我国货币政策的有效性及其面临的挑战.docx

我国货币政策的有效性及其面临的挑战我国货币政策的有效性及其面临的挑战摘 要 改革开放以来，我国市场经济在不断的发展与完善，世界经济高速发展的同时，各国政府在面对经济波动时主动干预经济的能力趋向增强。我国是发展中国家，产品市场和金融市场还需完善，国家采取了各种调控手段调控经济，其效果并不明显。在这种情况下，分析影响我国政策有效性的因素，判断财政政策与货币政策在我国的经济环境中是否有效，以及我国宏观经济调控的政策选择等问题的研究都是极具现实意义的。中国正进行市场化改革，经济结构在缓慢改变，这意味着中国货币政策的有效性可能随之变动。然而已有的货币政策理论大多基于完全市场经济，而未考虑到转型经济体中的非市场因素，从而难以解释中国的情形。财政政策和货币政策作为治理市场经济的两种重要手段，在各国的宏观经济调控中都起着举足轻重的作用。 然而，财政政策和货币政策能否取得预期的效果，不仅取决于财政政策与货币政策是否能够正确的制定和实施，而且还取决于两者之间能否有效的搭配。如何摆正财政政策和货币政策在宏观调控中的地位，并协调配合使用两大政策，使其各尽其能，形成最佳合力，充分发挥各自对国民经济的积极调控作用，无论在理论上还是政策实践上都具有重大的意义。另一方面，自从“理性预期”革命以后，动态随机一般均衡模型逐渐成为了分析宏观经济政策的一个强有力的工具。它具有坚实的微观基础，融入了一般均衡的思想，能够很好地分解并比较外生冲击对经济波动的作用，能够方便地用于财政政策、货币政策传导机制的研究。同时，DSGE模型是完全结构化的模型，能有效地用于反事实的仿真研究，因而该模型已成为目前宏观政策经验实证研究的重要工具。基于以上两方面的考虑，本文在DSGE模型的框架下引入了财政政策和货币政策的联动性机制，考察两大政策的搭配如何影响我国的宏观经济的波动。为此，本文首先进行了相关研究的文献综述，并对DSGE模型的理论框架、求解方法以及参数估计做了简要的介绍。紧接着是本文的实证部分，分为两大块。一个是基于劳动市场出清的DSGE模型来分析财政政策与货币政策的联动性机制对我国产出、消费、通货膨胀和投资波动的影响;另一个是考虑劳动市场摩擦，基于劳动市场搜寻一匹配的模型来分析财政政策与货币政策的联动性机制对我国就业的影响。面对流动性过剩、资产价格膨胀和人民币升值压力等一系列宏观经济问题，中国央行采取以“逆风向行使”为特征的货币政策操作策略，体现了相机抉择性。然而，相机抉择的货币政策操作策略影响了中国宏观经济的稳定性。根据货币经济学理论，货币政策操作规范可分为两种类型:规则和相机抉择。关于这两种类型哪种更有效一直存在争议，尽管己有多数文献研究都支持规则的货币政策操作规范。从货币政策工具的角度上看，货币政策规则主要包括货币供应量规则和利率规则。然而，随着我国利率市场化改革的推进，央行又开始逐步采用利率工具，实行所谓的利率规则。货币供应量规则和利率规则的有效性是学术界研究的热点问题。己有货币供应量规则的有效性研究有如下主要观点:观点一，认为中国货币供应规则仍然有效，应该继续使用货币供应量作为中介目标;观点二，认为中国的货币供应量存在可控性、可测性和与相关性等缺陷，应该放弃货币供应量规则并转向其它规则(如，通货膨胀目标制规则和利率规则等);观点三，认为中国货币供应量规则无效，应该构建包含利率、货币供应量的复合中介目标体系。利率规则有效性的己有研究，也存在两种相反的结论:一种观点认为，利率规则可以为我国的货币政策提供一个参考尺度，衡量货币政策的松紧;另一种观点认为，利率规则的稳定性欠佳，并不适合作为我国货币政策的参照系。那么，在中国货币政策操作策略中，规则是否比相机抉择更有效?货币供应量规则和利率规则的有效性如何?中国是否应该继续使用货币供应量规则，还是放弃这个规则并转向其它的货币规则?本文首先从社会福利损失和经济稳定性角度出发，扩展Leitemoa&Soderstromb(2007)的AD-AS模型，采用Dennis&Soderstrom(2006)的新算法，比较研究规则和相机抉择货币政策模式的有效性。在货币政策规则对经济稳定性影响要小于相机抉择的研究基础上，本文进一步研究规则和相机抉择货币政策模式下的社会福利损失，研究结果发现:相机抉择操作模式造成的社会福利损失要远远大于规则，尤其是当中央银行更加偏好产出稳定时，规则操作模式的优势更加明显，从而为央行由相机抉择向规则转变提供了更进一步的量化支持。由于货币供应量的实际值与目标值之间存在较大差异，中国货币供应量规则的有效性遭受质疑，已有文献主要从货币供应量的可控性、可测性和相关性方面来研究货币供应量规则的有效性，而本文试图从货币流动性效应的新视角出发，首次利用DSGE模型来研究中国货币供应量规则的有效性问题。研究表明:从货币供应量调整到市场利率变化的中间传导渠道不通畅，货币政策利率途径所产生的流动性效应弱，影响了货币供应量规则的调控效果。从而为中国货币供应量规则调控宏观经济效果不佳提供新的定量依据。随着汇率市场化改革的推进，人民币汇率波动对中国宏观经济的影响将进一步深化。因此，本文试图将人民币汇率波动要素纳入利率规则的研究框架中，首次利用小型开放经济的DSGE模型来研究中国利率规则的有效性，并考察人民币升值冲击对中国宏观经济的影响。从贝叶斯估计参数的角度上发现，中国市场利率对通胀和产出的敏感度较高，而对汇率波动的敏感度较低，并进一步从蒙特卡罗马尔可夫链模拟结果上发现:正的利率冲击能使产出和通胀下降，紧缩性的利率政策制度能够抑制经济过热现象;在人民币升值冲击的过程中，利率起到了“内在稳定器”的作用，通过降低利率的方式来抵消升值冲击对经济造成的影响，利率的下降最终导致产出的增加和通货膨胀率的上升。由此表明，中国利率规则具有调控宏观经济的能力，为利率能够作为货币政策的中介目标提供了新依据。 近年我国学者对货币政策有效性的研究已经形成了一批重要成果，但在总体上，我国学者的研究大多数是以规范分析为主的，实证研究较少，即使是少数的定量分析其方法也是值得商榷的，很少有运用各种最新的经济计量方法进行深入分析的成果。货币政策命题包含着众多的前提和假设条件，规范性的研究成果其政策参考价值是有限的，而对其在理论分析基础上进行实证研究更具有现实意义。在国内外学者研究的基础上，主要围绕国内外学者争议较多的货币渠道和信用渠道，对我国由直接调控向间接调控转轨的货币政策传导机制进行实证分析。实证表明，信用规模和货币供应量都对国内生产总值具有明显的较强解释能力，因此，货币渠道和信用渠道在我国都是非常重要的货币政策传导途径。在我国的货币政策实践中，应兼顾货币渠道和信用渠道在我国货币政策传导中的作用。实证结果还表明，在我国货币政策的实际传导中真正发挥主导作用的却仍然是信用渠道。信用渠道比货币渠道在我国货币政策传导机制中具有相对重要性，意味着我国提高货币政策有效性应高度重视发挥信用渠道的作用。 本文基于DSGE模型，从要素配置市场化及行业准入限制逐步放开的角度，考察了中国市场化进程中的货币政策有效性。本文模型较好地拟合了中国的实际经济，根据模拟结果，我们发现在中国市场化进程中：对于国企经济，贷款基准利率的作用将逐步减小，而存款基准利率和存款准备金率的作用会逐步提高；对于民企经济，存、贷款基准利率，以及存款准备金率的作用都逐渐减小；对于总体经济，贷款基准利率的作用将逐步减少，而存款基准利率和存款准备金率的作用在改革前期不断上升，在改革后期逐步下降；在市场化改革的不同阶段，针对不同的政策目标，最有效的货币政策工具将有所差异。因此，需要根据不同的市场化程度，对各政策目标实施相应的政策工具，以提高货币政策的有效性，并加强政策工具间的协调配合。关键词：货币政策；有效性；中国市场化；DSGE模型The effectiveness of Chinas monetary policy and the challenges it facesAbstract: Since the reform and opening up, Chinas market economy in the continuous development and improvement of the rapid development of the world economy at the same time, the government in the face of economic fluctuations in the ability to actively intervene in the economy to enhance the economic fluctuations. China is a developing country, the product market and financial market also need to improve, the country adopted a variety of regulation and control of the economy, its effect is not obvious. In this case, analysis of factors affecting the effectiveness of Chinas policies, determine the fiscal policy and monetary policy in Chinas economic environment is effective, and the study of Chinas macroeconomic regulation and control policy choice problems are of great practical significance. China is on the market reform, the economic structure in a slow change, which means that the effectiveness of Chinas monetary policy may be changed. However, most of the existing monetary policy theory is based on the full market economy, which is difficult to explain Chinas situation without taking into account the non market factors in the transition economies. Fiscal policy and monetary policy, as the two important means to control the market economy, play an important role in the macroeconomic regulation and control. However, fiscal policy and monetary policy can achieve the desired effect, not only depends on the fiscal policy and monetary policy is to formulate and implement the correct, but also depends on whether the effective collocation between the two. How to adjust the status of fiscal policy and monetary policy in the macroeconomic regulation and control, and coordination of two policies, make its best efforts to give full play to their positive role in the regulation of the national economy, are of great significance both in theory and policy practice. On the other hand, since the rational expectations revolution, the dynamic stochastic general equilibrium model has become a powerful tool to analyze the macroeconomic policy. It has a solid micro foundation, into the general equilibrium theory, can be well decomposed and compared the effects of exogenous shocks on economic fluctuation, can be used conveniently for the study of fiscal policy, monetary policy transmission mechanism. At the same time, the DSGE model is a fully structured model, which can be used effectively in the research of anti fact simulation. Therefore, the model has become an important tool for empirical research of macro policy. Based on the above two considerations, this paper introduces the linkage mechanism of fiscal policy and monetary policy under the framework of DSGE model, examines how the mix of the two major policies affect the macroeconomic fluctuations in china. To this end, this paper first conducted a literature review of the related research, and the theoretical framework of the DSGE model, the solution method and the parameter estimation are briefly introduced. Followed by the empirical part of this paper, divided into two blocks. One is based on the DSGE model to analyze the impact of the labor market clearing linkage mechanism of fiscal policy and monetary policy on Chinas output, consumption, inflation and investment fluctuations; another is to consider the labor market frictions, influence the linkage mechanism of labor market search for a matching model based on the analysis to the fiscal policy and monetary policy the employment of our country. In the face of excess liquidity and asset price inflation and RMB appreciation pressure and a series of macroeconomic issues, the central bank China adopt the operation strategy of monetary policy headwinds to exercise features, reflects the choice of camera. However, the choice of the monetary policy operation strategy has affected the stability of Chinas macro economy. According to the theory of monetary economics, monetary policy operation rules can be divided into two types: rule and discretion. There has been a dispute over which of these two types of more effective, although most studies have supported the rule of monetary policy operation. From the point of view of monetary policy tools, monetary policy rules mainly include the rule of money supply and interest rate rules. However, with the advance of Chinas interest rate market reform, the central bank began to gradually use the interest rate tool, the implementation of the so-called interest rate rules. The effectiveness of money supply rules and interest rate rules is a hot issue in academic circles. There has been research on the effectiveness of money supply rules has following main views: one view, China that money supply rules are still valid, should continue to use the money supply as the intermediate target; two, that the money supply Chinese the existence of controllability, measurability and defects and relevance, should give up the money supply rule and turn to other rules (e.g., inflation targeting rules and interest rate rules); three, China that money supply rule is invalid, should build interest rate and money supply composite intermediate target system. The effectiveness of the interest rate rules have been studied, there are two opposite conclusions: one is that the interest rate rule can provide a reference for the scale of Chinas monetary policy, the measure of the tightness of monetary policy; another view, poor stability of interest rate rules, is not suitable for Chinas monetary policy reference the Department of. Then, in the Chinese operation strategy of monetary policy, the rule is more effective than discretion? How effective money supply rules and interest rate rules? China should continue to use the money supply rule, or give up the rules and other rules to money? This paper from the loss of social welfare and economic stability perspective, the extended Leitemoa&Soderstromb (2007) AD-AS Dennis&Soderstrom (2006) model, using the new algorithm, a comparative analysis on the efficiency of monetary policy rules and patterns. Based on the rules of monetary policy on economic stability is less than the discretion, this paper further studies the rules and monetary policy under the mode of social welfare, the results of the study found that the cause of the discretionary operating mode of the social welfare loss is much greater than the rules, especially when the central bank more stable output preferences, rules of operation the advantage is more obvious, so the central bank discretion to change the rules by providing further quantitative support. Because there is a big difference between the actual value and the target value of the money supply, the effectiveness of monetary supply rule China questioned, validity of the existing literature mainly from controllability, measurability and relativity in terms of money supply to the study of money supply rules, this paper tries to start from a new perspective of the effect of monetary liquidity the effectiveness of using DSGE model to study the Chinese money supply rules for the first time the problem. The study shows that: from the money supply to the market interest rate changes in the middle of the channel is not smooth, monetary policy interest rates generated by the liquidity effect is weak, the effect of the monetary supply regulation effect. It provides a new quantitative basis for the regulation of Chinas money supply rules to regulate the macroeconomic effects. With the reform of the exchange rate market, the impact of the RMB exchange rate volatility on Chinas macro economy will be further deepened. Therefore, this article attempts to RMB exchange rate volatility factors into the research framework of interest rate rules, the effectiveness of using DSGE model to study the small open economy Chinese interest rate rules for the first time, and the effects of RMB appreciation on the impact of macroeconomic Chinese. From the angle of the Bayesian estimation of parameters, high sensitivity Chinese market interest rate to inflation and output, while the exchange rate volatility is less sensitive, and further from the Markov chain Monte Carlo simulation results show that: the positive interest rate shocks to output and inflation decline, interest rate policy tightening system can restrain the overheating of the economy the impact of RMB appreciation; in the process, the interest rate plays the role of inner stabilizer, by lowering interest rates to offset the impact of appreciation on the economy caused by the decline in interest rates rise, eventually lead to increased production of and the rate of inflation. It shows that Chinas interest rate rule has the ability to control the macro economy, and it provides a new basis for the interest rate to be the intermediate target of monetary policy. In recent years, the research on the effectiveness of monetary policy scholars in our country have formed a number of important achievements, but in general, Chinese scholars mostly by normative analysis, empirical research, even few quantitative analysis of the method is questionable, there are few econometric methods of the latest for in-depth analysis of the results. The proposition of monetary policy contains a large number of assumptions and assumptions, the normative research results of its policy reference value is limited, and on the basis of theoretical analysis, empirical research has more practical significance. Based on the research of scholars at home and abroad, domestic and foreign scholars mainly focus on the controversial monetary channel and credit channel, the empirical analysis of the monetary policy transmission mechanism of Chinas transition from direct to indirect regulation and control. The empirical results show that the credit scale and the money supply have obvious strong explanatory power to the GDP. Therefore, the monetary channel and credit channel are very important in our country. In the practice of monetary policy in our country, we should take into account the role of monetary channel and credit channel in the transmission of monetary policy in China. Empirical results also show that in Chinas monetary policy in the actual conduction of the real play a leading role in the credit channel is still. The credit channel has the relative importance in the monetary policy transmission mechanism in our country, which means that our country should pay more attention to the efficiency of the monetary policy. Based on the DSGE model, this paper examines the effectiveness of monetary policy in the process of marketization in China, from the angle of the marketization of the factors and the restriction of industry access. This model can better fit the actual economic China, according to the simulation results, we found that in China in the process of market: for the state-owned economy, the benchmark lending rate will decrease gradually, and the effect of the benchmark deposit rate and deposit reserve rate will gradually increase; for private economy, benchmark deposit and lending rates, and the deposit reserve rate gradually decreases; for the economy, the benchmark lending rate will gradually reduce, and the effect of the benchmark deposit rate and deposit reserve rate rises continuously in the reform period, after the reform period gradually decreased; different stages of reform in the market, according to the different policy objectives, the most effective tools of monetary policy will vary. Therefore, according to the different degree of marketization, the policy objectives should be implemented in order to improve the effectiveness of monetary policy, and to strengthen the coordination of policy tools.Key words: monetary policy; effectiveness; marketization of China; DSGE model目录一、绪论71.1研究背景与意义71.1.1研究背景71.1.2研究意义71.2文献综述81.2.1货币政策有效性研究的理论学派81.2.2货币政策有效性的国内研究现状101.3研究思路与方法111.3.1思路111.3.2方法111.4创新与不足111.4.1创新111.4.2不足12二、我国货币政策的历史回顾122.1改革开放三十年的货币政策回顾122.1.1第一阶段122.1.2 第二阶段132.1.3第三阶段152.1.4第四阶段162.2我国货币政策传导机制的演变172.2.1 1978年以前的货币政策传导机制172.2.2 1978-1994年的货币政策传导机制182.2.3 1994-1997年的货币政策传导机制182.2.4 1998-2004年货币政策传导机制192.3我国货币政策从直接调控到间接调控的演变192.3.1货币政策最终目标和中间目标的转变192.3.2货币政策工具202.3.3货币政策间接调控实践22三、我国货币政策有效性的分析233.1构建DSGE模型233.1.1家庭243.1.2厂商263.1.3银行313.1.4政府323.1.5经济总体323.1.6货币政策冲击333.2货币政策有效性的DSGE模型分析343.2.1参数校准和模型的模拟效果343.3.2数值模拟结果与实际经济数据的匹配373.3.2市场化过程中的货币政策有效性40四、新时期我国货币政策面临的挑战524.1增长阶段转换背景下的宏观经济环境524.1.1增长阶段转换及其成因524.1.2增长转型期我国经济运行面临的风险544.2货币政策对新时期宏观经济的影响564.2.1货币政策对新时期宏观经济的调节作用564.2.2货币政策对新时期宏观经济的局现性564.3新时期货币政策与汇率政策配合的挑战574.3.1外贸依存度逐年提高574.3.2外汇储备的不断增加584.3.3以外商直接投资为主的引进外资方式59五、结论与政策建议605.1结论605.2建议60参考文献61致谢62XII一、绪论1.1研究背景与意义1.1.1研究背景 我国历经20多年的改革开放，在加入WTO和全球经济一体化的影响下，市场经济正在迅猛发展，2005年我国人均GDP己达1090美元，我国己迈出通货紧缩的阴影，进入新一轮的高增长通道。经济在高速的发展着，经济环境也是瞬息万变的，不论是国际环境还是国内环境每时每刻都有着新的发展动向，各国政府在面对经济波动时主动干预经济，短期影响经济的能力趋向增强。我国政府借鉴了西方政府运用财政政策与货币政策干预经济的成功经验，加大了运用财政货币政策对经济的宏观调控，尤其是近些年来，面对亚洲金融危机、世界经济增长放慢及我国有效需求不足的状况，我国政府使用财政政策与货币政策干预经济的力度和广度是前所未有的，这期间取得了令世人瞩目的成果。但我国毕竟是发展中国家，而且改革开放以来一直在摸索中前进，并且1998年以来，又出现了货币政策失效的局面，国家采取了各种调控手段，其效果并不明显。这说明在这样的背景下，判断财政政策与货币政策在我国的经济环境中是否有效，影响政策有效性的因素，以及我国宏观经济调控的政策选择等问题的研究都是极具现实意义的，本文就是基于这个背景对我国的货币政策有效性问题进行了研究，并提出了提高有效性的相应对策。1.1.2研究意义 近三百年来，众多经济学者，包括古典的萨伊、休漠和斯密，现代的凯恩斯、弗里德曼和托宾，近代的米什金和伯南克等都对货币政策的传导进行过讨论。而且，随着计量经济学等学科的发展，出现了大量有关货币政策传导机制的实证研究。尽管西方经济学家关于货币政策传导机制的研究得出了一些共同性的结论，但货币政策传导机制的相关理论还有待进一步研究和检验。对我国而言，关于货币政策传导机制的研究显然更具意义。因为西方学者关于货币政策传导的研究都是基于较为完善的市场经济环境进行的，而我国正处于社会主义市场经济体制的发展完善阶段，经济环境显然无法与西方发达的市场经济国家相比，西方学者的研究结论未必可以直接用来指导我国的货币政策，因而，结合我国的实情，检验西方货币政策传导理论对中国的适用性，并找出我国货币政策通过何种途径对真实经济产生影响，显然具有重要的实际应用价值。而且，在理论上，运用动态随机一般均衡模型(DSGE)对我国货币政策传导进行数量分析，可以加深我们对中国货币政策传导机制的了解。 货币政策的有效性对一国经济的稳定和复苏起着至关重要的作用，货币政策越有效，说明一国对于宏观经济的调控能力越强，反之亦然。研究我国货币政策的有效性，是为了探求我国对宏观经济调控的能力，了解我国货币政策是否真正适合我国国情，及时发现我国货币政策存在的问题，提醒我们是否有必要对现行货币政策适时做出调整。本文通过构建货币政策分析的动态随机一般均衡模型(DSGE)，运用实证研究的方法定量分析我国货币政策影响产出的途径，进而探讨完善我国货币政策传导的对策。因此，分析探讨我国货币政策的有效性，既有重要的理论意义，又有着深远的现实意义。1.2文献综述1.2.1国外研究现状 随着动态随机一般均衡模型(DSGE模型)的引入和发展，将DSGE模型用于货币政策分析成为当下货币政策研究的一个理论前沿。Christiano, Eichenbaum, and Evans (2005)首次构造动态随机一般均衡(Dynamic Stochastic General Equilibrium; DSGE) 模型来研究经济周期，并采用校准的方法对参数进行赋值，将校准后的模型生成的模拟数据与现实数据进行比较。Smets and Wouters (2007) 通过不完全竞争市场的设定在DSGE模型中加入了价格和工资刚性等凯恩斯元素，构建了所谓的新凯恩斯学派DSGE模型。由于DSGE模型具有许多独特的优势，如微观和宏观的完美结合、长短期分析有机整合、加入预期元素、一般均衡的理论等，日益受到宏观货币政策决策者和研究人员的青睐。当前，随着计算速度的迅速提高，以及Bayes估计方法的不断改进使DSGE模型的更新程度大大加快。Adolfson，M等(2005)是较早使用贝叶斯方法估计DSGE模型来研究开放经济下货币政策效应的经典文献。目前许多国家的中央银行、财政部门和其他经济部门以