我国货币政策资产负债表传导机制研究

发布时间：2018-01-01 20:14

本文关键词：我国货币政策资产负债表传导机制研究　出处：《西南财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：货币政策传导机制是指中央银行运用货币政策工具实现既定央行的政策目标过程中,涉及的各种中间环节相互间的有机联系或因果关系,包括货币供给量等政策变动影响名义和实际变量的途径。事实上,对于货币政策传导机制的分析是在货币政策有效性的框架下进行,分析一种传导机制最终目的是为了实现央行货币政策的有效性,能够对产出、价格等货币政策目标起到作用。具体来说,货币政策传导机制的研究,自凯恩斯建立宏观经济分析框架以来,各经济学派从各自不同的观察角度和强调因素出发,建立了关于货币政策传导机制的许多流派的理论。包括凯恩斯学派的传导机制理论和货币学派的传导机制理论,前者是以利率为主要环节的货币政策传导机制理论；后者则认为货币供给是名义国民收入的基本决定力量,从而货币供给量在货币政策传导过程中是决定性因素。在我国,自从1998年中国人民银行取消了对商业银行的贷款限额管理,开始运用公开市场业务、存款准备金等一系列货币政策工具对宏观经济进行间接调控以来,央行的货币政策调控机制逐渐成熟。与此同时,关于我国货币政策传导机制的研究也日渐丰富,许多国外证实过的货币政策传导机制都有被广泛的研究分析,特别是利率等资产价格传导机制和信贷途径传导机制。但是作为信贷途径传导机制的一种重要形式——资产负债表传导机制,目前国内的研究却比较少。资产负债表传导机制是伯南克和格特勒在1995年提出的。他们指出这种传导机制表现为,在货币政策影响下企业的可抵押资产价值、现金流和投资预期等资产负债表因素会发生变化,在信息不对称的环境下,这两点的变化使得银行对企业风险的衡量会有更显著的改变,从而改变企业获取银行贷款难易程度,最终影响投资水平和货币政策的产出目标。对于居民资产负债表传导机制的分析,从思路上也是和企业资产负债表机制类似,在货币政策变动冲击下,居民的财富、可抵押资产价值和消费预期等资产负债表因素会发生变化,引起消费支出(包括消费性贷款等)变动,从而最终作用于产出等货币政策目标。1996年伯南克和格特勒二人将资产负债表传导机制进一步明确的分类为企业层面的投资支出效应和家庭层面的消费支出效应。本文就是在伯南克和格特勒的理论基础上对我国货币政策引起企业和居民资产负债表因素的变化,并最终作用于货币政策目标这一资产负债表传导机制进行全面的分析。伯南克和格特勒的分析表明企业资产负债表传导机制发挥作用要借助于银行信贷。当前我国商业银行的资产构成是以各项贷款资产为主。这一客观现状,为企业资产负债表传导提供了良好的金融环境。如果商业银行资产构成不是以各项贷款资产为主,当中央银行采取各种措施紧缩货币政策的时候,逼迫商业银行减少贷款发放量,此时商业银行就选择可以自行调整自己的资产结构,将有价证券出售(同时提高了自己在中央银行的准备金额度)这样就可以增加贷款资金发放,从而冲减紧缩性政策的影响。然而由于我国金融机构持有的有价证券及投资比重较低,而外汇占款虽然占比重较大但是缺乏灵活性,商业银行很难通过有价证券等资产调整充分平滑紧缩的货币政策对贷款产生的冲击。因此,中央银行就可以运用货币政策有效地调控商业银行信贷行为。同时企业资产负债表传导机制发挥作用还需要另一个金融环境：以银行信贷为代表的间接融资在企业的融资结构中占绝对优势地位。因为只有在企业主要是借助银行信贷来满足自己的融资需求的环境下。在受到货币政策变动冲击后,企业的资产负债表因素(可抵押资产价值和现金流等)的改变影响了企业的银行信贷获取量之后,企业没有或者较少有其他的替代融资方式来满足自己的资金需求,这样企业才会缩减自己的投资规模,然后货币政策最终作用到货币政策目标,实现中央银行货币政策有效性。对于居民资产负债表,也是需要上一段分析的第一个金融环境条件。以消费支出中的消费性贷款为例,这部分属于居民的负债,当央行实行紧缩货币政策。由于商业银行资产结构是以各项贷款资产为主,她必须紧缩信贷这样消费信贷必然减少,央行就有可能实现其货币政策目标。因为我国具备上述的两点客观金融环境,我国资产负债表传导机制从理论上讲就比较明显,基于这一点认识。本文首先简要介绍了货币政策框架的基本理论,主要分析了现有的凯恩斯和货币主义学派的货币政策传导机制理论。同时,在这些理论中重点阐述了资产负债表传导机制的基本理论,详细分析了该传导机制作用机理。其次,在理论分析的基础上,对我国企业资产负债表传导和居民资产负债表及其传导进行了具体的分析,并从逻辑分析上证实了我国资产负债表传导机制的存在。然后,为了能够更加准确的分析我国的资产负债表传导机制,本文在第四部分进行了实证的分析。从货币政策的中间目标开始,分析中间目标如何影响资产负债表因素,再如何影响信贷量、消费支出,最后作用于货币政策目标。具体来说,在企业资产负债表传导机制中：货币政策的中间目标本文选取了货币供应量MO、市场利率——七天内银行间同业拆借利率；企业的资产负债表因素指标基于数据的可得性选取沪、深两市上市公司季报数据：现金流(财务费用、营业收入除以总资产)、可抵押价值(流动资产与固定资产净额之和除以总资产)；信贷量方面选取的是金融机构各项贷款；而最终的货币政策目标选取的是：国内生产总值和价格水平(定基期的CPI)。居民资产负债表传导机制方面。货币政策中间目标和企业资产负债表传导机制分析一样,只是利率选取了一年期贷款基准利率；在居民资产负债表因素方面。选取了：居民存款、房产价值以及股票价值(沪、深两市的每日收盘价统计的月均股票流通市值),消费支出方面由于没有月度消费支出数据,选取了消费性贷款作为衡量月度消费支出的指标。货币政策的目标由于没有月度GDP,同时也考虑了其他因素,就只选取了定基期的价格水平。通过实证分析,得出我国存在企业和居民资产负债表传导机制,但是企业资产负债表方面,信贷量对于企业资产负债表因素的变动反应不敏感。居民资产负债表方面,居民存款和房产价值对于中央银行货币政策的变动反应不敏感。针对企业和居民资产负债表传导机制过程中存在的这些阻塞,为了使中央银行的货币政策更具有有效性,两类资产负债表传导机制更顺畅、更有效率。本文在最后一部分分别对企业和居民两类资产负债表传导机制提出了相关的政策建议。具体来说,针对企业资产负债表传导机制存在的阻塞,本文提出,两个方面的建议,一是、改善社会信用及相关法律环境；二是、重构企业与银行关系两个方面,国有企业要建立“产权清晰、权责明确、政企分开、管理科学”的现代企业制度。而商业银行要继续深化商业银行体制改革,规范商业银行的治理结构,建立商业银行责权利对称的激励约束机制。这样,商业银行才会根据借款人的资产负债表因素进行市场化的贷款决策与贷款管理。而针对居民资产负债表传导机制,则从增加居民收入、减少居民间收入差距、完善社会保障体系和扩大居民投资渠道等方面提出了相关的政策建议。
[Abstract]:The transmission mechanism of monetary policy is refers to the central bank to use monetary policy tools to achieve the goal of the central bank's policy process, involving various intermediate links between the organic connection or causal relationship, including money supply policy changes affect the way of real and nominal variables. In fact, the analysis on the transmission mechanism of monetary policy is carried out in the framework the effectiveness of monetary policy, an analysis of the conduction mechanism of the final purpose is to realize the effectiveness of monetary policy, to output, prices and other monetary policy goals play a role. Specifically, the research on the transmission mechanism of monetary policy, since Keynes established a framework for macroeconomic analysis, each economic school from different observation the angle and emphasize the elements of established many schools on the transmission mechanism of monetary policy transmission mechanism theory. Including the Keynes School of Science The theory of the transmission mechanism and monetary economics theory, the theory of monetary policy transmission mechanism with interest rates as the main part; the latter believes that the money supply is basically determined nominal income power and money supply is the decisive factor in the process of monetary policy transmission in China. Since 1998, the people's Bank of Chinese cancelled on loan quota management of commercial bank, began to use open market operations, reserve since a series of monetary policy tools to indirectly control the macro economy, the central bank monetary policy regulation mechanism gradually become ripe. At the same time, the research on the transmission mechanism of monetary policy in China is also increasingly rich, the transmission mechanism of monetary policy has many foreign confirmed by the analysis of extensive research, especially interest rates and other asset prices transmission mechanism and credit transmission mechanism. But as a way to transfer credit One of the important forms of the guide mechanism, the balance sheet transmission mechanism, is relatively small at present.
The balance sheet transmission mechanism is put forward by Bernanke and Gertler in 1995. They pointed out that the performance of the transmission mechanism for monetary policy in the enterprise, under the influence of the collateral value of assets, cash flow and investment expectations balance sheet factors will change, in the asymmetric information environment, change the measure will be more significant change of bank enterprise risk, thus changing the enterprises to obtain bank loans to the degree of difficulty, and ultimately affect the level of investment and monetary policy output target. For the analysis of resident balance sheet transmission mechanism, from the idea and also the corporate balance sheet mechanism similar to that in the shock of monetary policy, the wealth of the residents, can the collateral value of assets and consumer expectations and other factors will change the balance sheet, causing consumer spending (including consumer loans) changes, it will affect the output As the goal of monetary policy.1996 Bernanke and Gertler two will be the balance sheet transmission mechanism to further clarify the classification effect of investment expenditure effect of enterprise level and household level consumption expenditure. This paper is based on the theory of Bernanke and Gertler on China's monetary policy caused by corporate and household balance sheets and the change of the factors. The ultimate goal of monetary policy effect on the balance sheet transmission mechanism to conduct a comprehensive analysis.
The analysis of Bernanke and Gertler that enterprise balance sheet transmission mechanism with the aid of bank credit. The current our country commercial bank assets is to constitute the loan assets. This objective situation, provide a favorable financial environment for the enterprise balance sheet transmission. If the asset structure of commercial bank loans to assets not mainly, when the central bank to take various measures to tighten monetary policy, forcing commercial banks to reduce the amount of the loan, the commercial bank can choose to adjust their asset structure, the sale of securities (also raised its own central bank reserves) so they can increase the loan funds, thereby reducing effect austerity policy. However, due to China's financial institutions holding securities and investment proportion is low, although the proportion of the foreign exchange is heavy But the lack of flexibility, it is difficult to have a commercial bank by assets securities to adjust fully smooth tight monetary policy impact on loans. Therefore, the central bank can use monetary policy to effectively control the credit behavior of commercial banks. Also need another financial environment and corporate balance sheet transfer mechanism: indirect financing to bank credit represented in the financing structure of enterprises in the dominant position. Because only in the enterprise mainly rely on bank credit to meet their financing needs of the environment. Under the shock of monetary policy, the balance sheet business factors (which can be the collateral value of assets and cash flow) after the change the influence of enterprise access to bank credit, enterprises have less or no other alternative financing methods to meet their funding needs, such companies will shrink To reduce the size of its own investment, then monetary policy ultimately affects the target of monetary policy to achieve the effectiveness of the monetary policy of the central bank.
For residents of the balance sheet, but also need a financial analysis of the first environmental conditions. The consumer spending in consumer loans as an example, this part belongs to the residents of the debt, when the central bank to tighten monetary policy. Because the assets structure of commercial banks in the loan assets, she must tighten credit consumer credit so inevitable the central bank reduced, it is possible to achieve the goal of monetary policy.
Because I have the two objective financial environment, China's balance sheet transmission mechanism theoretically on the more obvious, based on this cognition. This paper briefly introduces the basic theory of monetary policy framework, the main analysis of the monetary policy transmission mechanism theory of Keynes and the monetarist school existing. At the same time, in the the theory focuses on the basic theory of the balance sheet transmission mechanism, a detailed analysis of the effect of the conduction mechanism. Secondly, on the basis of theoretical analysis, to our country enterprise balance sheet transmission and household balance sheets and the transmission is analyzed, and the logical analysis confirmed that the assets in China the balance sheet transmission mechanism.
Then, in order to our balance sheet transmission mechanism analysis more accurate, this paper makes an empirical analysis in fourth parts. Starting from the intermediate target of monetary policy, analysis of intermediate target can affect the balance sheet, then affect the credit amount, consumer spending, the last is monetary policy objectives. Specifically, in the balance sheet transmission mechanism: the intermediate target of monetary policy from the money supply MO, market interest rates -- the bank within seven days of interbank lending rates; index of balance sheet elements of enterprise data availability based on quarterly data based on the Shanghai, Shenzhen two city listed companies: (financial costs, cash flow operating income divided by total assets), mortgage value (net current assets and fixed assets and total assets); credit amount is selected and the financial institutions loans; The final goal of the monetary policy selection is: GDP and price level (fixed base CPI). The resident balance sheet transmission mechanism. As monetary policy intermediate objective and conduction mechanism analysis of corporate balance sheet, but the interest rate is selected on a one-year loan benchmark interest rate; in terms of household balance sheets. Selected: residents deposits, real estate value and stock value (Shanghai and Shenzhen two city daily closing price statistics of the average monthly stock market capitalization), consumer spending because no monthly consumption expenditure data, select the consumer loans as a measure of monthly consumption expenditure index. The goals of monetary policy with no monthly GDP, at the same time also consider other factors, we selected only the fixed base price levels.
Through empirical analysis, obtains our country enterprise and resident balance sheet transmission mechanism, but the statement of assets and liabilities, the amount of credit for the enterprise balance sheet factors were not sensitive. The residents' balance sheet, residents deposits and real estate value for central bank monetary policy change is not sensitive. In view of the existing enterprises and the resident balance sheet transmission mechanism in the process of the obstruction, in order to make monetary policy more effective, two kinds of balance sheet transmission mechanism more smooth, more efficient. In the last part of the enterprises and residents of two kinds of balance sheet transmission mechanism and put forward relevant policy suggestions. It aimed at blocking the corporate balance sheet transmission mechanism are presented in this paper, two aspects of the proposal, first, improve the social credit and legal environment; two Yes, the two aspects of reconstruction of relationship between enterprises and banks, state-owned enterprises should establish "clear property rights, clear responsibilities, separation of government and enterprise, the modern enterprise system and scientific management". Commercial banks should continue to deepen the reform of commercial banks, regulate the governance structure of commercial banks, the establishment of symmetrical incentive and constraint mechanism of responsibilities and rights of commercial banks. In this way, the commercial bank will loan decision and loan market management based on the balance sheet of the borrower. But for the residents of the balance sheet transmission mechanism, from increasing the income of residents, reduce the income gap between residents, puts forward relevant policy suggestions to improve the social security system and expand the investment channels for residents and so on.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F231.1;F822.0

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