摘要
货币政策是宏观经济平稳运行的重要经济政策之一,而货币政策传导机制是决定货币政策有效性的重要组成部分。货币政策传导机制是中央银行运用货币政策工具影响货币政策中介指标,并最终影响既定产出和价格目标的传递途径和作用机理。1998年后中国经济运行机制的改变给宏观经济调控带来了挑战,立足于经济转型期的特殊时代背景,研究货币政策冲击实体经济的路径与效果,清除货币传递过程中的阻碍,对提高货币政策有效性具有重要意义。
论文以货币政策传导途径为主线,对货币政策的传导机制理论和实践进行了梳理。以此为基础,构建了本文的理论分析框架,提出了检验货币政策有效性的理论分析模型,并结合中国货币政策的理论实践,提出了检验货币政策传导机制有效性的标准。
以新凯恩斯主义经济理论为基础,一方面,在概括央行执行独立货币政策以来货币政策框架阶段性特点基础上,对我国货币政策有效性的历史沿革进行系统梳理。利用比较静态分析和描述性统计分析的方法,从货币政策最终目标一产出和价格角度衡量货币政策的作用效果,为进一步检验货币政策传导机制有效性提供实证分析基础。
另一方面,利用面板数据模型和结构向量自回归模型以及状态空间模型分析技术手段对中国经济转型期货币政策传导机制有效性进行了实证检验。对货币政策传导机制的有效性依然从利率传导渠道、信贷传导渠道和非货币资产价格传导渠道有效性进行。各个传导机制有效性的实证分析的样本数据尽量包含了不同经济周期,以此进一步探索不同经济周期中货币政策传导机制的非对称性。利率传导机制有效性的检验是依据1997年7月至2009年11月的月度数据,样本数据的范围跨度涵盖了我国从紧缩到扩张两个经济周期以及金融危机影响的短暂紧缩阶段。对于货币政策信贷传导机制有效性的检验,从货币当局向金融机构传导效果的检验开始,利用滚动时窗的回归检验,探索货币政策的松紧与信贷市场的松紧之间的因果关系。进一步通过VAR模型检验货币政策信贷传导机制在金融机构与企业之间的传导效果,而且通过对二元投资主体的分析检验货币政策信贷传导机制在公有制企业和非公有制企业之间传导是否具有非对称性。对于资产价格传导机制有效性的分析,文中检验了货币政策通过股票市场的传导和房地产市场的传导有效性。
进而,从经济转型期预期不确定性、金融资源分布不均衡性、货币政策传导中介发展的滞后性和经济体制改革的制度变迁性等角度对货币政策传导障碍性因素进行分析,并提出相应的对策建议。
从总体上看,经济转型期,货币政策的各种传导机制有效性并不理想,货币政策传导机制时滞过长。通过分析得出以下主要观点：
(1)在不同的经济周期上,货币政策传导机制具有显著的不对称性。在经济萧条期,扩张性的货币政策传导有效性比经济高涨期紧缩性货币政策传导效果差,表明货币政策在启动消费需求与投资需求的作用有限。
(2)中国目前通过调控货币数量来间接调控利率变动的机制不足,利率外生化阻碍了货币政策内部传导机制的有效性,而市场化程度较高的银行间同业拆借利率的作用有限,货币政策利率传导机制的投资效应相对有效,但是存在显著的弱消费效应。而二元投资主体下,国有企业固有的对信贷制度性依赖使得货币政策利率传导机制的投资效果大打折扣。较低的市场化利率水平仅仅是货币政策利率传导有效性低的表层因素,根源还是在于货币政策传导客体一国有企业的现代企业制度缺失。
(3)以利率衡量的货币政策的松紧与信贷市场的松紧并没有明确的因果关系,无论是经济繁荣期还是经济萧条期,商业银行的理性经济行为与货币政策的操作对实体经济的作用相互冲销了,削弱了货币政策信贷传导机制效果。同时,我国“二元”投资主体结构以及特殊的银行体制决定了货币政策信贷传导机制对国有企业传导有效,但是对非公有制企业失效。
(4)相对于数量型货币政策而言,价格型的货币政策对资产价格的传导更有效。但是从货币政策对资产价格影响的程度和时滞看,货币政策对股票市场的传导作用有限,中国股票市场波动更多的是依赖于股票价格自身的变化,央行货币政策向股票市场的传导受阻。股票市场的财富效应不显著,而投资效应显著,但是传导时间非有效。央行通过调控股票市场价格来传导货币政策的有效性并不可靠。
另外,从货币政策的不动产价格传导机制效果看,利率政策对房地产投资的调控作用比货币数量强大而持久,但居民对房地产价格上升的财富效应和信心效应并不敏感。最终产出对房地产投资波动敏感,因此,从经济平稳角度看,货币政策对房地产市场的调控更应慎重。
(5)导致货币政策传导机制失效的原因主要有四个方面：其一,有39%～43%的经济主体对通货膨胀的预期为适应性预期,这种粘性的预期行为导致公众对未来经济走势信心具有惯性,而反经济周期循环为目的的权衡性货币政策很难打破微观主体的惯性行为,最终导致货币政策传导机制失效。其二,区域金融分布不均衡加剧了货币政策区域效应,降低了区域经济对货币政策冲击的平均响应强度。其三,资本市场的规模、结构和制度不完善阻碍了货币政策资产价格传导机制的运行,资产价格泡沫扭曲了货币政策资产价格传导信号的初衷,货币政策资产价格传导机制并不稳定可靠。其四,中国处于经济转型时期,特殊的历史背景决定这一时期我国不可避免的要进行各种改革,渐进式改革使得预期和制度依赖对货币政策传导机制产生了持续的阻碍作用。
总之,在经济转型期,疏通货币政策传导机制、提高货币政策传导机制效果还需要继续加快利率市场化改革步伐,实施差别化的货币政策,完善金融市场的信号传导功能,加强货币政策与其它经济政策的配合。
Monetary policy is one of the major economic policies to ensure macroeconomic stability, and monetary transmission mechanism is the most important determinet of the effectiveness of monetary policy. Monetary transmission is the mechanism of how central bank use monetary policy tools to influence monetary policy intermediate targets and, ultimately, output and price targets. After 1998, economic transition of China challenges macroeconomic operation mechanism, to study the path and the effect of monetary policy on the real economy, remove obstacles to the process of monetary tramsimission; raising money policy effectiveness is meaningful.
The paper is constructed on three monetary policy transmission channels as the main line, and deeply discriptive the theory and practice of monetary transmission mechanism. Based on these, I construct a theoretical framework of this paper, and put forward a theoretical analysis model to test the effectiveness of monetary policy, as well as proposing the standard to test the effectiveness of monetary transmission.
Based on New Keynesian economic theory, on the one hand, I generalize the characteristics of framework of monetary policy. Using comparative static analysis and descriptive statistical analysis method, the paper compares effects of monetary policy from the ultimate objective of monetary policy-the output object and price object in order to provide empirical basis for testing the effectiveness of monetary transmission mechanism.
On the other hand, using the panel data model, SVAR model and state space modeling techniques, I make an empirical test of effectiveness of monetary transmission mechanism in China's economic transition. The test of monetary transmission is still from three channels and the sample data includes different economic cycles as much as possible to emplore asymmetry of monetary transmission mechanism in different economic cycle. Sample data span used in the effectiveness of the interest rate transmission mechanism test is from July 1997 to November 2009 which covers two economic cycles and a short period of financial crises. As for the credit transmission mechanism, I first test the effectiveness of monetary transmission from monetary authority to financial institutions. Using rolling window regression test, explore the causal relationship between tightness of monetary policy and credit market tightness. I further test the effect of credit transmission mechanism from financial institutions to enterprises by VAR model, and also test the asymmetry of credit transmission mechanism between state-owned enterprises and private enterprises. As for the effectiveness of asset price transmission mechanism, the paper examines the transmission of monetary policy through stock market and real estate market.
Furthermore, I proposed policy recommendations from the uncertainty of economic transition, the unbalanced distribution of financial resources, the lag development of monetary policy transmission intermediary and economic reform.
Overall, during economic transition, the effectiveness level of monetary transmission mechanism is low and the lags of monetary transmission is still long. the main points are as the followings:
(1) In different economic cycles, monetary transmission mechanism has a significant asymmetry. In the recession period, expansionary monetary policy transmission is less effectiv than tightening one which indicat that monetary policy has limited effect in stimulating consumer demand and investment demand.
(2) There is weak relatationship between the quantity of money and the interest rates, exogenous of interest rates hampered the inside validity of monetary policy transmission mechanism. While the effection of market-based inter-bank lending rates is limited, monetary interest rate transmission mechanism is relatively efficient on investment constracted with consumption that shows significant weak effects. The binary investors, the state-owned enterprises inherent dependence on the credit system allows the interest rate transmission mechanism of monetary policy effects impact on investment. Lower market interest rates is only the surface factors prevented effectiveness of monetary policy, the deep-seated cause is for the state-owned enterprises of lack the modern enterprise system.
(3) There is no clear causuality between tightness of monetary policy and tightness of credit, in recession period or during economic boom, the rational economic behavior of commercial banks offset the role of active monetary policy and result on weakening of the effect of monetary transmission mechanism. Meanwhile, China's binary investors and special banking system determined credit transmission of monetary is effective to state-owned enterprises, but failure to the non-state-owned enterprises.
(4) Constrasted with quantity monetary tool, the price one is more efficient to transmit asset prices. But from the impact degree and time lags of monetary policy on asset prices,the is little effectiveness of asset price transmission. Stock market's wealth effect is not significant, while investment effects are significant, but have long time lags. Taking into account the difficult of contraling stock prices, the effectiveness of asset transmission is not reliable.
In addition, real estate prices from the monetary policy transmission mechanism effect, the interest rate policy on the regulation of real estate investment strong and durable than the quantity of money, but the residents of the wealth effect of rising real estate prices and confidence effects and sensitive. The final output of the real estate investment volatility sensitive, therefore, from the stable economic point of view, monetary policy should be carefully regulated the real estate market,.
(5) There are four main reasons result in inefficiency of monetary transmission mechanism: the first is 39%～43% of people are adaptive expectations of inflation expectations, which led to counter-cyclical monetary policy difficulty in breaking the inertia of micro-behavior's expectations,and eventually leading to failure of monetary transmission mechanism. Second, the unbalanced distribution of the regional financial resouses reduces the impact of monetary policy on regional economy. Third, capital market size, structure and system hinder transmission mechanism. Fourth, economic transition background decide there is v arious factors obstructing the monetary transmission mechanism.
In short, during economic transitional times to improve the monetary transmission mechanism, we need to accelerate the pace of interest rate reform, implement differentiated monetary policy, improve the signal transduction function of financial markets, and strengthen the coordination of monetary policy and other economic policy.
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