的容忍程度。     

关于货币政策长期利率目标制研究

央行直接调节长期利率是救助此次国际金融危机的重要手段。文章综合实务界和理论界观点,分析常规货币政策框架和非常规货币政策框架下,中央银行调节长期利率的不同机制和效果;在此基础上,对央行能否将长期利率调节作为常规货币政策工具的相关研究进展进行综述和评析。     

The impact of conventional and unconventional monetary policy on investor sentiment

This paper examines the relationship between monetary policy and investor sentiment across conventional and unconventional monetary policy regimes. During conventional times, we find that a surprise decrease in the fed funds rate leads to a large increase in investor sentiment. Similarly, when the fed funds rate is at its zero lower bound, research results indicate that expansionary unconventional monetary policy shocks also have a large and positive impact on investor mood. Together, our findings highlight the importance of both conventional and unconventional monetary policy in the determination of investor sentiment.