略论我国巨额外汇储备对从紧货币政策的影响

外汇储备作为一国经济金融实力的标志,它是弥补本国国际收支逆差、稳定本国汇率以及维持本国国际信誉的物质基础,但外汇储备并非多多益善.尤其对我国2008年开始实行的从紧货币政策而言,巨额的外汇储备导致的外汇占款会形成强大的压力,以至削弱货币政策的有效性.从我国外汇储备状况的现实入手,分析了我国外汇储备迅猛增长的原因及巨额外汇储备对我国从紧货币政策造成的压力.     

存款准备金政策对企业集团财务公司的限制作用

财务公司作为企业集团内部独立金融机构,其内部信用创造与商业银行社会信用创造存在明显差别。对财务．公司实施存款准备金政策,不能对我国货币调控政策起到显著作用,并与企业集团财务公司的基本功能存在着一定的错位,利少而弊多,因此,宜取消对企业集团财务公司实施的存款准备金政策。     

中国外汇储备对货币政策的影响

20世纪90年代中期以来,我国外汇储备在国际收支双顺差和外汇管理体制改革的推动下超常增长,并成为制约货币政策有效性的重要因素。本文从理论上阐明了在开放经济条件下,外汇储备与货币政策的内在逻辑联系;从实证角度剖析了外汇储备变动对我国货币政策调控的冲击,以及引起汇率政策与货币政策的冲突。我国应改革现行的外汇管理制度,加大公开市场业务操作力度,促使国际收支结构平衡,以提高货币政策实施的自主性和灵活性。     

中国外汇冲销干预和货币政策独立性研究

2002年以来,中国国际收支"双顺差"加剧,外汇储备急剧增长,货币供应量增长,通货膨胀压力凸现。为了稳定人民币汇率和抑制通货膨胀,中央银行采取了一系列外汇冲销干预措施。文章在分析外汇冲销干预有效性理论的基础上,分析外汇储备急剧增长下外汇冲销干预的效力和制约因素,认为外汇冲销干预短期内能抵消外汇占款、控制信贷增长,但效力有限;在长期内,外汇冲销干预不仅会影响货币政策独立性,还可能导致通货膨胀、利率上升、汇率升值乃至经济"滞胀",因而难以具有可持续性,最后,文章提出加强外汇储备管理,增强外汇冲销干预效力和货币政策独立性的政策建议。     

Monetary and Fiscal Policy Interactions in the Euro Area

The problem of monetary and fiscal policy interactions is an important issue for the euro area, since the individual member states of the EMU are responsible for their fiscal policies but monetary policy is pursued by a single monetary authority, the ECB. This paper is concerned with empirical evidence on monetary and fiscal policy interactions in the euro area. We first explore fiscal regimes with a VAR model and find empirical evidence that a non-Ricardian fiscal policy has been pursued in both France and Germany. As an example, we then study how one member state of the EMU, namely, Italy, is responding to the common monetary policy with its fiscal policy and find that Italian fiscal policy seemed to be counteractive to the common monetary policy between 1979 and 1998. In order to study monetary and fiscal policy interactions in a more general way, we explore time-varying interactions by estimating a State-Space model with Markov-switching for some Euro-area countries. There appear to be some regime changes in monetary and fiscal policy interactions in France and Germany, but the interactions between the two policies are not strong. Moreover, the two policies have not been accommodative but counteractive to each other. Finally we explore forward-looking behavior in policy interactions and find that expectations do not seem to have played an important role in the policy designs.     

货币需求稳定性、货币目标制与中国货币政策框架改革

稳定的货币需求是货币目标制有效发挥作用的前提条件。文章首先从理论上阐述了货币需求与货币目标制的内在关联。其次,基于协整理论与误差修正模型,利用1996-2011年季度数据实证检验了中国货币需求函数的稳定性。实证研究结果表明,中国长期货币需求函数和短期货币需求函数的系数都缺乏稳定性。货币需求函数的不稳定势必增加中国以货币供应量为中间目标的货币政策操作难度,从而导致现行货币目标制的有效性和适宜性不断降低。最后提出为提高货币政策框架的有效性,中国应择机引入通胀目标制。     

Interest rate dispersion and volatility in the market for daily funds

The purpose of this paper is to study the determinants of equilibrium in the market for daily funds. We use the EONIA panel database which includes daily information on the lending rates applied by contributing commercial banks. The data clearly show an increase in both the time series volatility and the cross-section dispersion of rates towards the end of the reserve maintenance period. These increases are highly correlated. We design a model to account for these empirical facts. Our theoretical model shows how the operational framework of monetary policy causes a reduction in the elasticity of the supply of funds by banks throughout the reserve maintenance period. This reduction in the elasticity together with market segmentation and heterogeneity is able to generate distributions for the interest rates and quantities traded with the same properties as in the data. We also investigate the effects of the changes in the Eurosystem's operational framework, enacted on March 2004, for interest rate behaviour.     

宏观审慎管理与货币政策协调配合研究

宏观审慎政策与货币政策之间的关系是当前研究的热点,国际金融危机的教训表明货币政策无法保证宏观经济稳定,需要引入宏观审慎政策加强金融稳定管理。宏观审慎管理侧重防范化解系统性风险并维护金融稳定,货币政策侧重维护价格稳定并促进经济增长,二者并非完全独立而且相互影响。为了更好地提高宏观政策配合有效性和实施好经济管理,要把握宏观审慎政策和货币政策目标定位、执行和测度的兼容性,加强宏观审慎工具和货币政策工具在种类设置、使用规则、使用时机上的配合,统筹实施主体的权责设置、激励机制、约束机制、政策边界及国际合作,在政策目标、操作工具、组织安排、微观机制等方面促进宏观审慎管理与货币政策的协调配合,实现促进经济增长和维持金融稳定。     

Time Inconsistency and the Exchange Rate Channel of Monetary Policy

This paper analyses time–inconsistency problems related to the exchange rate channel of monetary policy. Within a simple open–economy macroeconomic model, where the exchange rate is the only forward–looking variable, we show that a difference emerges between optimal policy under discretion and under commitment. Moreover, the nature of the time–inconsistency problem resembles that resulting from standard New Keynesian models: when cost–push shocks occur, the exchange rate channel gives rise to excessive output stabilisation and insufficient inertia in monetary policy under a discretionary policy.
JEL classification : E 42; E 52; E 61     

中国利率期限结构的货币政策含义

本文采用Nelson-Siegel参数模型连续估计了中国利率期限结构曲线,实证了远期利率对未来即期利率的预测能力,分析了央行货币政策措施对利率期限结构的影响和实施效果,研究了利率期限结构与未来通货膨胀的关系。研究结果表明,中国利率期限结构能够为研究制定货币政策提供大量有用的信息。     

当前我国"负利率"现状及货币政策选择

在当前的宏观经济形势下,我国的负利率对居民消费和储蓄、企业投资、商业银行的经营管理和资本市场等具有不同影响。综合考虑这些影响,央行目前不宜提高名义利率,而应该提高宏观经济调控水平,确保经济能够长期健康发展。     

金融不平衡与货币政策——基于文献研究的角度

在现代经济金融体制下,金融不平衡的积累和破灭,对货币政策的最终目标—货币稳定和金融稳定产生了重大不利影响,货币政策如何应对金融不平衡成为很多学者关注的话题。本文分析了货币政策在金融不平衡形成中的作用,以及金融不平衡对货币政策最终目标产生的不利影响,介绍了货币政策应对金融不平衡的几种政策主张。     

The Impact of Monetary Policy and Housing-Purchase Restrictions on Housing Prices in China

This paper examines the level and volatility effect of monetary policy on housing prices in China utilizing a novel set of housing price indices constructed by (Fang, H., QuanlinGu, W. X., & Zhou, L.-A. (2015). Demystifying the Chinese housing boom. NBER Macroeconomics Annual 2015, Volume 30. University of Chicago Press.). We find that in the long-run, average housing prices react positively to inflation, money supply and bank lending growth, and negatively to the reserve requirement ratio and benchmark lending rate. Housing prices in Tier 1 cities respond more sensitively to monetary shocks relative to Tier 2 and 3 cities, possibly due to surging demand and limited supply under housing-purchase restrictions (HPR). We further study the volatility effect of monetary shocks using the GARCH model and find that the benchmark lending rate, reserve requirement ratio and money supply growth have strong negative impact on the volatility of housing price growth. Our benchmark results remain robust after incorporating the HPR policy variable in the estimation, with a significant negative effect of HPR on housing price growth in Tier 1 and Tier 2 cities. Lastly, we conclude with recommendations on future monetary policy design and implementation, with a specific focus on the heterogeneous characteristics of China’s housing market.     

基于资产价格影响的货币政策非对称性效应研究

利用NK-SVAR模型就我国货币政策的非对称性效应进行研究,结果表明,紧缩性货币政策的效果比较明显,而扩张性货币政策效果较弱.货币冲击的紧缩效应强于扩张效应,这表明抑制经济的过快增长时紧缩性的货币政策效果显著,但扩张性货币政策无法摆脱经济的恶性衰退.     

我国外汇存款准备金问题研究

2007年美国次贷危机爆发后,全球性的流动性过剩被流动性不足所替代,美国政府采取了扩张性的政策组合,即以降息和提供紧急流动性援助方式为代表的扩张性货币政策、以减税为代表的扩张性财政政策以及纵容美元贬值的汇率政策,以对中国经济政策的调整空间形成制约.我国中央银行上调外汇存款准备金率以及要求用外汇缴存新增人民币存款准备金的做法,并不能从根本上缓解人民币汇率的升值压力,相关的外汇存款准备金制度设计还有待改进.     

货币政策对资产价格冲击效果透视

文章在VECM模型的基础上,运用脉冲响应方法分析了股票市场在低迷时期和膨胀时期对不同货币政策冲击响应的效果。结果表明:货币政策可以有效地调节资产价格,在资产价格低迷阶段,用利率调节具有相对持久和明显的作用,金融机构贷款也在推动股票价格上涨中起到了一定的作用;在资产价格膨胀阶段,利率可在一定时期内起到微调作用,控制货币供应量可对价格泡沫的控制起到即时效果。     

我国资产价格波动与货币政策关系研究

随着金融自由化的逐步推进,资本市场存量日益增大.这既体现了金融深化程度的提高,又意味着货币供应与国民经济主要指标之间稳定性的弱化.资产价格对货币政策的制订和执行会产生深刻的影响.其中股价、房价等资产价格在货币政策传导机制中扮演的角色越来越重要.本文从实证角度出发,通过构建VAR模型检验我国资产价格对货币政策的反应以及资产价格对货币政策目标的影响,发现资产价格、货币政策及货币政策目标间存在长期协整关系,资产价格对产出有正向冲击作用,股市显著影响通货膨胀,但房地产市场对通货膨胀推动作用不明显,资产价格受货币政策的冲击影响显著,其中股市对货币政策冲击的反应明显大于房地产市场.     

Analysis on Inefficiency of Transmitting the Monetary Policy of the Capital Market

Looking from the institutional system that the stock market services the state-owned enterprises, the bad corporate governing structure of the state-owned listed companies, the lack of balance between the yield from an investment and the stock, and the polarization of the wealth distribution in the stock market, we make an intensive analysis and exploration on the inefficiency of transmitting monetary policy of Chinese capital market herein.     

Monetary transmission in Germany: Lessons for the Euro area

This study analyses the transmission of monetary policy in Germany for the EMS period in the framework of a structural vector error correction model (S-VECM).Three stable cointegration relationships are found: a money demand relation, an interest rate spread and a stationary real interest rate. Based on both contemporaneous and long-run restrictions, five structural shocks to the economy are identified. In contrast to analyses for the euro area, we find that output and inflation are not independent in the long run for Germany. In accordance with results previously found for Europe, we do not find strong support for monetary targeting for Germany. Our analysis indicates that uncertainties remain concerning the controllability of money and its usefulness as a leading indicator with respect to inflation. Stability of the money demand relationship does not seem to be problematic.Jel classification:C32, C52, E41, E43, E52We would like to thank Jörg Breitung, Bertrand Candelon, Peter van Els, Carsten Folkertsma, Helmut Lütkepohl, Dieter Nautz, Hans-Eggert Reimers, Nikolaus Siegfried and Jürgen Wolters, two anonymous referees as well as participants of the 8th World Congress of the Econometric Society in Seattle and the Annual Meeting of the Verein für Sozialpolitik in Berlin for helpful comments. The views expressed in this paper do not necessarily reflect those of the European Central Bank or De Nederlandsche Bank.Both authors were working at the research department of De Nederlandsche Bank at the time of writing.First revision received: April 2002/Final revision received: January 2003     

我国货币政策对人民币汇率影响的实证研究

文章基于2005年7月21日我国人民币汇率改革以来的连续时间序列数据和离散数据,利用多元回归模型,实证研究了人民币汇率市场化改革以来我国货币政策对人民币汇率的影响。实证结果表明:我国货币政策的两个变量—货币供应量和利率,会对人民币汇率产生显著的影响,其中人民币货币供应量增加会引起人民币汇率贬值,银行间信用隔夜拆借利率上升可以引起人民币汇率升值。因此,中国在稳步推进人民币汇率制度改革同时,应有效监控我国货币供应量对汇率的影响,密切关注银行间同业拆解利率对人民币汇率波动的影响,从而促进我国经济内外平衡和外汇市场的平稳健康发展。