金融结构演变、货币政策与银行风险承担异质性

基于2002-2017年165家银行的面板数据,本文采用可行广义最小二乘(FGLS)方法实证检验金融结构演变视角下货币政策对银行风险承担渠道的影响。研究发现:金融结构的变化对银行风险承担具有显著影响,随着直接融资占比的上升,银行资产端风险承担显著减少,但负债端风险承担显著增加;控制住金融结构的作用之后,货币政策对银行资产端风险承担和负债端风险承担也具有显著的异质性影响,具体来说,价格型货币政策的紧缩使得银行资产端风险承担显著减少而导致银行负债端风险承担显著增加,数量型货币政策的紧缩则使得银行资产端风险承担和负债端风险承担同时减少;此外,货币政策与金融结构对银行风险承担具有显著的交互影响,随着直接融资占比的上升,价格型货币政策工具对银行资产端风险承担的影响减弱,对银行负债端风险承担的影响没有表现出显著变化,数量型货币政策工具对银行资产端风险承担和负债端风险承担的影响都受到削弱。研究结论的政策含义对货币当局、监管部门以及商业银行都具有重要意义。     

我国货币政策传导机制现状及疏通对策研究——基于稳健货币政策背景

在稳健货币政策背景下,我国货币政策传导机制仍然存在传导渠道效率评判标准缺失、传导机制受阻后货币政策效率偏低、金融市场欠发达对传导渠道疏通能力较低等问题。应采取完善货币政策框架和利率传导渠道、强化货币政策工具定价和结构性调节功能、发展资本市场以拓展融资渠道、强化金融监管保持货币政策独立性等措施,努力疏通我国货币政策传导机制。     

美国货币政策调整对中国的溢出效应与传导机制研究

文章基于高频识别和反事实分析方法研究后发现,美国货币政策冲击对我国宏观经济的影响及其传导途径在2008年金融危机前后具有显著的不一致性。在金融危机前,美国的货币政策冲击主要通过汇率渠道对我国通货膨胀与产出产生显著的正向影响;在金融危机后,美国的货币政策冲击主要通过基础货币渠道对我国的宏观产出与物价产生显著的负向影响。这种不一致性是由央行逆周期调节在金融危机前后的差异所导致的:金融危机前,央行为抑制人民币汇率过快升值,被动实行扩张性货币政策,导致我国通货膨胀走高;而金融危机后,央行追随美国紧缩性货币政策,逆向调节美国货币政策冲击对人民币汇率的影响,加剧了我国宏观产出的负向波动。     

ECB: Quo Vadis?

The European Central Bank has implemented a very ambitious monetary policy since the financial crisis of 2008, intervening heavily in the eurozone economies. This policy has generated substantial risks to both the ECB’s primary task and its independence. It is therefore time for a fundamental evaluation of the ECB’s monetary policy strategy.     

“三元悖论”与中国汇率制度选择

＂三元悖论＂的基本原理是指在货币政策独立、资本自由流动和固定汇率这三个经济目标中最多只能同时实现两个,而该理论本身也存在理论假设过于绝对化,组合难以有效实现,政策组合难以执行的局限性。基于对中国资本流动现状和货币政策有效性分析和＂三元悖论＂的基本原理分析,得出我国的汇率制度选择终级目标是实现＂货币政策独立＋资本自由流动＋自由浮动汇率＂的政策组合。     

The necessity for a strategic approach to monetary policy

The Fed has a spotty track record, and its discretionary approach to conducting monetary policy will lead to the same mistakes it made in the past. I emphasize the importance of adopting a strategic framework for conducting monetary policy. The Fed has constantly changed the course of monetary policy in response to high-frequency data and other temporary factors. The Fed’s excessive monetary ease has distorted economic and financial behavior. The Fed should base its policy on longer-run objectives rather than short-run economic and financial fluctuations, and communicate these objectives to the public and to financial markets. Under the Financial Choice Act, the Fed would have to establish a strategic guideline, and explain to Congress why monetary policy may be deviating from the guideline. I respect the Fed and see the need for change to maintain its credibility. The Fed must acknowledge its shortfalls and modify its focus.     

An Empirical Analysis of the Determinants of Interest Rates in Ghana

ABSTRACT

This paper provides an empirical analysis of the determinants of the bank lending rate in Ghana using annual time series data from 1970 to 2013. We found evidence of a long-run equilibrium relationship between the average lending rate charged by commercial banks and its determining factors. In the long run, bank lending rates in Ghana are positively influenced by nominal exchange rates and Bank of Ghana’s monetary policy rate but negatively with fiscal deficit, real GDP and inflation. We also find positive dependence of the bank lending rate on exchange rates, and the monetary policy rate both in the short and long run. Specifically, our findings reveal that the Bank of Ghana’s monetary policy rate and the exchange rate, by far, show strong contemporaneous effects on the average bank lending rate in Ghana.     

适度宽松货币政策下的价格总水平运行分析

近年来,我国经济环境发生了显著变化,中央银行调控货币政策的手段、能力日渐成熟。适度宽松的货币政策对于抑制通缩预期,提振市场信心,防止陷入通货紧缩与经济下行相互加强的恶性循环,促使经济回暖发挥了至关重要的作用。但是,在全球经济总体回暖、货币条件较为宽松的大背景下,国内外通胀预期也有所增强。因此,正确把握新形势下我国货币供应量与价格总水平波动之间的关系,对于未来货币政策的实施具有重要实践意义。     

中国货币政策对银行风险承担行为的影响研究——基于异质性视角

国际金融危机的爆发引发了理论界对货币政策是否影响银行体系稳定更为广泛的关注。文章基于异质性视角构建动态面板数据模型对货币政策与银行风险承担行为之间的关系进行估计,研究结果表明：2003-2011年,货币政策变量对银行风险偏好的影响具有时滞性,贷款利率提高有助于抑制银行风险,货币供应量增加会刺激银行更加冒险;不同银行对货币政策冲击会做出异质反应,随着资本充足率的提高,货币政策对银行风险承担行为的影响效果减弱。因此,加强中国人民银行在宏观审慎监管中的主导作用、建立逆周期的货币政策和资本监管协调机制是后金融危机时代我国监管当局的重要议题。     

日德本币升值下的政策得失及对我国的启示

在本币升值背景下,日本与德国采取了不同的应对政策。德国首先着眼于国内宏观经济的稳定,放开汇率的波动,从而更好地保持了国民经济的稳定与增长;而日本试图阻止和缓解日元升值压力,其结果却是日元持续急剧升值,并造成了日本高通货膨胀和泡沫经济。综观日本、德国汇率波动的历史可以得到以下启示：人民币汇率升值是必然趋势;坚持货币政策的独立性十分重要;在坚持货币政策的独立性的同时,实现缓慢渐进式汇率改革;区域货币合作有利于区域内强国减少投机资本冲击,减少汇率升值对贸易品部门的负面影响;加快经济发展战略的转型,促使内外经济均衡发展。     

论开放经济条件下贸易政策对货币政策的影响

开放经济条件下，贸易政策对一国货币政策的实施具有重大影响：既给货币政策调节宏观经济目标增加了操作的难度，也对货币政策中介目标、传导机制、操作工具提出了挑战；而金融服务贸易自由化政策也会给货币政策的宏观环境带来巨大的影响：中国应以消除扭曲为着眼点，寻找二种政策的平衡点，加快改革，以使二者更好地为实现宏观经济目标服务。     

信用扩张的合理界限与房价波动研究

房地产业是资金密集型产业,它的供给与需求很大程度上由信用扩张程度来决定。而信用扩张的合理边界作为货币政策的目标,决定了房地产的繁荣程度与价格水平的高低。因此,货币政策对房价具有重要的影响。但是,由于所有的金融交易都存在着内在与外在的不稳定,这就需要一系列的金融制度安排来保证信用扩张边界的合理性。同样,由于金融制度不完全性、效应的滞后性及利益的渗透性,金融交易制度安排的缺陷可能成为房地产价格波动的制度性根源。由此,本文从货币政策的制度因素来讨论与研究信用扩张过度与房价的波动关系,并希望从中寻求对房价波动更为一般性的解释。     

Integrating Financial Stability into Monetary Policy

The global financial crisis has highlighted the importance of integrating financial stability concerns into monetary policy. In the Bank of Canada’s view, monetary policy should be the last line of defence against threats to financial stability, behind the joint responsibility of borrowers and lenders, appropriate regulatory oversight, and sound macroprudential policies. Still, it is critical to understand the interlinkages between monetary policy and financial stability, given that the objectives are not always consistent. This implies the necessity of trade-offs. At the Bank of Canada, this is regarded as a problem of risk management rather than policy optimization. That is why the Bank operates a risk-management approach to monetary policy—keeping inflation control as its primary mission.     

The unconventional monetary policy of the European Central Bank: Effectiveness and transmission analysis

Since the beginning of the financial crisis in summer 2007, the European Central Bank (ECB) has redirected traditional monetary policy, based on interest rates, to an unconventional monetary policy focused on the quantitative expansion of its balance sheet. In this context, the present paper aims to assess the effectiveness of unconventional monetary policy instruments with regard to inflation and economic growth. To this end, the methodology is based on the estimation of a structural vector autoregressive model for the period 2007:Q1–2018:Q4, using four variables: EONIA, the total amount of assets on the ECB's balance sheet, the Eurozone inflation rate and the Eurozone economic growth rate. The results show a slight impact of the different balance sheet policies on inflation and economic activity behaviour, especially during the last year of the financial crisis. The robustness of these results is supported by the estimation of the same model replacing EONIA rates with shadow rates. Therefore, the results support the existence of monetary transmission for the period during which the unconventional monetary policy was developed as well as the effectiveness of the monetary policy adopted by the ECB in its commitment to price stability.     

Monetary policy surprises and interest rates under China's evolving monetary policy framework

China's monetary policy framework has evolved considerably in the past two decades, increasingly moving from using quantity-based instruments and targets to using price-based instruments and targets. This paper assesses the effectiveness of monetary policy in China by examining the influence of monetary policy on market interest rates using an event-study approach. We find that the effectiveness of price-based instruments in impacting market interest rates increases over time, and that price-based instruments are as effective as quantity instruments during the period since the completion of interest rates liberalization. Furthermore, central bank communications, an increasingly important aspect of monetary policy, affect medium- and long-term market interest rates. Our findings are robust to the use of an alternative measure of monetary policy surprise and an alternative estimation method.     

Symbiosis of monetary and fiscal policies in a monetary union

We consider the interaction between the monetary policy in a monetary union, and the separate fiscal policies of the member countries. We use a Barro–Gordon-type model extended to many countries and fiscal policies. Each country’s fiscal policies inflict externalities on other countries, and the common monetary policy has its time-consistency problem. But if the two types of policymakers agree about the ideal levels of output and inflation, then this ideal is attained despite disagreements about the weights of the objectives, despite ex post monetary accommodation to fiscal profligacy, without fiscal coordination, without monetary commitment, and for any order of moves.     

Three Challenges to Central Bank Orthodoxy

Since 2007–09, the Federal Reserve has pursued a very aggressive monetary policy strategy. This strategy has been associated with healthy labor market conditions, moderate economic growth, and inflation—netting out the effects of a major oil price shock—that is close to the Federal Open Market Committee’s (FOMC’s) 2 percent target. Thus, with the economy returning to normal, it is natural for the FOMC to begin the process of exiting its highly accommodative policy. The FOMC has laid out several well-defined steps for this process. This strategy may be called central bank orthodoxy, since it is a natural extension of the classical view. However, three challenges to this orthodoxy have developed. Although each challenge is interesting and potentially helpful, the orthodox view provides a better basis for devising near- and medium-term monetary policy decisions.     

美联储量化宽松货币政策正常化与人民币汇率变动——基于时变参数向量自相关模型的研究

2015年后,随着量化宽松货币政策正常化和人民币汇率进入双向波动新常态,美国货币政策对人民币汇率的外溢效应日益显著。通过构建时变参数向量自相关模型对2008-2018年美联储量化宽松货币政策的实施和退出对人民币汇率的溢出效应进行研究,结果表明：美联储加息在滞后一季度作用人民币兑美元先升值后贬值,加息通过中美利差、产出差、货币供给之差分别作用于人民币兑美元贬值、升值和升值,利差渠道是主要作用渠道;美联储资产负债表扩张和缩减分别带来人民币汇率的升值和贬值,且扩张的升值影响大于缩减的贬值影响;美联储资产负债表和利率政策有一定替代性,替代关系存在明显的结构效应;美联储资产负债表的扩张和缩减分别带来中国银行间市场利率的下降和回升,两国利率表现出一定联动性。     

现代货币主义理论及其影响

现代货币主义是当代西方经济学中最流行和最有影响的学派之一。在经济全球化、全球一体化的背景下,研究现代货币主义的理论及观点,深入分析现代货币数量论及其货币政策,从中发现,西方现代货币主义开始潜移默化地影响我国宏观调控手段,对我国货币政策既有影响,也有启示。我国应调整货币政策中介目标,实现有效的货币供给;转变货币政策调控方式,给予财政政策支持与配合;厘清货币供给与通货膨胀关系,实施稳健的货币政策,从而应对快速发展的经济形势。     

Zur Problematik einer politisierten Europäischen Zentralbank

In September 2012, in order to save the euro, the Governing Council of the European Central Bank (ECB) announced unlimited purchases of crisis-country bonds if necessary (Outright Monetary Transactions). This was a significant change in monetary policy, leading to a controversial integration with fiscal policy and endangering the ECB’s independence as well as the preservation of price stability as its primary target. To restore the strict distinction between monetary and fiscal policy and to avoid monetary deficit financing, the author proposes to forbid purchases of government bonds not only on primary but also on secondary financial markets.