金融危机、货币政策与信贷供给*——基于公司层面银行信贷数据的经验研究

不同的银行特征会对金融危机和货币政策传导的银行信贷渠道产生异质性影响。本文运用2001-2015年公司层面银行信贷数据实证检验了我国货币政策传导的银行信贷渠道,随后进一步研究金融危机对不同特征银行信贷供给的影响差异。经验研究发现：我国货币政策银行信贷渠道主要通过非国有控股银行传导,并引起不同资产负债表特征银行信贷供给的异质性反应。银行规模越大、流动性越强、资本充足率越高,银行信贷供给对货币政策越不敏感。金融危机期间,银行信贷渠道的传导效率显著降低,高资本充足水平的银行和国有控股银行受金融危机的冲击较小,并且宽松的货币政策对国有控股银行信贷供给调控的效率更高。     

The credit squeeze during Russia's early transition: A bank-based view

This paper asks whether Russia's protracted inflation stabilization might have caused a credit squeeze and hence might have contributed to the output collapse in the first three years of the Russian transition. Russian monetary policy was not restrictive as a whole. Still, the occurrence of a credit crunch is not excluded, because of the Russian central bank's heavy reliance on required reserves to curb the inflationary effects of monetized budget deficits. Due to methodological limitations, we are forced to concentrate on a cross-sectional analysis of bank liquidity in 1994, in order to find possible indications about Russia's monetary stance from the point of view of the lending channel. We cannot reject that the huge excess reserves of Russian banks in 1994 were at least partially due to excess liquidity. This suggests that there is no direct relation between the monetary policy of high required reserves and the observed credit crunch. The question of why banks preferred to hold excess liquidity deserves further attention. This question is still relevant, because Russian commercial banks have again accumulated excess reserves in 1999, in the aftermath of the banking crisis, triggered by the August-1998 crisis.     

近期央行频繁使用存款准备金工具效果为何不明显

从2006年7月5日到2007年5月15日央行连续7次上调存款准备金率.然而,这一货币政策工具的效果并不明显.本文以近期我国频繁上调存款准备金率现象为切入点,采用了理论分析和实证分析相结合的方法,从存款准备金制度、存款准备金传导机制和宏观经济因素三个方面探究了我国当前调整存款准备率效果不明显的原因,在此基础上提出了相应的政策建议.     

The effect of ECB monetary policies on interest rates and volumes

This article assesses the transmission of ECB monetary policies, conventional and unconventional, to both interest rates and lending volumes or bond issuance for three types of different economic agents through five different markets: sovereign bonds at 6-month, 5-year and 10-year horizons, loans to nonfinancial corporations and housing loans to households, during the financial crisis, and for the four largest economies of the euro area. We look at three different unconventional tools: excess liquidity, longer-term refinancing operations and securities held for monetary policy purposes following the decomposition of the ECB’s Weekly Financial Statements. We first identify series of ECB policy shocks at the euro area aggregate level by removing the systematic component of each series and controlling for announcement effects. We second include these exogenous shocks in country-specific structural VAR, in which we control for credit demand. The main result is that only the pass-through from the ECB rate to interest rates has been effective. Unconventional policies have had uneven effects and primarily on interest rates.     

基于MCI缺口的货币政策操作风险测度研究

由于受短期目标的约束以及中央银行对宏观经济形势的认识偏差,若货币政策工具及调控时机选择不当,或政策信息披露不及时等,都有可能误导公众预期和增加市场的不确定性,从而引致货币政策操作风险。通过构建包含货币供应量的货币条件指数(MCI),并考察其实际值与均衡值之间的离差状况,结果表明MCI及其缺口可用于间接测度货币政策操作风险的大小,而所得到的风险指数可作为宏观调控的参考指标。     

紧缩性货币政策复出的必要性分析

2007年12月的中央经济工作会议明确提出,2008年我国货币政策将从稳健性货币政策转化为从紧的货币政策.这是十年来我国货币政策方向的首次转变.货币政策转变的原因和影响成为理论界关注的焦点.本文分析了紧缩性货币政策复出的必要性及在通货膨胀的压力下,紧缩性货币政策给我国经济生活带来的影响.     

“流动性过剩”研究综述（上）——流动性过剩的内涵、衡量标准及产生机制

近些年来,“流动性过剩”已成为中国乃至全球经济和金融运行中的一个较为突出的问题,并引起了社会各界广泛的关注与讨论。本文对这些代表性的文献进行系统的梳理,为进一步的研究提供参考。     

澳中中央银行独立性:比较与借鉴

澳大利亚中央银行经过几十年的改革和发展,其独立性已有很大进展,这一点已为学们的研究所证实。建立市场经济体制的中国迫切需要一个独立的中央银行,为此需借鉴包括澳大利亚在内的西方发达国家的经验,增强和完善中国中央银行的独立性。     

货币政策传导渠道比较分析

货币政策通过货币渠道和信贷渠道两种途径传导,对于两种渠道在传导中的作用及效果学术界仍存在争议.本文通过对货币渠道和信贷渠道发挥作用的前提条件、传导过程及存在缺陷进行比较分析,得出两种传导渠道各有优劣的结论.只有将两种渠道有效地结合起来,才能使货币政策顺利传导,充分发挥作用.     

Are all financial crises created equal? Wholesale funding and two financial crises

We use financial information on banks from Asia, Europe, North America and Oceania to examine the role of wholesale funding on the transmission of financial crises to bank lending, as well as to study the response of financial institutions in different regions during the crises. We consider the role of wholesale funding during the Global Financial Crisis (GFC) and Asian Financial Crisis (AFC). Our results suggest that during the GFC, wholesale funding dependence had a negative effect on loans growth across regions, but with substantial regional heterogeneity. The growth of loans from financial institutions in Asia and Europe was consistently sensitive to wholesale funding dependence. Although wholesale funding did not play a significant role in the transmission mechanism of the AFC, a subsample of financial institutions in Asia, who depended more heavily on wholesale funding, experienced a faster loan growth and may have been able to better withstand the crisis.