货币流动性、资产价格与货币政策选择

发布时间：2018-07-03 18:50

本文选题：资产价格 + 货币流动性　；参考：《暨南大学》2012年博士论文

【摘要】：资产价格的大幅波动通常与经济增长率起伏相吻合，也伴随着货币流动性充裕和不足之间的转换。资产价格的巨幅波动和货币流动性变化的一致性，显然不是精心准备的巧合，资产价格和货币流动性之间存在着密切关系。不论在发达国家还是发展中国家，资产价格波动均成为影响宏观经济波动的重要因素之一，对政策制定者（特别是中央银行）提出了新的要求和挑战。政策当局在考虑如何应对资产价格波动这一问题时，常常处于两难境地：一方面，害怕政策的调整会刺穿泡沫，造成像日本那样的经济衰退；另一方面，则担心继续维持已有政策会使泡沫激增，给经济造成更大隐患，当前我国的房地产市场情况即是一个明证。如果存在着非基本面因素导致的资产价格波动，而该资产价格波动又对实体经济产生了显著影响，政策当局就必须对资产价格波动做出反应。但政策当局在将资产价格作为自己关注的目标时要格外谨慎，设计不好或实施不当的政策（即使目的良好）有时会推动资产价格出现不可持续的变化。资产价格对利率非常敏感，所以资产价格是货币政策传导到实体经济的一个重要渠道，资产价格波动导致的实体经济变化对央行的物价稳定、金融稳定等目标构成了挑战，容易引发中央银行的目标冲突与政策困境，但如果传导渠道受到干扰，则政策的可靠性和有效性会降低。另外，不同的政策选择对整个经济的福利影响也有所不同。因此，政策制定者面对资产价格波动时如何行动，也是一个急需解决的议题。本文的主要目的是研究流动性冲击、资产价格波动和央行政策选择之间的相互关系，找到央行应对资产价格波动的最佳策略。为此，本文将上述问题分以下几个层次依次展开：首先对近年来中国流动性状况的特征进行总结和分析，发现中国的流动性过剩现象明显，而造成这种流动性状况的原因主要来自内部和外部两个方面，内部方面的原因有家庭部门的高储蓄率、银行体系的资产扩张和政策扰动，外部方面的原因则是贸易顺差和外商直接投资持续积累导致的双顺差，中国特殊的外汇管理体制强化了双顺差的影响；接着文章分析流动性冲击与资产价格的关系，为更全面细致地考察两者的作用机制，在考虑流动性冲击时不仅包括国内流动性状况的变化还将G-7国家的流动性变化纳入一起进行分析，实证结果显示中国的资产价格不仅与本国的流动性状况成正相关关系，也与G-7国家的流动性状况成正相关关系，而且G-7国家宽松货币政策对引发中国宽松的货币政策有促进作用，即G-7国家的流动性冲击对中国具有很强溢出效应。反观中国流动性冲击对G-7国家的溢出效应，其效果则微乎其微；在验证流动性冲击与资产价格波动的关系之后，本文从物价稳定、金融稳定、目标冲突与政策困境三个方面来分析资产价格波动对央行货币政策构成的挑战，在应对这些挑战时，央行必然需要对所执行的货币政策规则进行选择；最后本文在实际经济周期模型、新凯恩斯模型和带金融加速器的新凯恩斯模型中研究央行选择不同的货币政策组合应对预期冲击和企业净值冲击导致的资产价格波动的表现，通过分析比较不同政策组合的实施效果，发现央行执行强通货膨胀目标下不将资产价格纳入政策规则的做法效果最好。在以上研究的基础上，本文提出了以下政策建议：鉴于中国的流动性充裕状况已持续多年，虽然在经济下行时期对稳定经济是十分必要的，但长时期货币刺激政策的负面效应也不能忽视，央行应该适时调整货币政策，将物价稳定放在更加重要的位置；G-7国家的量化货币宽松政策会倒逼央行执行宽松的货币政策以维持人民币汇率基本稳定，强化中国的流动性过剩现象，因此央行必须在货币政策自主性和人民币汇率之间权衡利弊，从推进人民币国际化的角度，更为灵活的汇率形成机制有利于强化人民币国际货币的功能，而且放松对汇率的关注还可以减轻宽松货币政策带来的负面效应；G-7国家货币政策对中国的溢出效应明显，但反观中国货币政策对G-7国家的溢出效应，基本不存在，这从一个侧面反映了人民币的国家影响力微弱，应继续采取措施鼓励人民币国际结算和离岸业务，扩大人民币的影响力；G-7国家货币供应量与中国资产价格之间显著的正相关关系，提醒我们需警惕国外资金对权益类资产的炒作，必须加强对短期资本的监管，，防止热钱大规模流进流出造成的负面影响；尽管资产价格通常与产出和投资呈现出密切的联系，中央银行应对资产价格波动的政策选择，还是应该更关注核心的经济变量，纳入资产价格的货币政策规则可能诱发道德风险，严厉的通货膨胀目标是央行货币政策的重点所在。
[Abstract]:The sharp fluctuation of asset prices usually coincides with the fluctuation of the economic growth rate , and is accompanied by the conversion between liquidity and adequacy of the currency . The fluctuation of asset prices and the consistency of currency liquidity change are clearly not carefully prepared coincidence , asset prices and currency liquidity . The policy authorities are often in a dilemma when considering how to deal with the problem of fluctuation in asset prices . In one aspect , the adjustment of fear policy will penetrate the foam , causing a recession like Japan .
On the other hand , it is feared that the continued maintenance of existing policies will cause a surge of bubbles and a bigger risk to the economy . The real estate market in our country is a clear evidence . If there are non - basic factors which have a significant impact on the real economy , the policy authority must respond to the fluctuation of the asset price . However , if the asset prices are very sensitive to the interest rate , the monetary policy will have a different impact on the price stability and financial stability of the central bank . In addition , the different policy choices will have different effects on the welfare of the whole economy .

The main purpose of this paper is to study the relationship between liquidity impact , asset price fluctuation and policy choice of central bank , and find the best strategy for the central bank to deal with the fluctuation of asset price .
Then , the relationship between liquidity impact and asset price is analyzed . In order to investigate the mechanism of liquidity impact , the paper analyzes the liquidity of G - 7 countries . The empirical results show that China ' s asset prices are not only positively related to domestic liquidity conditions but also positively related to the liquidity situation of G - 7 countries , and the G - 7 countries ' liquidity impact has a strong effect on China ' s loose monetary policy .
After verifying the relationship between liquidity impact and asset price fluctuation , this paper analyzes the challenge of the fluctuation of asset price on central bank monetary policy from three aspects of price stability , financial stability , target conflict and policy dilemma .
Finally , in the actual economic cycle model , the new Keynesian model and the new Keynesian model with the financial accelerator , the paper studies the performance of the central bank ' s choice of different monetary policy combination to deal with the expected impact and the fluctuation of the asset price caused by the impact of the net value of the enterprise . By analyzing the implementation effect of the combination of different policies , it is found that it is the best practice to integrate the asset price into the policy rule under the target of strong inflation .

On the basis of the above research , the following policy suggestions are put forward : in view of China ' s liquidity adequacy condition for many years , although it is necessary to stabilize the economy during the economic downturn , the negative effect of the long - term monetary stimulus policy cannot be ignored , and the central bank should adjust the monetary policy in due course , and put the price stability in a more important position ;
The quantitative easing policy of G - 7 countries will force the central bank to implement loose monetary policy to maintain the basic stability of RMB exchange rate and strengthen China ' s liquidity surplus , so the central bank must weigh the advantages and disadvantages between the autonomy of monetary policy and RMB exchange rate .
The spillover effect of G - 7 countries ' monetary policy on China is obvious , but the spillover effect of China ' s monetary policy on G - 7 countries is basically absent , which reflects the weak national influence of RMB from one side , and should continue to take measures to encourage RMB international settlement and offshore business to expand the influence of RMB .
The positive correlation between the supply quantity of G - 7 countries and the Chinese asset prices is a reminder that we need to be cautious about the speculation of foreign funds on equity - based assets , and we must strengthen the supervision of short - term capital and prevent the negative impact of large - scale outflow of hot money .
In spite of the close relationship between asset price and output and investment , the central bank should pay more attention to the policy choice of asset price volatility , or should pay more attention to the core economic variables . The monetary policy rules incorporated in asset prices may induce moral hazard , and the severe inflation target is the focus of the central bank ' s monetary policy .
【学位授予单位】：暨南大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F822;F224

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