中国货币政策传导渠道的产业非对称性研究

发布时间：2018-01-13 05:09

本文关键词：中国货币政策传导渠道的产业非对称性研究　出处：《上海大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着我国经济的快速发展和金融体系的逐渐完善,我国货币政策对整个宏观经济运行的状况及结果的影响逐渐增强。而货币政策传导途径是否合理有效,直接影响货币政策的实施效果和对经济的推动力。在一国经济发展的不同阶段,各种传导途径所处的地位和起到的作用也会发生相应变化。因此，如何协调、完善货币政策的各传导途径对经济的作用是目前我国非常重要的课题。目前国内外关于货币政策传导机制理论的研究很少有研究是综合全面地研究各个传导途径对于中国经济的产业非对称性影响，而事实上货币政策各个传导途径是同时作用来影响我国宏观经济运行的。将研究重点应该放在研究各个传导机制对于产业或行业的影响程度，可以在制定货币政策的时候以不同产业为基础来制定货币政策，从而达到货币政策预期效果。本文主要研究代表利率、资产价格、信贷和汇率四种货币政策传导途径的产业非对称效应。以贷款利率、市价总值、金融机构信贷规模和汇率作为主要研究对象，利用平稳性检验等时间序列方法，通过分三个产业分别构造VAR(向量自回归)模型来讨论四种货币政策传导途径对我国经济的作用效果，并说明货币政策四种传导途径在分别作用于三个产业的政策效果差别，，即货币政策的产业非对称效应。最后用TVAR（门限向量自回归）模型进行参数估计与VAR（向量自回归）模型进行对比，来进一步分析货币政策传导渠道对GDP的影响。通过实证分析认为，在我国的四种货币政策传导渠道——信贷、利率、汇率和资产价格，对于我国三大产业的政策效果各不相同。对第一产业的政策效果比较明显的主要是汇率和信贷，对第二产业的更有效的货币政策传导途径是汇率和资产价格，而资产价格和汇率两种传导途径两种货币政策传导渠道同样对第三产业的影响更为明显。
[Abstract]:With the rapid development of China's economy and the gradual improvement of the financial system, the impact of monetary policy on the state and results of the whole macro-economic operation is gradually strengthened, and whether the transmission path of monetary policy is reasonable and effective. It directly affects the effect of monetary policy and the driving force to economy. In different stages of a country's economic development, the position and role of various transmission channels will also change accordingly. Therefore, how to coordinate. It is very important to improve the transmission of monetary policy to the economy. At present, there are few studies on the transmission mechanism of monetary policy at home and abroad. It is a comprehensive and comprehensive study of the impact of various transmission channels on the industrial asymmetry of China's economy. In fact, all transmission channels of monetary policy act at the same time to affect the macroeconomic operation of our country. The research should focus on the impact of each transmission mechanism on the industry or industry. Monetary policy can be formulated on the basis of different industries in order to achieve the desired effect of monetary policy. This paper mainly studies the asymmetric effects of four monetary policy transmission pathways, I. e., interest rate, asset price, credit and exchange rate. The credit scale and exchange rate of financial institutions are the main objects of study, using time series methods such as stability test. This paper discusses the effects of four kinds of monetary policy transmission approaches on China's economy by constructing VAR (Vector autoregressive) model in three industries. It also shows that the four transmission channels of monetary policy have different effects on the three industries respectively. The industrial asymmetric effect of monetary policy. Finally, the TVAR (threshold vector autoregressive) model is used to estimate the parameters and the VAR (vector autoregressive) model is compared. To further analyze the impact of monetary policy transmission channels on GDP. Through empirical analysis, it is concluded that there are four transmission channels of monetary policy in China: credit, interest rate, exchange rate and asset price. For the three major industries in China, the policy effect is different. The policy effect on the primary industry is mainly the exchange rate and credit, and the more effective way of monetary policy transmission to the secondary industry is the exchange rate and asset price. The influence of asset price and exchange rate on tertiary industry is more obvious.
【学位授予单位】：上海大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F822.0

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