The channels of monetary policy triggered by central bank actions and statements in the Australian equity market

Owing to the discrete disclosure practices of the Reserve Bank of Australia, this paper provides new evidence on the channels of monetary policy triggered by central bank actions (monetary policy announcements) and statements (explanatory minutes releases), in the Australian equity market. Both monetary policy announcements and explanatory minutes releases are shown to have a significant and comparable impact on the returns and volatility of the Australian equity market. Further, distinct from US and European studies that find strong evidence of the interest rate, bank loan and balance sheet channels and no evidence of the exchange rate channel following central bank actions, this paper finds that monetary policy impacts the Australian equity market via the exchange rate, interest rate and bank loan channels of monetary policy, with only weak evidence of the balance sheet channel of monetary policy. These channels are found to be operating irrespective of the trigger (monetary policy announcements or explanatory minutes releases), though results are somewhat weaker when examining the explanatory minutes releases. These results have important implications for central bank officials and financial market participants alike: by confirming a comparable avenue to affect monetary policy; and providing an explication of its impact on the Australian equity market.     

中央银行沟通可以作为货币政策工具吗——基于中国数据的分析

本文通过检验我国中央银行沟通对金融市场的影响,间接考察了其是否具有货币政策工具的效力。分析结果表明:我国中央银行沟通对短期利率和股票日收益率水平及波动性具有显著的、与预期一致的影响,但对长期利率的影响不明显;书面沟通与口头沟通相比,后者的效力更强一些,并且在口头沟通中,中央银行行长比其他人更能影响金融市场。主要的政策含义是沟通可以作为我国货币政策一种新的工具,与传统的工具配合使用有利于提高货币政策的有效性。     

货币政策对流动性风险的影响——基于银行信贷行为视角

本文基于我国现实背景和《巴塞尔协议Ⅲ》,利用2008年至2017年间194家商业银行的相关数据,对我国银行净稳定资金率进行了度量,并在此基础上,检验了货币政策对我国商业银行流动性风险的影响,探究了其影响机理和传导渠道。研究表明:扩张型货币政策会提高商业银行的流动性风险;不同经济环境下,货币政策对流动性风险的影响存在差异但不具备异质性;不同类型的商业银行中,货币政策对流动性风险的影响不具有异质性;在货币政策对流动性风险的影响中,银行信贷行为是重要的传导渠道。因此,央行可基于货币政策对流动性风险的影响差异进行相机抉择;商业银行则要加强信贷规模和质量的管理,优化资产结构,通过弱化信贷渠道作用来降低货币政策对银行流动性风险的不良影响。     

货币政策和银行风险承担：一种非线性关系

宽松的货币政策会通过估值、收入和现金流机制,追逐收益机制以及中央银行沟通和反应机制等渠道增加银行风险承担,通过风险转移机制降低银行风险承担,从而导致货币政策与银行风险承担之间可能存在复杂的非线性关系。本文使用面板阈值模型,基于我国银行业数据研究了货币政策对银行风险承担的影响,发现我国货币政策对银行风险承担的影响存在门限效应,即货币政策对银行风险承担的影响取决于货币政策基准利率偏离泰勒规则利率的程度。当这种偏离小于门限值时,宽松货币政策会增加银行风险承担;当这种偏离大于门限值时,宽松货币政策会降低银行风险承担。本文研究对更好地理解我国货币政策对银行风险承担及金融稳定的影响有一定参考意义。     

货币政策能够兼顾稳增长与防风险吗？——基于动态随机一般均衡模型的分析

为构建金融有效支持实体经济的体制机制,需平衡好稳增长、调结构和防风险三者间的关系。在此背景下,本文在两部门新凯恩斯主义动态随机一般均衡模型中引入异质性抵押约束,探讨货币政策如何兼顾稳增长和防风险,进而促进金融更好地服务实体经济。本文模拟结果显示:(1)降低利率和强化国企抵押约束可促进稳增长与稳杠杆。推动国企贷款利率趋于市场水平并降低非国企贷款成本,积极发挥结构性货币政策工具的作用,将增进其政策效果;(2)2008-2016年宏观杠杆率上升主要与国企抵押约束过松有关,2017年后利率对宏观杠杆率的调控增强;(3)宏观审慎政策框架下,货币政策盯住宏观杠杆率,并根据政策目标和经济背景适时调整利率与杠杆率的内生关系,能够优化货币政策效果。对于降低利率和强化国企抵押约束的政策组合,根据宏观杠杆率的变化同向调整利率水平有利于经济稳步增长和宏观杠杆率趋稳。     

货币政策波动、银行信贷与会计稳健性

宏观经济政策(如货币政策)如何通过改变微观企业行为来影响经济发展是学术界探讨得比较少的领域。本文在此方向上进行研究尝试,并以货币政策波动对企业会计政策稳健性与银行贷款之间的关系为切人点。具体来说,当货币政策进入紧缩期时,我们预期企业会计政策变得更加稳健,以更容易取得银行贷款。运用1998～2008年的年度数据,并根据央行要求的金融机构存款准备金率、对金融机构的再贷款利率和再贴现利率的变化,我们定义2004、2006、2007年为我国的货币政策紧缩阶段。实证结果基本上支持我们的预期。我们进一步发现依赖于外部融资和拥有更高债务水平的企业会计稳健性更高,持有大量现金的企业会计稳健性更低,国有企业的会计稳健性更低。在会计稳健性的经济后果上,本文发现在货币政策紧缩阶段,会计稳健性的提高有助于企业获得更多的信贷资源。     

The central banker as prudential supervisor: Does independence matter?

We study whether central bank independence (CBI) and monetary policy arrangements can jointly influence the likelihood of policymakers assigning banking supervision to central banks. Our empirical analysis shows that, assuming a benevolent government, a higher degree of central bank operational (economic) independence is associated with a lower probability of supervisory powers being entrusted to the monetary authority. We interpret this result as deriving from governments’ fear of the risk of excessively discretionary monetary policy. However, there is evidence that – conditional on operational independence – central banks are more involved in supervision when they pursue tighter monetary policy goals (a specific aspect of political independence). Our interpretation is that the latter may represent a commitment to mitigate central banks’ discretion in the monetization of financial distress. Our study suggests that CBI can be relevant, not only for its alleged effects on macroeconomic variables, but also in influencing policymakers’ decisions on the allocation of banking supervisory powers.     

央行货币政策报告文本信息、宏观经济与股票市场

本文利用金融情感词典和文本分析技术,分析中国人民银行货币政策执行报告的文本情绪、文本相似度和文本可读性等多维文本信息,刻画央行货币政策执行报告的文本特征,探究货币政策报告的文本信息与宏观经济和股票市场的关系。实证研究发现,货币政策报告的文本情绪的改善会引起显著为正的股票市场价格反应,报告文本相似度的增加会引起股票市场波动性的显著降低,报告可读性对公布后股票市场的波动性影响不显著。货币政策报告文本情绪还与诸多宏观经济指标显著相关。进一步研究发现,引起股票市场显著反应的是报告文本情绪中反映货币政策指引的部分,而反映宏观经济历史状态的部分对股票市场的影响不显著。本文从文本大数据分析角度证明了我国央行沟通的有效性,对国内央行沟通相关研究形成了有益补充。     

货币政策操作需要考虑银行资本监管吗

持续宽松的货币政策与巴塞尔协议下银行资本监管的共同作用,可能是本次美国次贷危机产生和经济持续波动的主因之一。巴塞尔协议下的银行资本监管,较大地改变了信贷资金的流向和经济运行规律,从而必然影响到货币政策发挥作用的基础条件与传导途径。本文结合经济周期对银行资本约束下的IS-LM模型进行了扩展分析,发现银行资本约束会通过影响银行信贷渠道使货币政策产生非对称性效果,从理论上论证了货币政策的操作必须考虑银行资本监管。本文还运用随机前沿分析(SFA)方法检验了2000～2009年我国货币政策与银行资本监管联合效率,表明在引入银行资本监管后货币政策实现经济目标的联合效率下降。因此,为了达到稳定物价与产出的总体目标,在货币政策反应函数中必须考虑银行资本及其监管状况。     

货币政策、宏观审慎与汇率波动--基于时变效应的新视角

本文研究央行政策对人民币外汇市场压力的时变性影响。研究发现,央行数量型货币政策和宏观审慎政策主要通过影响人民币在国际货币市场的"相对"供给水平来影响人民币外汇市场压力的波动,宽松政策在经济高涨时期和经济新常态时期会引起人民币外汇市场贬值压力,在经济萧条时期会引起人民币外汇市场升值压力;央行价格型货币政策主要通过影响人民币在国际货币市场的"相对"需求水平来影响人民币外汇市场压力的波动,宽松政策在经济高涨时期和经济新常态时期会引起人民币外汇市场升值压力,在经济萧条时期会引起人民币外汇市场贬值压力。     

货币政策可信度的理论分析

货币政策可信度是指经济主体相信中央银行采取系统性的行动以最终达到所承诺的政策目标.如果公众相信中央银行将言行一致地进行货币政策操作,那么这样的货币政策就是可信的.市场经济中,货币政策的可信度在很大程度上影响到货币政策的效率.因此,明确货币政策可信度的涵义,分析货币政策可信度的影响因素,致力于提高货币政策可信度的制度建设,对提高货币政策的有效性具有现实意义.     

The reaction of asset markets to Swiss National Bank communication

In this paper we analyze high-frequency movements in Swiss asset markets in reaction to real-time communication by the Swiss National Bank. Our analysis of central bank communication encompasses monetary policy announcements, speeches and interviews. We examine the reactions of the currency market, the bond market and the stock exchange. The evidence suggests that speeches and interviews, along with monetary policy announcements, engender a significant price reaction. This paper sheds light on the relevance of communications other than monetary policy announcements.     

开放经济下的“双支柱”调控稳定效应研究

本文研究了管理浮动汇率制下我国货币政策和宏观审慎政策双支柱的调控稳定效应。首先,本文从实证层面考察了人民币汇率升贬值对央行货币政策的非对称影响。接着,本文构建了包含银行部门与货币错配的开放宏观经济模型,重点分析了在面对美联储加息、人民币贬值压力的情况下,货币政策(包括对汇率的反应)和宏观审慎政策(对外债的逆周期调节)的配合如何影响宏观经济和金融的稳定。结论表明,如果缺少宏观审慎政策的配合,货币政策对汇率的反应将导致产出、通货膨胀和资产价格等经济金融变量的波动增大。在存在宏观审慎政策的前提下,相对于完全浮动汇率制,管理浮动汇率制从中长期看能进一步促进产出和外债等核心变量的稳定。     

Inflation,Employment, and Monetary Policy: Objectives and Outcomes in the UK and U.S. Compared

This paper explores how sensitive is monetary policy to the precise preferences of the central bank over inflation and economic activity. It does so in order to address a puzzle—which is that the U.S. Fed and the Bank of England appear to have quite different objectives and yet have adopted strikingly similar policies in recent years. I use a calibrated model to assess how policy might be sensitive to attaching different weights to inflation, output, and the output gap in central bank objectives. I find that a wide range of weights can give rise to rather similar monetary policies.     

发达国家中央银行职能的理论与实践探讨

金融危机以来,主要发达国家的中央银行持续实施量化宽松政策,这在一定程度上模糊了货币政策与财政政策的界限,引起经济学界关于中央银行独立性问题的讨论。文章分析了中央银行独立性的概念和理论,回顾了主要发达国家量化宽松政策的实施过程,指出随着世界经济的逐步恢复与量化宽松政策的逐步退出,理顺政府与中央银行关系、强化中央银行的独立性对于保持经济长期稳定增长具有重要意义。     

创新内含碳中和目标的结构性货币政策

2020年9月,我国提出努力争取2060年前实现碳中和,宣示了向低碳经济转型的战略。在实现碳中和目标过程中,货币政策起着极其重要的金融稳定、风险防控、融资引导作用,也将在其间经历相应调整。本文归纳总结了目前国内外对结构性货币政策的理论探讨和政策实践,分析了构建与碳中和一致的结构性货币政策的必要性,提出在碳中和目标下货币政策应采取更为积极的立场主动促进经济低碳转型,走向包含碳中和目标的结构性货币政策。本文同时讨论了构建与碳中和一致的结构性货币政策框架面临的理论和政策挑战,并提出了相关政策建议。     

Observing and Shaping the Market: The Dilemma of Central Banks

While the central bank observes market activity to assess economic fundamentals, it shapes the market outcome through the conduct of monetary policy. A dilemma arises from this dual role because the more the central bank shapes the market, the more it influences the informational content of market outcomes. This paper analyzes how accounting for the endogeneity of information affects optimal monetary policy. By reducing the accuracy of central bank information, endogenous information calls for a higher degree of opacity, weakens accommodation policy to shocks, and broadens the range of parameters for which taking a signaling action is detrimental to welfare.     

Monetary Policy with Heterogeneous and Misspecified Expectations

In the recent literature on monetary policy and learning, it has been suggested that private sector's expectations should play a role in the policy rule implemented by the central bank, as they could improve the ability of the policymaker to stabilize the economy. Private sector's expectations, in these studies, are often taken to be homogeneous and rational, at least in the limit of a learning process. In this paper, instead, we consider the case in which private agents are heterogeneous in their expectations formation mechanisms and hold heterogeneous expectations in equilibrium. We investigate the impact of this heterogeneity in expectations on central bank's policy implementation and on the ensuing economic outcomes, and the general result that emerges is that the central bank should disregard inaccurate private sector expectations and solely base its policy on the accurate ones.     

金融危机中的货币政策理论分析与启示

全球经济危机袭来,各国在推出巨额经济刺激计划的同时,其央行也采取了激进的政策措施,实施了降息甚至零利率的货币政策,美联储等还采取了购买长期国债的非常规手段.本文分析了金融危机中货币政策选择人的困局,指出货币政策的首要作用是提供流动性和稳定金融体系,并可以通过量化宽松、征收持有货币税等操作改变投资者预期、降低长期利率甚至突破零利率的限制,从而进一步发挥货币政策的作用.最后,本文分析了制约货币政策手段生效的因素,得出其对我国货币政策选择的若干启示.     

Implications of bank ownership for the credit channel of monetary policy transmission: Evidence from India

Using bank-level data from India, we examine the impact of ownership on the reaction of banks to monetary policy, and also test whether the reaction of different types of banks to monetary policy changes is different in easy and tight policy regimes. Our results suggest that there are considerable differences in the reactions of different types of banks to monetary policy initiatives of the central bank, and that the bank lending channel of monetary policy is likely to be much more effective in a tight money period than in an easy money period. We also find differences in impact of monetary policy changes on less risky short-term and more risky medium-term lending. We discuss the policy implications of the findings.