中美“宽松”货币政策、通胀预期与货币规则的探讨

2008年10月以来,中美两国均采取了不同程度的"宽松"货币政策来应对源于美国金融危机的全球经济衰退。本文的研究显示,2008年,中美两国货币供应量M1和M2增长率是相似的;2008年底到2009年8月,中国的M1和M2增长率分别为20.6%和21.4%,而美国的M1和M2增长率仅为3.36%和2.14%,中国的通胀预期是市场对"超级宽松"货币政策的合理反应。在过去的一年间,中国货币当局对美国金融危机的反应比美国的政策干预更为积极。而货币供应量的高增长孕育着价格上涨的风险,货币政策应当从被动协调美国的相机抉择转向遵循货币数量规则,抑制通胀预期,以实现宏观经济的稳定增长。     

Money and price relationship in China

This paper investigates the effectiveness monetary policy by Granger causality tests in the two regimes of inflation and deflation, respectively. The surplus lag rolling estimation is applied to deal with the problem of the frequent structural changes in the Chinese monetary system. We found that the monetary policies have become less effective in stabilizing the price level in the deflation era that started from 1998. There is also empirical evidence to suggest that money was endogenous in China during the inflation period. This implies that the People's Bank of China had difficulty exercising the power of money supply to reduce inflation if the endogeneity was the result of the market behaviour. However, if the endogeneity was due to the government inflation-targeting rule, then there is no evidence to suggest that this rule has been effective for M0, M1 and M2 instruments, except for the M0 instrument during the inflation period of April 1990 to March 1995. Although it was found that money ceased to be endogenous in the deflation periods, it does not support the proposal of utilizing the money supply as a policy instrument, as we found that money is impotent in influencing price in the deflation regime. Our findings provide some empirical evidence to support the Chinese government adopting alternative policy instruments such as an active fiscal policy in the era of deflation.     

影子银行对货币政策的影响——基于内生货币理论视角

影子银行的迅速发展使其成为我国金融体系的重要组成部分,由于其具有一些与传统银行类似的功能,继而对我国货币政策调控的有效性提出了挑战;后凯恩斯货币理论认为货币本质上属于一种债权-债务关系,是非中性的交易媒介,而央行是否能够有效的控制货币供应量呢?本文基于内生货币理论的视角,重新诠释影子银行对我国货币政策的影响,以期对货币政策的制定提供有益借鉴。     

分析中国货币政策的有效性

我国货币政策的最终目标是稳定币值,促进经济稳定增长。中央银行是通过货币政策工具控制和调节中介目标———货币供应量来实现这个最终目标的。本文通过探讨货币是中性还是非中性,货币供应量是内生还是外生,我国货币政策的传导机制是否畅通这三个问题,最终得出了我国货币政策     

Evidence on the Effects of Money Growth on Inflation with Regime Switching

Since the latter half of 2010, a new round of inflation has gradually been manifesting in China. The debate regarding whether excess money supply is responsible for this inflation has attracted scholars to investigate the effects of money growth on inflation. In this paper, we use correlation analysis to confirm the comovement between growth of monetary aggregates and inflation. We explore the asymmetric effects of monetary policy on inflation using the Markov regime‐switching model. The empirical results show that monetary policy can be more effective in curbing inflation in a high inflation state than in boosting the price level in a low inflation state. However, simply tightening the money supply might not be sufficient to suppress the price level. To this end, the Chinese Government should adopt other policies, such as supply stabilization policies, to help suppress the price level. Our study can help policy‐makers to determine the actual economic state and provides some policy implications for the current inflation.     

The Money-prices Nexus for Malaysia: New Empirical Evidence from the Time-varying Cointegration and Causality Tests

Abstract

The main objective of this study is to empirically re-investigate the money-prices nexus for Malaysia through the Johansen multivariate cointegration and the modified Wald (MWALD) causality techniques. This study covered the monthly dataset from 1971:M1 to 2008:M11. The Johansen cointegration test suggests that the variables under investigation are co-move in the long run. Furthermore, the MWALD causality test shows a bidirectional causal relationship between money supply (M2) and aggregate prices, meaning that both the monetarist's and also the structuralists' views are vindicated in the Malaysian economy. However, the time-varying cointegration and causality tests indicate that the cointegrating and also the causal relationships are not stable over the analysis period. These results suggest that inflation in Malaysia is not purely a monetary phenomenon. Therefore, implementing a tighter monetary policy may not be an effective macro-economic instrument in managing the inflationary behaviour in the Malaysian economy.     

Causes of Inflation in China： Inflation Expectations

This paper argues that the main causes of inflation in China since the early 21st century are changes in the public's inflation expectations. The conventional wisdom, the quantity theory of money, may not be adequate to capture the relationship between price changes and money supply growth, as the economic system evolves and people's income and wealth grow. An examination of China's GDP deflator and broad money supply relative to nominal GDP shows that the relationship between the two series is relatively weak. A further examination of China's monthly CPI series over the period 2001–2010 reveals that the autoregressive models are a better fit than the moving average models, which suggests that the role of CPI expectations has been significant and important. Because of the importance of inflation expectations in CPI movement, we believe the Central Bank's monetary policy that targets CPI inflation should emphasize the use of policy instruments that have direct and strong communication links with the public. Quantitative measures would have their own use, but their effectiveness would be unlikely to match that of interest rate measures, especially from a short‐term perspective.     

Some Evidence on the Relevance of Bank Behaviour for the Lending Channel in The Netherlands

This paper studies the behaviour of Dutch banks. We test the adjustment of banks' balance sheets in times of monetary policy changes during the period 1957–1991. As a reaction to a policy change, banks basically have two alternatives to adjust their net money creation: (1) sell securities in public capital markets, and/or issue long-term liabilities, and (2) change domestic loan supply. If banks opt for the latter a lending channel may be relevant, even in a small open economy with a fixed exchange rate and a high degree of international capital mobility. We test for the effectiveness of both indirect and direct instruments of monetary policy. It turns out that in case of changes in the official interest rate, the volume of bank loans is not affected and that banks display a kind of buffer-stock behaviour by diminishing their publicly traded assets. In situations with quantity restrictions on the growth of net money creation, however, the volume of loans is affected significantly when the quantity restriction is withdrawn thereby fulfilling a necessary condition for the bank lending channel to be effective.     

DYNAMIC EFFECTS OF MONETARY POLICY SHOCKS IN MALAWI

This paper sets out to investigate the process through which monetary policy affects economic activity in Malawi. Using innovation accounting in a structural vector autoregressive model, it is established that monetary authorities in Malawi employ hybrid operating procedures and pursue both price stability and high growth and employment objectives. Two operating targets of monetary policy are identified, viz., bank rate and reserve money, and it is demonstrated that the former is a more effective measure of monetary policy than the latter. The study also illustrates that bank lending, exchange rates and aggregate money supply contain important additional information in the transmission process of monetary policy shocks in Malawi. Furthermore, it is shown that the floatation of the Malawi Kwacha in February 1994 had considerable effects on the country's monetary transmission process. In the post‐1994 period, the role of exchange rates became more conspicuous than before although its impact was weakened, and the importance of aggregate money supply and bank lending in transmitting monetary policy impulses was enhanced. Overall, the monetary transmission process evolved from a weak, blurred process to a somewhat strong, less ambiguous mechanism.     

中国货币政策的福利损失与政策规则选择——基于新凯恩斯DSGE模型的分析

本文在新凯恩斯主义DSGE模型框架下,运用福利损失函数和脉冲响应方法研究我国最优货币政策规则选择的问题。研究结果表明,货币供应量规则相对于利率规则,使外生冲击对产出和通货膨胀的影响更持久,造成更大的福利损失,因此中央银行的货币政策规则应该逐步从货币供应量规则转向利率规则;在一定条件下,前瞻型利率规则、后顾型利率规则和泰勒规则所造成的福利损失相差不大,从便利的角度出发,中央银行应该选择后顾型利率规则。     

Implications of a negatively sloped LM curve

Conclusion This paper has shown that the LM curve could be downward sloped if the rate of interest on money (specifically liquid deposits) is sufficiently flexible. If so, the momentary equilibrium could be unstable, especially if the LM curve is far from the vertical (i.e., if the interest rate on money is very flexible). Prospects for instability are enhanced if output adjusts slowly or if the central bank varies the money supply strongly over time in response to the general interest rate. If stability obtains with a downward sloped LM curve, fiscal policy has an unconventional direction of effect on income. Three policy implications follow directly. (1) The rate of interest on deposits which are part of the money supply used as the central bank control tool, should not be allowed to be too flexible (to avoid instability). (2) If the monetary deposit rate is quite flexible, the central bank should not have the money supply react too strongly to the general interest rate—i.e., should not come too close to a pure interest rate policy (again, to avoid instability). (3) If the monetary deposit rate is very flexible, fiscal policy should be used with caution (due to the unconventional direction of effect in the event LM is downward sloped).     

Het monetaire beleid in Nederland

Summary Monetary policy in the Netherlands, as conducted since the early fifties, is based on generally accepted principles originating in a Dutch monetary analytical theory. Its basic aim is to prevent, in periods of balanced economic growth, disturbing influences arising from the monetary sphere and to make, in periods of disequilibrium, monetary conditions contribute towards the restoration of equilibrium. To achieve this the monetary authorities act upon the size of the liquidity ratio, i.e. the relation between the liquid means of financing available in the economy and the national income. Although highly quantitative, and also normative in character, Dutch monetary policy is applied in a flexible way, so as to avoid financial crises. The Netherlands' extremely open economy entails that monetary policy finds a natural limit in international conditions. Also, it cannot be effective without the support of other policy instruments, notably fiscal policy. On the other hand, the domestic financial structure, with its fairly sharp distinction between institutions which are (i.e., the banks) and which are not relevant to the control of monetary developments, contributes to the effectiveness of the policy. The same applies to the positive and constructive manner in which the banks cooperate with the monetary authorities, who conduct their policies on the basis of consultation. Een Engelse versie van dit artikel verschijnt inMonetary Policy in the Atlantic Community, onder red. van K. Holbik, bij het Hamburg Institute for International Economics. Het artikel werd in november 1969 afgesloten.     

美联储货币政策对中国货币政策的溢出效应研究

文章主要研究了美国货币政策对中国货币政策的溢出效应,理论部分分析了在开放经济条件下两国模型关于货币政策跨国传输等相关问题。货币供给分为国内供给和外部输入,通过中央银行资产负债表中资产负债的变化可以分析外部货币的输入影响到基础货币的被动投放,在流通过程中由于乘数效应影响了货币供给量。外部货币的输入影响央行调控独立性的发挥,外部货币的输入容易形成对国内货币市场和产品市场某种程度的冲击,央行货币政策调控的难度增加。经验分析发现,美元输入对中国货币政策存在溢出效应,影响到中国的基础货币投放,影响到中国的货币政策的独立性以及执行的效果。     

Monetary Policy in the Industrial World: Reflections on some Basic Issues

Abstract

This paper is a general assessment of monetary policy in major OECD countries during the 1990s. Within a simple policy framework that combines money growth, nominal income, and an open economy IS-LM type Mundell-Fleming model, the paper discusses the major strands in the conduct of monetary policy in developed industrial economies. It throws light on such problems as “rules versus discretion”, management of exchange rates, the effect of monetary changes on income and prices, and the rupture of monetary policy with other instruments of economic policy that also affect the economy.     

融资成本能评价新型货币政策工具的有效性吗

提升货币政策效果是近年来我国宏观经济调控改革中的重要任务,而如何正确评价货币政策有效性则是这一任务的前提条件。基于此,结合我国经济新变化,文章在经典的CC-LM模型中纳入了新型货币政策工具,从理论上分析了新型货币政策工具对信贷利率与实际产出的传导机制,并应用具有时变参数的TVP-SV-VAR模型进一步检验了理论分析的结论。理论研究与实证检验一致得出：第一,从对实际产出的影响来看,中期借贷便利为代表的新型货币投放方式是有效的;第二,中期借贷便利仅能降低短期信贷利率,而长期将提升信贷利率;第三,中期借贷便利与LPR报价市场的市场化程度提升可强化货币政策有效性。此外,实证研究还表明,依靠中期借贷便利方式投放基础货币会造成吉布逊谜团的现象,因此能否降低融资成本并不能作为评价货币政策有效性的指标。籍此,文章对如何优化新型货币政策有效性提出了富有建设性的政策建议。     

中国选择货币政策中介目标的探讨

研究开放经济条件下的现行货币供应量中介目标的有效性及中介目标的选择问题是我国当前需要解决的问题。通过结合中国开放经济背景,深刻分析影响中国货币供应量中介目标有效性的因素以及开放条件下中介目标的选择问题即分析利率与通货膨胀目标制在中国的适用性。     

The Netherlands Bank's narrow monetary policy

Summary In his article Mr. Timmerman describes the way the Netherlands Bank conducts its so-called narrow monetary policy,i.e. the policy pursued in the money and foreign exchange markets. The developments during the period October 1979–July 1981 serve as example of how movements in Dutch money market rates are dominated by exogenous factors. The author concludes that in a small open economy which maintains a stable exchange rate there is no room for an independent money market policy and that the hectic developments in the international money and foreign exchange markets have made illusory what until very recently was regarded as the most important objective of the narrow monetary policy,viz. an orderly money market. P.C. Timmerman was Deputy Director of De Nederlandsche Bank N.V. and is now Managing Director of De Bank van de Nederlandse Antillen. A similar article by the author appeared inZoeklicht op beleid, liber amicorum in honour of Professor G.A. Kessler.     

DSGE模型框架下我国货币政策规则的比较分析

货币政策规则是中央银行为了保持通货膨胀和产出稳定并使经济更快发展所使用的货币政策的指导原则。目前,通行于各个国家的货币政策规则主要有利率规则和货币供应量规则。过去一段时间以来,西方发达国家都已逐渐从货币供应量规则过渡到利率规则,而在我国不管是应用方面还是理论研究方面,对于哪一个货币政策规则更适合我国始终都还没有定论。因此,本文试图在DSGE模型的框架下,对我国的货币政策规则进行比较分析。结果得出,相比于货币供应量规则,利率规则下:(1)货币政策更有效;(2)技术冲击所引起的通货膨胀和产出波动更小;(3)技术冲击对通货膨胀和产出的影响更短暂。因此,研究得出,我国更适合使用利率的货币政策规则。     

中国货币政策数量效果的实证研究

文章主要运用了单位根检验、协整检验、格兰杰因果关系检验、脉冲响应函数和方差分解等计量经济学方法,利用1994年到2004年的季度数据,对货币供应量、利率这两个重要货币政策变量与GDP之间的关系进行了计量分析,利率对实体经济的影响不显著;不同层次的货币供应量都能对经济产生影响,但它们对GDP的作用效果是有差异的.为提高我国货币政策的效果,实现我国货币政策的目标提出了相关的政策建议.     

市场营销的虚拟化策略与实施

本文对近几年我国通货紧缩的经济背景下的货币供给特征进行了综述 ,指出在我国货币当局使用多种货币政策工具进行宏观货币调控的过程中 ,扩大使用公开市场业务操作 ,对于达到我国物价稳定的货币政策目标所起到的关键性作用及其优势。最后还论述了公开市场业务发展的前景。