中央银行资产负债表政策研究

发布时间：2018-01-15 23:16

本文关键词：中央银行资产负债表政策研究　出处：《南开大学》2013年博士论文　论文类型：学位论文

【摘要】：2007-2009年的全球金融危机中,以美联储和欧洲央行为首的全球各大央行首次运用中央银行资产负债表政策,通过改变其资产负债表科目种类和规模来调节金融市场和实体经济。本研究从该政策的国际差异入手,创新性地系统揭示了美欧中央银行资产负债表政策在运用条件、政策影响以及传导渠道有效性之间的国际差异原因及最优政策规模。同时,在揭示中国人民银行资产负债表政策特点的基础上,本研究提出了将中国人民银行庞大的外汇储备作为一种具有中国特色的中央银行资产负债表政策的设想。从实证经验分析来看,本研究发现美联储与欧洲央行实施中央银行资产负债表政策的积极性存在显著区别,原因是利率宽松政策与该扩张政策的相互作用机制不同。美联储表现为“宽松-宽松”循环,欧洲央行为“宽松-紧缩”循环。其次,该政策的传导渠道有效性存在很大差异,美联储的资产重新配置渠道比欧洲央行更加有效,信号渠道在短期和中期有效；欧洲央行的信号渠道短期有效,长期则出现反作用。此外,该扩张政策短期内使通胀迅速上升,但长期CPI逐步恢复到均衡水平。同时,该政策对金融市场的调控能力远强于对实体经济的调控。从理论研究来看,首先,健康银行杠杆率对中央银行信贷政策规模的影响存在拐点。问题银行对信贷政策规模的影响是单调的,影响方向取决于外生的健康银行杠杆率水平。当需要救助的银行比例较低时,问题银行杠杆率越大,越应减少信贷宽松政策规模。其次,财政部对该政策的最优支持力度由无风险收益率、风险溢价、健康银行杠杆率以及问题银行杠杆率等因素共同决定。中国人民银行资产负债表政策以负债科目种类和规模调整为主,侧重短期微调。由于中国投资于美国国债和风险资产的外汇储备可以间接转化为美国对中国实体经济的国外直接投资,以增加中国实体经济的资金供给,因此外汇储备可以作为资产科目政策工具丰富我国货币政策工具。本文发现,只有在满足一定条件的情况下,中国外汇储备投资于美国股权越多,则其对外风险资产投资间接转化为本国私人部门FDI的比例越高。
[Abstract]:In the 2007-2009 global financial crisis, the world's major central banks, led by the Federal Reserve and the European Central Bank, used central bank balance sheet policies for the first time. This study starts with the international differences of the policy by changing the types and scale of the balance sheet subjects to regulate the financial markets and the real economy. Innovatively and systematically reveals the reasons for the international difference and the optimal policy scale between the balance sheet policy of the Central Bank of the United States and Europe in terms of the application conditions, the policy impact and the effectiveness of the transmission channel. On the basis of revealing the characteristics of the balance sheet policy of the people's Bank of China, this study puts forward the assumption that the huge foreign exchange reserves of the people's Bank of China should be regarded as a balance sheet policy of the Central Bank with Chinese characteristics. From the empirical analysis, this study found that there are significant differences between the central bank balance sheet policy initiative between the Federal Reserve and the European Central Bank. The reason is that interest rate easing interacts with that expansion differently. The Fed performs a "loose-easing" cycle, the ECB a "loose-tightening" cycle. The effectiveness of the transmission channel of this policy varies greatly. The asset reallocation channel of the Federal Reserve is more effective than that of the European Central Bank, and the signal channel is effective in the short and medium term. The ECB's signaling channels are effective in the short term and counterproductive in the long run. In addition, the expansion policy has caused inflation to rise rapidly in the short term, but CPI has gradually returned to equilibrium in the long run. At the same time. The policy's ability to regulate the financial market is much stronger than that of the real economy. From the theoretical point of view, first of all, the impact of health bank leverage ratio on the scale of central bank credit policy has inflection point. The impact of problem banks on the scale of credit policy is monotonous. The direction of influence depends on the level of leverage of exogenous healthy banks. When the proportion of banks in need of rescue is low, the greater the leverage ratio of problem banks, the smaller the scale of credit easing. The Treasury's optimal support for the policy is determined by risk-free yields, risk premiums, leverage ratios of healthy banks and problem banks. The balance sheet policy of the people's Bank of China is dominated by the adjustment of the types and scale of liabilities. Focus on short-term fine-tuning. Since China's foreign exchange reserves invested in US Treasuries and risky assets can be indirectly converted into US foreign direct investment in China's real economy to increase the supply of funds to China's real economy. Therefore, foreign exchange reserves can be used as an asset subject policy tool to enrich China's monetary policy. This paper finds that only if certain conditions are met, the more China's foreign exchange reserves invest in American equity. The higher the ratio of foreign venture capital investment to domestic private sector FDI.
【学位授予单位】：南开大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F231.1;F832.31

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