资产价格、通货膨胀与货币政策反应

发布时间：2018-01-04 06:35

本文关键词：资产价格、通货膨胀与货币政策反应　出处：《华东师范大学》2012年博士论文　论文类型：学位论文

【摘要】：资产价格剧烈波动是20世纪90年代至今世界经济的一个显著特征。金融体系和资产市场发展迅速,货币供给增长过快带来了充裕的流动性,与之相伴的是资产价格的大幅波动,给实体经济和货币政策带来了巨大挑战。本文从探讨资产价格与通货膨胀之间关系入手,梳理文献、理论分析与实证分析相结合,研究资产价格与实体经济、信贷投放和货币需求之间的关系,提出资产价格与通货膨胀不同演绎路径的理论解释,反思货币政策针对资产价格做出反应的传统认识,提出新的完善的中央银行应对资产价格的政策框架。理论研究认为,资产价格变动可以通过财富效应、流动性效应对居民消费产生影响,资产价格上涨增加居民财富现值、改善居民流动性,使得居民增加消费需求；资产价格变动可以通过托宾q效应、资产负债表效应和信心效应对企业投资产生影响,资产价格上涨使得企业市场价值与资本重置成本的比率上升、使得企业资产负债表改善、使得充当借贷抵押物的资产价值上升,刺激企业增加投资。随着资本市场直接融资比重不断上升,不动产市场的不断发展完善,证券、不动产占社会总资产的比重越来越高,资产价格对消费和投资的影响理应越来越大。但是,根据对中国近年数据的实证检验,发现短期内资产价格变动对全社会消费、投资没有显著影响,长期内资产价格与消费、投资也不存在均衡关系。意味着资产价格变动影响消费和投资的传导机制不明显,同时也意味着资产价格通过影响总需求进而影响通货膨胀的传导机制不明显。通过实证分析又发现,资产价格的波动先行于通货膨胀变化,但这种相关性没有规律性,二者之间也不存在长期均衡关系。资产价格上涨与信贷扩张存在紧密联系,既有居民、企业和银行之间由于资产价格膨胀带来的信贷需求和供给的联动,又有在信息不对称、风险分担机制不合理的情形下,杠杆投资导致的资产价格与信贷扩张的互动。从居民角度看,资产价格上涨意味着居民财富增加,居民借贷的意愿更强；资产价格上涨通过抵押物效应,提高了居民的信贷可得性。从企业角度看,资产价格上涨意味着企业市场价值提高,借贷意愿增强；资产价格上涨也改善了企业资产负债表,提高了企业的信贷可得性。从银行角度看,资产价格上涨时期,银行可以较容易地通过资本市场融资,提高资本充足率,提升风险承受能力和放贷能力；资产价格上涨使得银行对企业和自身的盈利预期更加看好,认为信贷风险更加可控,会增加信贷供给。传统渠道之外,还存在一条投资者通过提高杠杆比率、借贷投资、推动资产价格膨胀,进而获取投资收益的渠道。在这一渠道中,由于信息不对称,风险分担机制设计存在问题,资产价格上涨得越高越吸引投资者充分利用杠杆率,获得更多的借贷资金投入资产市场,推动资产价格膨胀,投资者获取的资本利得也就越高。将上述各种渠道中资产价格上涨带来信贷扩张、信贷扩张推动资产价格膨胀的机制综合起来看,就会发现两种机制交替作用构成了循环往复的信贷螺旋。资产价格上涨改善企业资产负债表,增强居民财富效应,企业与居民的信贷需求和可得性上升,银行由于资产价格上涨放贷意愿和能力提高。同时,投资者可以充分利用杠杆率,借贷投资于资产市场,在承担有限风险的情况下获取资产价格上涨带来的好处,资产价格越上涨,杠杆率带来的收益越高,投资者越有借贷投资的动力,推动资产价格膨胀,循环往复的作用构成了信贷扩张的螺旋。如若信贷难以为继或资产价格下跌,反过来就演变成资产价格崩溃、信贷紧缩的螺旋,酿成危机。在日本泡沫经济时期、北欧国家银行危机和美国次债危机之前,都有过这种信贷扩张与资产价格膨胀的典型特征。根据对近年数据的实证分析,发现中国存在着资产价格与信贷的互动。但是本文已经分析得出,资产价格波动通过财富效应、资产负债表效应影响消费、投资的机制不明显,那么中国资产价格膨胀与信贷扩张就成为游离于实体经济之外的的互动,主要成为投资者通过发挥杠杆率效应利用借贷资金投资资产市场的结果。由于金融体系发展滞后,金融抑制依然严重,金融资本投资实体经济渠道不畅,实体经济企业生存发展环境不理想,以及金融体系监管制度不健全,加剧了金融资本与资产价格游离于实体经济之外的互动。经验检验发现,货币供给增加并没有马上反映在通货膨胀率上升上,货币供给增加与通货膨胀之间的关系不如理论分析的那么稳定。这也启发我们将商品市场、资产市场统一纳入货币需求框架范畴内考虑。企业、金融部门、居民之间会通过储蓄、投资、利润、工资、消费构筑一个实体经济货币循环。货币循环之外,始终会有部分货币滞留在金融系统,为资产投资、交易服务,构成了金融窖藏的货币需求。正因为货币循环和金融窖藏的存在,货币供给增加不一定马上表现为通货膨胀,货币供给增加压力也不一定均衡地反映在各个市场。但是,货币供给与通货膨胀的关联并未因此隔绝,现实的货币存量是货币循环和金融窖藏综合作用的均衡结果。在货币供给增加的情况下,资产价格与通货膨胀存在多种演绎路径的组合。往往由于一般物价水平存在粘性、资产价格对货币供给反应更灵敏、实际利率下降等原因,加剧了货币需求结构的非均衡性,金融窖藏货币需求超过实体经济货币循环,资产价格膨胀快于一般物价水平上涨,外在表现就是通货膨胀低而稳定时期资产价格膨胀。等到资产价格与通货膨胀全面上涨,已是流动性十分“泛滥”的地步了。对于中国实证分析的结果是,资产价格是影响货币需求的重要变量之一,股票价格对货币需求的弹性超过了一般物价水平,说明货币供给增加、资产价格上涨的现象更容易出现。不少传统观点认为资产价格膨胀是经济过热的表现、资产价格是通货膨胀的先行指标、资产价格波动会导致金融不稳定,这些成为货币政策应对资产价格做出反应的理由。传统观点提出了货币政策如何对资产价格做出反应的模型,如将资产价格像通货膨胀缺口一样纳入利率反应方程的政策规则。但是,根据本文的研究,资产价格影响总需求的传导机制不明显,资产价格稳定与通货膨胀稳定不存在必然联系,资产价格影响金融稳定有其特殊的传导机制,货币政策工具能成功平抑资产价格的一系列前提假设难以满足。因此,本文对经典理论提出了质疑。货币政策应对资产价格还存在种种困境和局限：小幅度提高利率难以抑制大幅度资产价格上涨、长期利率对短期利率不敏感、金融窖藏存在“缓冲”存款准备金率提高的机制、开放经济条件下资本流入削弱了货币政策效力。由于时机难以把握、政策力度难以掌握、投机性金融交易影响了“经济的真实条件”等原因,货币政策应对资产价格甚至会给实体经济带来更大的负面效应。考虑到货币政策的不足,本文突破资产价格泡沫及其控制的问题本身来探索和完善新的中央银行应对资产价格的政策框架。针对中国当前的实际情况,货币政策不应直接针对资产价格做出反应,不必将资产价格纳入通货膨胀计量指标,应保持稳健的货币供应量增长规则,注重搜集和解读资产价格波动的相关信息,提高中央银行独立性和货币政策前瞻性。同时注重金融稳定政策与货币政策的协调配合,加强信贷监管,确保信贷流向实体经济,建立和完善逆周期资本缓冲、商业银行贷款损失准备动态调整制度,加强对资本与金融项目下的审慎监管。最后,对全文的研究进行了总结归纳,提出今后进一步研究的方向。
[Abstract]:The volatility of asset prices is a prominent feature of the world economy since 1990s. The financial system and capital market is developing rapidly, the money supply growth has brought ample liquidity, and are accompanied by sharp fluctuations in asset prices, which brings a great challenge to the real economy and monetary policy. This paper discusses the relationship between assets the price and the inflation of the literature review, theoretical analysis and empirical analysis, the research on asset prices and the real economy, the relationship between credit and currency demand, interpretation of asset prices and inflation in different interpretation path theory, the traditional understanding of monetary policy on asset prices reflect the response, put forward a new perfect framework the central bank to respond to asset price policy.
Theoretical studies suggest that asset price changes can influence through the wealth effect, the liquidity effect on consumption, asset prices increase in household wealth value, improve their liquidity, the residents to increase consumption demand; asset price changes can be obtained through the Tobin q effect, balance sheet effect and confidence effect on investment assets. The ratio of prices makes the enterprise market value and capital replacement cost rise, the enterprise balance sheet improvement, making as borrowing collateral asset price rises, stimulate enterprises to increase investment in the capital market. With the rising proportion of direct financing, the development of real estate market, securities, real estate accounted for an increasing proportion of the society the total assets is higher, the impact of asset prices on consumption and investment should be more and more. However, according to the empirical data of China in recent years, That asset prices in the short term changes in the consumption of the whole society, the investment has no significant impact on asset prices and consumption in the long term, investment does not exist equilibrium relationship. Means that the transmission mechanism of asset price changes affect the consumption and investment is not obvious, but also means that asset prices through affecting the total demand and affect the transmission mechanism of inflation is not obvious through the empirical analysis. It was found that the fluctuation of asset price inflation prior to the change, but this correlation has no regularity, two does not exist between the long-term equilibrium relationship.
There is a close relationship between asset price and credit expansion, both residents, due to the linkage between the enterprise and the bank asset price inflation brought credit demand and supply, and the information asymmetry, risk sharing mechanism is not reasonable under the condition that the interaction between asset price and credit expansion to leverage investment. From the Perspective of residents. Asset prices mean increased household wealth, household borrowing willingness stronger; asset prices through collateral effect, improve their credit availability. From the perspective of enterprises, asset prices means that the enterprise market value increase, borrowing will increase; asset prices also improved the corporate balance sheet, improve the enterprise credit availability. From the point of view of the bank, the asset price rises, banks can more easily through the capital market financing, improve the capital adequacy ratio, improve risk Bearing capacity and lending ability; asset prices allow banks to enterprises and their profit is expected to more optimistic, that the credit risk is more controllable, will increase the supply of credit. The traditional channel, there is a investors by increasing the leverage ratio, loan investment, pushing asset price inflation, and obtain investment returns in this channel. A channel, because of the information asymmetry, the problems of risk sharing mechanism, asset prices higher to attract investors to make full use of leverage, get more borrowing money into assets market, promote asset price inflation, investors get capital gains is higher.
The various channels in asset prices brought about credit expansion mechanism, promote the expansion of credit asset price inflation together, you will find two alternate mechanism functions of the spiral cycle. Credit asset prices improve corporate balance sheets, enhance residents' wealth effect, the credit needs of enterprises and residents and to rise the bank due to rising asset prices willingness and ability to increase lending. At the same time, investors can make full use of leverage, borrowing to invest in asset markets, to obtain the benefits of rising asset prices in bear limited risk, asset prices rose more, leverage the benefits of the higher power of investors more lending and investment, promote asset price inflation, cyclical effect constitutes a spiral of credit expansion. If credit is difficult to continue or fall in asset prices, in turn, evolution As asset prices collapse, spiral, the credit crunch crisis. In Japan's bubble economy period, before the Nordic banking crisis and the U.S. subprime crisis, are typical of this credit expansion and asset price inflation. According to the analysis of the empirical data in recent years, there are Chinese interaction between asset price and credit but. This paper has analyzed the fluctuation of asset prices through the wealth effect, balance sheet effect consumption, investment mechanism is not obvious, so Chinese asset price inflation and credit expansion will become free from outside the economic entity through interaction, mainly through the leverage effect as investors play by borrowing funds to invest in asset markets due to the financial results. System development lags behind, financial repression is still serious, the financial capital investment in the real economy channel is not smooth, the real economy of enterprise survival and development environment is not ideal As well as the unsound regulatory system of the financial system, the interaction of financial capital and asset prices beyond the real economy is exacerbated.
Empirical research show that the increase in the money supply is not immediately reflected in the rise in inflation, the increase in the money supply analysis and the relationship between the theory of inflation not so stable. It also inspired us to the commodity market, capital market into a unified framework of the money demand category. Enterprises, the financial sector, between residents through savings and investment, profits, wages, consumption and build a real economy. Monetary circulation of money circulation, there will always be some money stranded in the financial system, for investment, trading services, a financial hoarding money demand. Because of currency circulation and financial hoarding exists, the money supply increases not immediately for inflation, currency increase the supply pressure is not necessarily well balanced in each market. However, between money supply and inflation is not so isolated, real money Stock is the equilibrium result of the comprehensive effect of monetary circulation and financial hoarding. The increase in money supply, asset prices and inflation are a variety of combinations. Often deductive path due to the general price level stickiness, the reaction of asset prices on monetary supply is more sensitive, because the real interest rate decline, exacerbated by the disequilibrium of the money demand structure the financial hoarding of money demand exceeds the real economy monetary cycle, asset price inflation is faster than the general price level rose, external performance is low and stable inflation in asset price inflation. When asset prices and inflation is rising overall, liquidity is flood stage. For the China empirical analysis, asset price is one of the important variables that influence money demand elasticity, the stock price on the demand for money than the general price level, the currency The increase in supply and the rise in asset prices are more likely to occur.
Many of the traditional view that asset price inflation is a symptom of overheating, the asset price is a leading indicator of inflation, asset price volatility will lead to financial instability, these reasons become the monetary policy to deal with asset prices make the reaction. The traditional view of the monetary policy to respond to asset price model, such as the interest rate will be incorporated into the reaction equation the policy rules like asset price inflation gap. However, according to this study, the asset price transmission mechanism of total demand is not obvious, asset price stability and inflation stability is not the inevitable connection, has its special effect on asset prices transmission mechanism of financial stability, monetary policy tools to a series of assumptions of success to stabilize asset prices it is difficult to meet. Therefore, this paper raised the question of the classical theory. To deal with asset price monetary policy still exist in various Difficulties and limitations: a small increase in interest rates is difficult to suppress a substantial rise in asset prices, long-term interest rates are not sensitive to short-term interest rates, financial hoarding has a "buffer" deposit reserve rate increase mechanism, under the condition of open economy capital inflows weakened the effectiveness of monetary policy. As the time difficult to grasp, it is difficult to grasp the policy, speculative financial transactions affected "the real economic conditions and other reasons, to deal with asset price monetary policy even more will bring negative effect to the real economy.
Considering the lack of monetary policy, the asset price bubble break itself and its control to explore and improve the central bank to respond to asset price of the new policy framework. According to the actual situation of the current Chinese, monetary policy should not respond directly to asset prices, asset price inflation will not included in the measurement index, should maintain a prudent monetary supply growth rules, pay attention to the relevant information collection and interpretation of the volatility of asset prices, improve the independence of the central bank and monetary policy prospective. At the same time pay attention to the coordination of financial stability policy and monetary policy coordination, strengthen the credit supervision, to ensure the flow of credit to the real economy, establish and improve the counter cyclical capital, commercial bank loan loss reserve dynamic the adjustment of the system, strengthen the prudential supervision of capital and financial projects. Finally, a summary of the full text of the study, provided The future direction of further research.

【学位授予单位】：华东师范大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F822;F832;F224

【参考文献】