我国货币错配程度与汇率政策、货币政策相关性实证研究

发布时间：2018-04-05 19:08

本文选题：货币错配　切入点：汇率政策　出处：《山东财经大学》2012年硕士论文

【摘要】：在我国，自20世纪90年代以来，外币资产和外币负债的不匹配，使我国存在着显著的货币错配，随着汇率等其它因素的波动变化，相应的货币错配也会产生变动。当货币错配积累到一定程度时，会对一个国家的经济体系产生不良影响。在宏观层面上，容易加剧金融体系的动荡，降低货币政策的有效性，影响汇率政策灵活性。货币错配的加深也会导致宏观经济政策的冲突，特别是货币政策与汇率政策的冲突，影响着宏观经济的稳定性。对于我国来说，国际上金融危机影响尚未消退，欧洲债务危机震动未减，经济下行阴霾笼罩全球，国际原油黄金价格连创新高，美国以邻为壑的量化宽松政策，面临巨大的输入型通胀压力，国内通货膨胀压力高居不下。在这样一个及其复杂金融环境下，我国汇率政策与货币政策调整的取向与力度意义重大，而能否处理好货币错配问题事关汇率和货币政策的有效性和灵活性，关系到我国经济能否稳定和可持续发展。本文基于货币错配理论将汇率政策和货币政策紧密的联系起来，为我国货币政策和汇率政策的制定和调整提供了一个全新的视角，对于政策的制定调整，市场对货币政策和汇率政策认识理解有一定的现实意义。本文先从理论角度分析我国货币错配的特殊情况与决定因素，做出基本判断；后结合我国实际数据，结合与汇率政策、货币政策相关的汇率，M2指数，CPI指数等具体数据进行分析，验证理论判断正确与否。本文内容和结论主要包括以下几个部分：（1）首先论述研究背景、意义，较为翔实的进行文献综述，将国内外的研究情况进行一个系统总结。创新性的将货币错配与我国汇率政策、货币政策有机的结合起来进行系统性的研究。（2）对我国货币错配的现状进行分析。介绍影响货币错配的相关理论和估算货币错配量的计算模型，分析影响我国货币错配的因素。在此基础上对我国货币错配程度的基本估算，发现我国货币错配的情况目前比较严重，，正处于一个上升通道，且与不同时期下我国经济政策有关系。（3）通过实证方法对货币错配与汇率政策，货币错配与货币政策进行相关性的实证研究。实证结果表明，汇率的变动是影响货币错配变动的重要因素之一，汇率的变动对货币错配的影响是持续的。人民币升值有助于减轻货币错配。同时，通过分段比较发现，货币错配情况还与汇率制度选择联系紧密。不同的汇率制度对于货币错配情况的影响也是不同的用E-G两步协整法，Granger检验等实证方法对我国货币错配情况与我国货币政策的相关性进行了检验。一方面检验了货币错配与货币政策中介目标——货币供给的关系；另一方面，检验了货币错配与货币政策的最终目标——价格稳定与经济增长的相关性。得出结论为：我国货币错配程度与广义货币供给量之间呈现较强的正相关性，我国的货币错配对广义货币供给量所造成的影响是长期的，且滞后期较长。由于货币错配对货币供给的影响，削弱了中央银行货币政策的独立性，而且还直接导致了当前以货币供应量为中介目标的货币政策效果的弱化和低效率性。货币错配能够影响物价水平和通货膨胀率，但是对我国货币政策的产出效应影响不是十分明显，即对于经济增长没有什么明显的影响。（4）从创新性的货币错配视角，将货币与汇率政策综合考量，分析了由于货币错配的存在导致的我国在货币与汇率政策的选择性矛盾。并提出了改善货币错配状况，化解矛盾性的政策建议：改变经济增长观念，提高对外投资力度，完善金融市场，选择合适的宏观经济政策，改革结售汇制度等。
[Abstract]:In China, since 1990s, foreign currency assets and liabilities, so that our country has a significant monetary mismatch, along with other factors such as exchange rate fluctuations, the corresponding monetary mismatch will produce changes. When currency mismatch has accumulated to a certain extent, will have a negative impact on a the country's economic system. At the macro level, easy to aggravate the turmoil in the financial system, reduce the effectiveness of monetary policy, flexibility of exchange rate policy. The currency mismatch can also lead to the deepening conflict of macroeconomic policy, especially monetary policy and exchange rate policy conflict, affect the stability of macro economy in China. And the international financial crisis, the European debt crisis shock is not reduced, haze enveloped the world economic downturn, the international crude oil price of gold with a new high, the quantitative easing policy facing the beggar thy neighbour. The input type inflation pressure, domestic inflation pressure remains high. In such a complex financial environment, orientation and strength significance of China's exchange rate policy and monetary policy adjustment is significant, and can effectively deal with the problem of currency mismatch is related to exchange rate and monetary policy flexibility and relates to whether our economy the stable and sustainable development. This paper based on the theory of currency mismatch will exchange rate policy and monetary policy closely linked, provides a new perspective for the formulation and adjustment of monetary policy and exchange rate policy in our country, the policy adjustment, the market has a certain practical significance for the understanding of monetary policy and exchange rate policy.
This paper first analyzes the special situation and determinants of currency mismatch in China from the perspective of theory, makes the basic judgment; then with China's actual data, combined with the exchange rate policy, exchange rate, monetary policy related to the M2 index, CPI index and other specific data analysis, verify the theoretical judgment is correct or not. The main contents and conclusions include the following parts:
(1) first, we discuss the background and significance of the study, make a detailed summary of the literature, and make a systematic summary of the research at home and abroad. We systematically combine currency mismatch with China's exchange rate policy and monetary policy.
(2) the status quo of China's currency mismatch is analyzed. The calculation model of related theory and estimation of currency mismatch was introduced the effects of currency mismatch, analysis of influence factors of currency mismatch in China. The basic estimate of China's currency mismatch on the basis of this, found that China's currency mismatches at present, more serious, is in a rising channel, and with the different period of China's economic policy.
(3) empirical research on the correlation between currency mismatch and exchange rate policy, currency mismatch and monetary policy through empirical methods.
The empirical results show that the change of exchange rate is one of the important factors influencing the currency mismatch of changes in the impact of exchange rate on currency mismatch is sustained. The appreciation of the renminbi helps reduce currency mismatches. At the same time, through piecewise comparison, currency mismatch and the choice of exchange rate regime is closely linked. The influence of different exchange rate system for currency mismatch is different
The two step using E-G cointegration method, an empirical method of Granger test on China's currency mismatch and monetary policy in China is tested. On the one hand to test the relationship between currency mismatch and the intermediate target of monetary policy, money supply; on the other hand, to test the correlation between currency mismatch and the ultimate goal of monetary policy the price stability and economic growth. The conclusion is: has a strong positive correlation between the degree of currency mismatch in China and the broad money supply, the impact of China's currency mismatch caused by the broad money supply is long-term, and a longer lag. Due to the impact of currency mismatch on monetary supply, weaken the independence of the central bank's monetary policy, but also led directly to the current money supply as the intermediate target of the monetary policy effect is weakened and inefficiency. The currency mismatch can affect the price of water The rate of leveling and inflation, but the effect on the output effect of our monetary policy is not very obvious, that is, there is no obvious impact on economic growth.
(4) from the perspective of innovation of currency mismatch, the comprehensive consideration of monetary and exchange rate policy in China is analyzed due to the existence of currency mismatch resulting in the selective contradiction between monetary and exchange rate policy. And puts forward the improvement of currency mismatch, resolve the contradiction of the policy recommendations: to change the economic growth concept, improve the foreign investment, improve the financial market, select the appropriate macroeconomic policies, reform the settlement system.

【学位授予单位】：山东财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F822.0;F832.6;F224

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