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。     

量化宽松货币政策的主要目的是降低长期利率

量化宽松货币政策通过降低长期利率而发挥作用,较为有效地缓解了流动性危机,其传导机制与常规货币政策的传导基本相同。宏观模型表明,量化宽松货币政策对经济增长和通货膨胀都具有积极影响,这种影响并不仅仅限于金融危机期间。     

央行票据对长期利率影响的实证分析

短期利率与长期利率的关系影响了货币政策的效果。描述两者关系的经典理论是预期理论。本文以三月期央票发行利率作为短期利率的一个重要指标,利用回归的方法,研究其与国债长期利率之间的关系。     

短期利率与长期利率的关系之谜:国际表现与中国实证

本文运用VAR模型考察了以央票利率为代表的短期利率与10年期国债利率之间的关系.实证分析表明,与CPI及市场资金面因素对长期利率的影响程度相比,短期央票利率对长期国债利率缺乏有效的影响.这意味着要建立以利率为核心传导机制的货币政策框架,还需要进一步完善短期利率向长期利率的传导机制,以增强长期利率对货币政策操作的反应.     

中国利率市场化改革对货币政策利率传导机制的有效性分析

本文分析了我国货币政策利率传导机制。当前我国金融市场化改革取得了一定的成就,但由于利率仍然被管制,并且管制利率与市场利率并存,使得我国的利率传导途径并不畅通,国家、企业及银行利率结构层面出现了传导问题。本文探寻当前传导机制所存在的问题并提出合理的政策及建议,希望能够提升货币政策的操作力,从而能够调控社会利率的变化效果,促使整个金融体系的良好运行及整个国民经济的稳健发展。     

从货币政策利率传导看我国利率市场化改革

货币政策是国家进行宏观经济调控的重要手段。近年来,我国政府在宏观经济调控中,越来越注重对货币政策的运用。本文试图运用IS-LM曲线模型和函数,结合影响均衡利率的因素各参数的分析及其变化,探究货币政策的利率传导效应,以期对我国利率市场化有所裨益。     

我国货币政策利率传导分析

货币政策是否有效,取决于货币政策的传导机制是否通畅,而其中利率是货币政策的重要传导渠道。本文通过分析我国货币政策传导机制的发展情况与存在的问题,提出了措施建议。     

欧洲央行的利率角色与货币政策操作

在欧洲央行整个货币政策体系中,货币市场基准利率处于核心地位。自欧元区建立以来,欧洲市场利率价格已变得高度透明。并产生了以EURIBOR．为代表的多个货币市场基准利率,与货币政策操作紧密相连,借鉴欧元区货币政策操作程序及其稳定基准利率的途径,对完善我国的货币政策操作及利率市场化稳步推进具有重要的现实意义。     

国债利率期限结构与货币政策的关系研究述评

近年来,随着我国利率市场化进程的推进,国债利率期限结构与货币政策之间的动态相依性受到普遍的关注.相关研究主要包括货币政策对利率期限结构的影响,以及利率期限结构对通货膨胀和经济周期波动具有预测能力、进而影响货币政策取向这两大方面.本文对该领域的核心文献进行梳理和评述,并重点阐述在非常规货币政策背景下,国债利率期限结构与货币政策关系的传统理论研究所面临的挑战,为更深层次地研究国债利率期限结构在货币政策制定和传导过程中的作用提供一个参照平台.     

Optimal Monetary and Fiscal Policy with a Zero Bound on Nominal Interest Rates

I characterize optimal monetary and fiscal policy in a stochastic New Keynesian model when nominal interest rates may occasionally hit the zero lower bound. The benevolent policymaker controls the short‐term nominal interest rate and the level of government spending. Under discretionary policy, accounting for fiscal stabilization policy eliminates to a large extent the welfare losses associated with the presence of the zero bound. Under commitment, the gains associated with the use of the fiscal policy tool remain modest, even though fiscal stabilization policy is part of the optimal policy mix.     

Estimating Monetary Policy Rules When Nominal Interest Rates Are Stuck at Zero

Did the Federal Reserve's response to economic fundamentals change with the onset of the Global Financial Crisis? Estimation of a monetary policy rule to answer this question faces a censoring problem since the interest rate target has been set at the zero lower bound since late 2008. Surveys by forecasters allow us to sidestep the problem and to use conventional regressions and break tests. We find that, in the opinion of forecasters, the Fed's inflation response has decreased and the unemployment response has increased, which suggests that the Federal Reserve's commitment to stable inflation has become weaker in the eyes of the professional forecasters.     

The Causality Effects of the Federal Reserve's Monetary Policy on U.S. and Eurodollar Interest Rates

Previous studies argue that U.S. interest rates will become more sensitive to changes in eurodollar rates as international financial-market integration increases. However, the empirical results of these studies are suspect because they select their subperiods in an ad hoc manner and ignore the different trading hours of the U.S. and London markets. This study adjusts for the markets' different trading hours and uses Goldfeld and Quandt's switching regression technique to show that the causal relation between U.S. CD rates and eurodollar rates is impacted by the Federal Reserve's monetary policy. Because the latest subperiod exhibits uni-directional causality (i.e., U.S. interest rates cause changes in eurodollar rates), the results cast doubt on the implicit assumption made in the literature that interest-rate causality is only affected by increasing levels of financial-market integration.     

我国房地产价格波动与中央银行货币政策调控——来自货币供应量、汇率和利率的证据

本文通过VAR-MVGARCH模型研究了我国房地产价格增长率分别与货币供应量、汇率和利率的线性和波动关系.研究结果表明,汇率的变化对房地产价格增长率的变动会产生显著的线性影响,但是货币供应量和利率的变化对房地产价格增长率变动的线性影响不大.本文认为,尽管货币供应量、汇率和利率对房地产价格增长率存在波动溢出效应,但由于它们与房地产价格增长率的相关性波动剧烈,同时考虑到不断变化的货币政策“盯住”房地产价格波动的困难以及有悖于中央银行保持货币政策“连续性和稳定性”的目标,当前最好实施汇率工具盯住房地产价格增长率的均值化,才容易产生显著效果.     

Exchange Rates and Monetary Policy Uncertainty

We document that a trading strategy that is short the U.S. dollar and long other currencies exhibits significantly larger excess returns on days with scheduled Federal Open Market Committee (FOMC) announcements. We show that these excess returns (i) are higher for currencies with higher interest rate differentials vis‐à‐vis the United States, (ii) increase with uncertainty about monetary policy, and (iii) increase further when the Federal Reserve adopts a policy of monetary easing. We interpret these excess returns as compensation for monetary policy uncertainty within a parsimonious model of constrained financiers who intermediate global demand for currencies.     

Monetary Policy and the Natural Rate of Interest

It is most important for monetary policy to track the natural rate of interest when interest rates take large and sustained swings away from their long‐run equilibrium values. Here, we study two models: a standard New Keynesian model and one in which government bonds provide liquidity. Policy rules that cannot track the natural rate perform poorly in both models, but are especially bad in the second because of sustained movements in the natural rate induced by fiscal shocks. First difference rules, on the other hand, do surprisingly well. When model uncertainty is taken into account, the dominance of the first difference rule is even more pronounced.     

货币政策利率传导有效性实证分析

实证分析表明,在当前我国数量型与价格型调控手段并存的情况下,利率作为货币政策的传导目标之一,具有一定的有效性。利率与名义经济总量、投资、消费的变动相关性不显著,但与实际的经济总量、投资、消费的变动呈现一定的相关性,这表明我国利率传导机制的有效性十分有限。今后必须加快利率市场化步伐、完善我国货币政策目标工具、创造有利于货币政策传导的外部环境。     

中央银行中间调控目标的发展趋势:利率的胜出

金融市场中,利率是调整金融市场资源的杠杆,所以利率的市场化将是我国经济中完备的金融市场的标志。利率是调节实际产出的最重要手段,因为所有金融资源的走向的基本参照物是利率。通过分析美国的实例可以得出选择利率作为宏观调控中间目标的必然性。     

利率政策对货币市场的“非对称性”传导

运用事件研究法,检验了2007~2010年在通胀和危机背景下中国10次调整存贷款基准利率对同业拆借市场利率的影响。研究发现,利率调整对市场利率存在非对称性传导效应,主要表现在,降息会使市场利率下降,加息却对短期市场利率产生显著的负向效应。究其原因在于,中国利率市场化程度不高和货币超经济发行导致银行体系内流动性过剩。