外汇占款影响我国货币政策传导问题研究

发布时间：2018-01-02 07:19

本文关键词：外汇占款影响我国货币政策传导问题研究　出处：《浙江工商大学》2013年硕士论文　论文类型：学位论文

【摘要】：2002年以来,由于国际收支双顺差和人民币升值预期,外资大量流入,外汇占款的问题严重的影响了我国货币政策的实施,外汇占款已经成为我国货币供给增加最重要的渠道。因此,我国的货币政策传导也出现了一些独具特色的设计,如央行票据(简称央票)成为公开市场最有活力的工具,存款准备金率的调整发挥了重要作用。本文将考察外汇占款如何对货币政策传导产生影响,一是为了将外汇占款这些年来对我国货币政策运行环境的影响进行系统梳理,二是为货币政策传导渠道的改革提供分析基础。本文共分为五章,第一章是引言,对文章的研究背景意义、框架等进行了简要介绍。第二章比较了外汇占款的2种口径,解释了外汇占款的形成原因和主要来源,并对我国的货币政策传导渠道进行了介绍。在第三章,论文详细分析了外汇占款对我国货币政策传导渠道各个环节的影响,按照传导渠道作用顺序,先后从货币政策工具(公开市场业务、法定准备金率、再贷款再贴现),到操作目标(基础货币、货币市场基准利率),最后到中介目标(广义货币供应量、Shibor利率)进行分析。得到了4点结论。首先,因为外汇占款成为货币供给主渠道,我国中央银行货币政策操作工具的运用从主动投放基础货币变为被动冲销外汇占款。其次,为了冲销大量、持续的外汇占款增加,我国货币政策变动过度依赖央行票据发行和法定存款准备金率的频繁调整,忽视了再贷款再贴现工具的价值。这种被动调整带来的结果是,一旦外资流量减小,外汇占款不再频繁增加,银行体系流动性不再宽裕时,会对货币市场形成短期冲击,引发市场波动。再次,外汇占款影响了基础货币总量和增量结构,使我国的基础货币供给存在很强的内生性特征。当然,外汇占款持续增加背景下,我国央行票据市场逐渐趋于成熟,央行票据发行利率成为货币市场基准利率之一。最后,论文还从两个角度对外汇占款对M2的影响进行了阐述：一方面,它改变了M2的总量和增量结构；另一方面,笔者根据M2=MB*MM,从外汇占款对M2影响的第二个渠道——M2乘数角度进行了理论分析,这也对我国M2迅速增加的现象给出了解释。第四章对外汇占款的影响进行了实证数据验证和分析。第一节首先验证了外汇占款对我国货币乘数的影响渠道和影响系数。得到的结论是：外汇占款通过影响中央银行资产负债表的结构来改变货币乘数。我们发现,净国外资产占总资产的比重越高,货币乘数越高；央行票据占总资产比重越高,货币乘数越高。在第二节中,笔者将外汇占款对未来的货币市场基准利率——Shibor——的影响进行了长期协整分析和VAR脉冲检验和方差分解。结果发现,外汇占款对Shibor的影响不显著,这一方面体现出我国中央银行冲销的效果,另一方面也显示了Shibor利率长期的稳定性。外汇占款对Shibor的影响主要是间接的通过法定准备金率、定期存款利率和央行票据发行利率实现的。从长、短期的实证分析结果来看,法定存款准备金率的变化对Shibor的影响主要集中在短期,而存款利率和利率差对Shibor的影响则是以长期为主。在第五章,论文对外汇占款对货币政策传导的影响进行了总结,认为外汇占款从两个方面对我国货币政策的传导产生了影响。一方面,外汇占款通过影响基础货币和货币乘数加大了中央银行调控M2的难度,使“数量型”货币政策目标的可控性减弱；另一方面,外汇占款通过央行票据发行利率等因素间接对货币市场利率的大小产生影响,使我国货币政策初具“价格型”传导渠道的特征。总体来说,外汇占款改变了我国的货币政策运行环境,使货币政策传导渠道从“数量型”向“价格型”转变。针对前文得出的分析结论,本文提出了相应的三点建议。
[Abstract]:Since 2002, due to the double surplus of international payments and the expected appreciation of the RMB, foreign capital inflows, foreign exchange problems seriously affect the implementation of China's monetary policy, foreign exchange has become China's most important channels to increase the money supply. Therefore, China's monetary policy transmission also appeared in a number of unique design. If the central bank bills (referred to as the central open market) become the most dynamic tool, the deposit reserve rate adjustment has played an important role. This paper will examine how the foreign exchange impact on monetary policy transmission, one is for the system sort out the effects on the operating environment of China's monetary policy of foreign exchange in these years is two provide a basis for the analysis of the reform of the monetary policy transmission channel.
This paper is divided into five chapters, the first chapter is the introduction of the research background, significance, framework were introduced briefly. The second chapter compares 2 kinds of foreign exchange caliber, explains the causes and main sources of foreign exchange, and China's monetary policy transmission channels are introduced.
In the third chapter, the paper detailed analysis of the impact of foreign exchange on all aspects of China's monetary policy transmission channels, according to the channel sequence, successively from the monetary policy instruments (open market operations, reserve requirements, refinancing, rediscount) to operation target (the benchmark interest rate base currency, money market), and finally to the intermediate target (the broad money supply, interest rate Shibor) were analyzed. 4 conclusions. First, because foreign exchange has become a main channel of money supply, using the operating tool of China Central Bank monetary policy from the active base money into passive offsetting foreign exchange reserves. Secondly, in order to offset a continued increase in foreign exchange frequent, change and adjustment of monetary policy in China over reliance on the issue of central bank bills and the statutory deposit reserve rate, ignoring the refinancing and rediscount value. This kind of passive adjustment. The fruit is, once the foreign exchange flow is reduced, no longer frequent increased liquidity in the banking system is no longer good, will form a short-term impact on the currency market, lead to market volatility. Thirdly, foreign exchange affect the monetary base total and incremental structure, so that China's base money supply endogenous features very strong. Of course under the background, foreign exchange continued to increase, China's central bank bill market is gradually maturing, the central bank bill rate has become one of the benchmark interest rate in money market. Finally, the paper also from two perspectives on the impact of foreign exchange on the M2 is discussed in this paper: on the one hand, it changes the total amount of M2 and incremental structure; on the other hand, according to M2=MB*MM, a theoretical analysis from the second channels of impact of foreign exchange on the M2 of the M2 multiplier, which also increases rapidly on the M2 in China were also explained.
The fourth chapter on the foreign exchange for empirical data validation and analysis. The first section is verified on China's foreign exchange currency multiplier effect channel and effect coefficient. The conclusion is: to change the foreign exchange currency multiplier structure through the effect of central bank balance sheet. We found that the net foreign assets to total assets the higher the proportion of the money multiplier is higher; the proportion of total assets of the central bank bill is high, the money multiplier is higher. In the second section, the impact of foreign exchange on the future money market benchmark interest rate -- the Shibor -- the long-term cointegration analysis and VAR pulse test and variance decomposition. The results showed that the impact of foreign exchange exchange on the Shibor is not significant, which reflects China's central bank sterilization effect, on the other hand also shows the stability of Shibor interest rates for a long time. The impact of foreign exchange on the Shibor Is mainly indirectly by the statutory reserve ratio, deposit interest rate and the interest rate the central bank bills issued from the long, short-term analysis of empirical results, changes in statutory deposit reserve rate of Shibor mainly concentrated in the short term, while the deposit rate and the interest rate differential effect on Shibor is based on the long term.
In the fifth chapter, the impact of foreign exchange on the conduct of monetary policy are summarized, that the foreign exchange impact from the two aspects of China's monetary policy transmission. On the one hand, the central bank foreign exchange increased the difficulty of regulation of M2 by influencing the monetary base and money multiplier and the controllability of the quantity "the goal of monetary policy is weakened; on the other hand, the foreign exchange rate through the issuance of central bank bills and other factors indirectly on money market interest rates, the size of the influence, the characteristics of China's monetary policy has the" price "channel. In general, foreign exchange has changed China's monetary policy environment, the channels of monetary transmission the policy change from" quantity "to" price ". According to the conclusion obtained, this paper puts forward three suggestions accordingly.

【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.52;F822.0

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