我国货币政策利率传导机制有效性实证分析

发布时间：2018-09-15 06:02

【摘要】：当前我国宏观经济形势良好，但我国货币政策调节经济运行在促进经济增长和保持物价稳定两个目标之间处于两难：既要为刺激经济提供货币保障，又要预防通货膨胀。在货币政策中利率的运用举足轻重。随着我国利率市场化进程的推进，其作用将更加突出。西方发达市场经济国家有成功的货币政策利率传导机制实践，并进行了相对成熟的理论研究，，而我国目前的情况是管制利率和市场利率并存，有其特殊性。在上述背景下，本文选择我国货币政策利率传导机制有效性实证分析作为题目展开研究分析。研究分析具有重要的理论意义和现实意义。理论意义：对此题目的研究无疑对货币政策利率传导机制理论的丰富很有意义。现实意义：本文从实证的角度对我国的货币政策利率传导机制的有效性进行分析，能够定量的展现我国货币政策利率传导机制的有效性状况及各环节的情况，并分析原因、提出对策建议。本文共分五章。第一章绪论部分。其中对货币政策利率传导机制实证分析方面的国内外相关文献进行了综述。第二章阐述了货币政策相关理论。包括货币政策总述，利率作为中间目标相关理论，货币政策利率传导机制理论。货币政策利率传导机制理论部分阐述了利率传导机制相关的威克赛尔利率传导机制理论、凯恩斯的利率传导机制理论、希克斯和汉森的利率传导机制理论、托宾的利率传导机制理论和泰勒规则及货币政策利率传导机制理论。第三章介绍了我国的货币政策利率传导机制状况。其中介绍了我国的货币政策传导机制和中国的管制利率和市场利率传导路径。评述了我国的货币政策传导机制，分析了我国的管制利率和市场利率并存，货币政策利率传导机制的现状。第四章是中国货币政策利率传导机制的有效性实证分析。首先介绍了相关的计量理论及计量模型说明。接着陈述了变量的选取，并对数据进行了说明。本文选取的变量指标有货币供应量指标，利率指标，消费指标，投资指标，产出指标和物价指标。并进行了数据的处理和平稳性检验。最后运用VAR、VEC模型，和协整检验、格兰杰因果检验、脉冲响应分析、方差分解分析等计量研究方法，从如下五个方面进行了实证分析：货币政策市场利率传导路径的实证分析、货币政策管制利率传导路径的实证分析、市场利率和管制利率作用于消费的传导效应比较研究、市场利率和管制利率作用于投资的传导效应比较研究、市场利率和管制利率作用于总产出和物价的传导效应比较研究。这也是本文的创新之处：多角度、全面的对我国市场利率和管制利率并存的货币政策利率传导机制有效性进行了实证分析研究。得出结论：管制利率和市场利率的利率传导机制传导效应都不显著；管制利率和市场利率的利率传导机制传导效应中有些环节与理论不一致，甚至相反；管制利率和市场利率的利率传导机制传导效应中有些环节传导效应出现滞后的情况。第五章分析了制约我国利率传导机制的因素并提出相应的对策建议。制约我国利率传导机制的因素有：（1）利率非完全市场化制约货币政策利率传导机制有效性。（2）居民的储蓄和消费对利率变动不敏感。（3）我国企业投资对利率不敏感。（4）商业银行缺乏足够的利率敏感性。（5）金融市场有待进一步完善，提高资本市场和货币市场的效率。（6）仍需提高中央银行货币政策操作的独立性。对策建议是：我国应进一步推进利率市场化改革，提高金融机构、企业和居民利率敏感性，进一步推进企业、银行改革，完善金融市场建设，增加中央银行货币操作独立性、完善中央银行宏观调控、加强金融监管。使我国的利率传导机制更加通畅，满足应对宏观经济对货币政策提出的需求。
[Abstract]:At present, China's macroeconomic situation is good, but China's monetary policy to regulate economic operation is in a dilemma between promoting economic growth and maintaining price stability: both to provide monetary protection to stimulate the economy, but also to prevent inflation. Western developed market economy countries have successfully practiced the interest rate transmission mechanism of monetary policy, and have conducted relatively mature theoretical research. However, China's current situation is the coexistence of controlled interest rate and market interest rate, which has its particularity. Empirical analysis of effectiveness is carried out as a topic.
The research and analysis have important theoretical and practical significance. Theoretical significance: The research on this topic is undoubtedly of great significance to enrich the theory of monetary policy interest rate transmission mechanism. The effectiveness of the policy interest rate transmission mechanism and the situation of each link are analyzed, and the reasons are put forward, and countermeasures and suggestions are put forward.
This article is divided into five chapters.
The first chapter is the introduction, which summarizes the related literatures on empirical analysis of interest rate transmission mechanism of monetary policy at home and abroad.
The second chapter elaborates the relevant theory of monetary policy, including the general introduction of monetary policy, the theory of interest rate as an intermediate target, the theory of interest rate transmission mechanism of monetary policy. Cox and Hansen's theory of interest rate transmission mechanism, Tobin's theory of interest rate transmission mechanism, Taylor's rule and monetary policy theory of interest rate transmission mechanism.
Chapter 3 introduces the transmission mechanism of monetary policy interest rate in China, including the transmission mechanism of monetary policy in China, the transmission path of controlled interest rate and market interest rate in China, the transmission mechanism of monetary policy in China, the coexistence of controlled interest rate and market interest rate, and the transmission mechanism of monetary policy interest rate.
The fourth chapter is the empirical analysis of the effectiveness of the transmission mechanism of interest rate in China's monetary policy.Firstly, it introduces the relevant econometric theories and models.Secondly, it states the selection of variables and explains the data.The variables selected in this paper are money supply index, interest rate index, consumption index, investment index, output index and material index. Finally, using VAR, VEC model, co-integration test, Granger causality test, impulse response analysis, variance decomposition analysis and other econometric methods, we make an empirical analysis from the following five aspects: the empirical analysis of interest rate transmission path in the monetary policy market, monetary policy control profits. The empirical analysis of the transmission path of the rate, the comparative study of the transmission effect of the market interest rate and the regulated interest rate on consumption, the comparative study of the transmission effect of the market interest rate and the regulated interest rate on investment, and the comparative study of the transmission effect of the market interest rate and the regulated interest rate on the total output and the price are the innovations of this paper. It is concluded that the transmission effect of the interest rate transmission mechanism of the controlled interest rate and the market interest rate is not significant, and there are some links and theories in the transmission effect of the interest rate transmission mechanism of the controlled interest rate and the market interest rate. As a result, or even the contrary, some links in the transmission effect of the interest rate transmission mechanism of the regulated interest rate and market interest rate lag behind.
The fifth chapter analyzes the factors that restrict the transmission mechanism of interest rate in China and puts forward corresponding countermeasures and suggestions. The factors that restrict the transmission mechanism of interest rate in China are: (1) imperfect marketization of interest rate restricts the effectiveness of the transmission mechanism of interest rate in monetary policy. (2) Residents'savings and consumption are insensitive to changes in interest rate. (3) Chinese enterprises' investment is insensitive to interest rate. 4) Commercial banks lack sufficient interest rate sensitivity. (5) Financial markets need to be further improved to improve the efficiency of capital markets and money markets. (6) The independence of the central bank's monetary policy operation needs to be improved. We should further promote the reform of enterprises and banks, improve the construction of financial markets, increase the independence of monetary operations of the central bank, improve the macro-control of the central bank, and strengthen financial supervision, so as to make the transmission mechanism of interest rates more smooth and meet the needs of macro-economic policies.
【学位授予单位】：河南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F822.0;F224

【参考文献】