人民币发行方式与利率市场化的关系研究
发布时间：2018-08-14 11:29
【摘要】：自2002年以来,购买外汇成为我国央行发行基础货币的主要方式。在2004年11月至2012年5月的七年多时间里,金融机构存贷款利率的市场化没有取得任何进展,而在这期间,人民银行的外汇占款从43490.01亿元增加到235159.32亿元,我国通过购买外汇发行货币的方式对利率市场化产生了什么样的影响呢?随着存款利率市场化的进一步推进,人民币发行机制和货币政策调控框架会受到什么影响呢?人民币发行方式如何适应利率完全市场化的要求呢?这是本论文要系统研究的问题。本文采用逻辑推理的理论分析、关系等式的数学推导、时间序列数据的计量分析[具体包括:ADF单位根检验、Johansen协整检验以及基于向量自回归(VAR)模型和向量误差修正(VEC)模型的格兰杰因果检验、脉冲响应函数和方差分解等计量分析]等方法,系统研究人民币发行方式与利率市场化之间相互影响的内在机制,在此基础上,本文基于利率完全市场化对货币政策框架的要求,提出了人民币发行方式的改革措施,并分析了利率完全市场化改革的条件和时机,提出了利率完全市场化改革的步骤和措施。本文主要工作包括以下几个方面:一、研究了货币发行方式。货币发行方式表现为中央银行资产负债的变动;购买国债、购买外汇和央行贷款是三大主要货币发行方式,其中买卖国债可以有效地稳定市场利率,买卖外汇更多地是为了稳定本币汇率,央行贷款可以有效地防止市场利率过度上升;基于央行损益的视角,国外中央银行十分重视自身的资产风险管理。境外基础货币的发行方式呈现“买卖国债为主、央行贷款为辅”的特点。购买外汇发行人民币的汇率形成机制是我国货币发行方式的主要特点。法定存款准备金率、银行外汇头寸管理和存贷比管理规定等货币供应方式影响商业银行的资金使用方向。在利率管制时期,央行更多地通过调整法定存款准备金率来影响货币乘数和货币供应方式;而在利率完全市场化时期,央行只能通过调整超额准备金利率来影响货币乘数和货币供应方式。人民币发行方式和我国货币供应方式相互影响、相互制约,两者紧密联系共同决定人民币汇率、货币市场利率、中长期利率和利率期限结构。二、研究了利率市场化。从狭义上看,我国利率市场化只剩下关键的最后一步:完全放开银行存款利率的限制,从广义上看,还包括央行对利率管理方式转变:央行利率市场化、利率稳定机制、利率期限传导机制以及货币政策传导渠道的完善等;上海银行间同业拆放利率(SHIBOR)已经成为我国货币市场基准利率;国债收益率初步成为中长期利率的基准利率;准备金利率相对过低且长期不变;央行票据利率高于同期限国债收益率。中央行票据利率、公开市场短期流动性调节工具(SLO)利率、常设借贷便利(SLF)利率等央行利率与货币市场利率保持高度同步一致性,而法定准备金利率、超额准备金利率、再贷款利率、再贴现利率等央行利率则与货币市场利率相差很大,不具同步性。央行利率应该与货币市场利率保持同步调整,逐步接近货币市场利率水平,最终按货币市场利率计价,实现央行利率市场化。三、研究了货币供给方式与市场利率的关系。公开市场操作发行基础货币和调整法定存款准备金率共同作用决定了货币市场利率,货币供求和债券供求共同决定中长期利率;国外主要通过公开市场操作而不是调整法定准备金率来影响短期利率,国外不对商业银行的资金流向进行限制,因此利率期限传导是畅通的、有效的;我国既通过公开市场操作,又通过调整法定存款准备金率来影响短期利率,其中法定存款准备金率调整影响更大;我国规定商业银行的存贷比不得超过75%,这影响利率期限传导,影响着中长期利率。存款性金融机构与央行共同决定国债的主要需求,决定我国中长期利率,存款性金融机构起到的作用相对更大。四、研究了人民币发行方式对利率市场化的制约。购买外汇发行人民币扭曲货币供求平衡,降低了存款准备金利率,助长了影子银行和热钱流入,既不利于存款利率市场化,又不利于贷款利率市场化;购买外汇的人民币发行方式和商业银行存贷比管理规定造成“短期利率长期远高于长期利率”的不正常现象并阻碍短期利率向中期利率的传导。央行购买外汇发行人民币的汇率形成机制、央行在资产负债表内代理国库、法定准备金的计算期和持有期都采用时点法、银行存贷比规定、M2增长率以月末数据统计、影子银行和热钱流入等是造成我国货币市场即时利率剧烈波动的根本原因;央行票据利率招标和国库现金管理利率招标对稳定货币市场即时交易利率不但无效,反而起到推波助澜的负面作用;常备借贷便利(SLF)和公开市场短期流动性调节工具(SLO)不能有效地平抑在一天以内乃至一周以内货币市场利率的过度上升;长期过低的超额存款准备金利率加剧货币市场利率的上下波动范围。五、研究了利率完全市场化对人民币发行方式的要求。存贷利率管制催生购买外汇发行人民币。从改革发展的角度看,以全国银行间同业拆借隔夜利率作为货币政策利率进行培养是必然选择。我国货币政策传导渠道主要以汇率和信贷为主,利率作用很小,其原因是央行购买外汇发行人民币的汇率形成机制,央行购买外汇使人民币汇率的货币政策传导效应特别放大;并且,央行购买外汇发行基础货币使货币供应快速增长,促使人民币信贷快速增加,因此,信贷在货币政策传导效应突现;加上利率期限传导不畅通,短期利率难以传导到中长期利率,造成短期市场利率在货币政策传导效应中的作用降低。隔夜交易利率是利率完全市场化下货币政策利率的必要条件;基于稳定货币市场利率、疏通利率期限传导、提高利率在货币政策传导渠道中的作用、央行利率市场化和央行的资产风险管理及其资本金约束等方面的考虑,人民币发行方式必须改革到“以购买国债为主、央行贷款为辅”的轨道上来。
[Abstract]:Since 2002, the purchase of foreign exchange has become the main way for the central bank to issue the basic currency. During the seven years from November 2004 to May 2012, no progress has been made in the marketization of the deposit and loan interest rates of financial institutions. During this period, the foreign exchange share of the People's Bank of China has increased from 4349.01 billion yuan to 2351.532 billion yuan. How does the way of issuing foreign exchange affect the marketization of interest rates? With the further promotion of the marketization of deposit interest rates, how will the mechanism of issuing RMB and the framework of monetary policy be affected? How does the way of issuing RMB adapt to the requirement of full marketization of interest rates? This is a systematic question to be studied in this paper. In this paper, theoretical analysis of logical reasoning, mathematical deduction of relational equations, quantitative analysis of time series data [including: ADF unit root test, Johansen cointegration test, Granger causality test based on vector autoregressive (VAR) model and vector error correction (VEC) model, impulse response function and variance decomposition, etc.] This paper systematically studies the intrinsic mechanism of the interaction between the issuing mode of RMB and the marketization of interest rate. On this basis, based on the requirement of the complete marketization of interest rate on the framework of monetary policy, this paper puts forward the reform measures of the issuing mode of RMB, analyzes the conditions and timing of the full Marketization of interest rate, and puts forward the interest rate. The main work of this paper includes the following aspects: First, the mode of currency issuance is studied. The mode of currency issuance is represented by the change of assets and liabilities of the central bank; Purchasing Treasury bonds, foreign exchange and central bank loans are the three major modes of currency issuance, in which buying and selling Treasury bonds can effectively stabilize market profits. The foreign exchange rate is more to stabilize the exchange rate of the local currency. Central bank loans can effectively prevent excessive rise of market interest rates. From the perspective of central bank profits and losses, foreign central banks attach great importance to their own asset risk management. The exchange rate formation mechanism of RMB issuing by foreign exchange is the main feature of the currency issuing mode in China. Currency multiplier and money supply mode; and in the period of full market-oriented interest rate, the central bank can only influence the currency multiplier and money supply mode by adjusting the excess reserve rate. In a narrow sense, there is only one crucial last step left in the liberalization of interest rate in China: completely liberalizing the restriction of bank deposit interest rate, and broadly speaking, including the change of the management mode of interest rate by the central bank: the liberalization of interest rate, the stabilization mechanism of interest rate, and the transmission mechanism of interest rate term. Shanghai Interbank Offered Rate (SHIBOR) has become the benchmark interest rate of China's money market; the yield of treasury bonds has initially become the benchmark interest rate of medium and long-term interest rates; the reserve rate is relatively low and unchanged for a long time; the central bank bill rate is higher than the yield of treasury bonds of the same period. The interest rates of the central bank such as the open market short-term liquidity regulator (SLO), the permanent lending facility (SLF) and other central bank interest rates keep a high degree of synchronization with the money market interest rates, while the interest rates of the central bank such as the statutory reserve rate, the excess reserve rate, the refinancing rate and the rediscount rate differ greatly from the money market interest rates and do not have synchronization. We should keep pace with the interest rate of the money market, gradually approach the interest rate of the money market, and finally realize the marketization of the interest rate of the central bank according to the interest rate of the money market. Market interest rate, money supply and demand and bond supply and demand determine the medium and long-term interest rate together; foreign countries mainly through open market operation rather than adjusting the statutory reserve ratio to affect short-term interest rate, foreign banks do not restrict the flow of funds, so the term transmission of interest rate is smooth and effective; China is through open market operation, but also smooth. The adjustment of statutory reserve ratio has a greater impact on short-term interest rate, and the adjustment of statutory reserve ratio has a greater impact; China stipulates that the deposit-loan ratio of commercial banks should not exceed 75%, which affects the term transmission of interest rates and affects the medium-term and long-term interest rates. Fourth, the paper studies the restriction of RMB issuance on interest rate liberalization. Purchasing foreign exchange issuing RMB distorts the balance of money supply and demand, reduces the interest rate of deposit reserve, promotes the inflow of shadow banks and hot money, which is not conducive to the marketization of deposit interest rate, but also to the market of loan interest rate. The abnormal phenomenon of "short-term interest rate is far higher than long-term interest rate" caused by the way of issuing RMB for foreign exchange purchase and the regulation of deposit-loan ratio of commercial banks and hindered the transmission of short-term interest rate to medium-term interest rate. The calculation period and holding period of gold are both time-point method, bank deposit-loan ratio stipulates, M2 growth rate is calculated by month-end data, shadow bank and hot money inflow are the basic reasons for the sharp fluctuation of real-time interest rate in China's money market; the tender of central bank bill interest rate and the tender of treasury cash management interest rate will not stabilize the real-time transaction interest rate in the money market. But ineffectiveness, but play a negative role in fueling the waves; standing lending facilities (SLF) and open market short-term liquidity adjustment tools (SLO) can not effectively suppress the excessive rise of money market interest rates within a day or even a week; long-term excess deposit reserve interest rate is too low to aggravate the fluctuation range of money market interest rates. From the point of view of reform and development, it is an inevitable choice to cultivate the national interbank lending overnight rate as the monetary policy interest rate. Interest rate plays a very small role, because the central bank purchases foreign exchange to issue RMB exchange rate formation mechanism, the central bank purchases foreign exchange to make the monetary policy transmission effect of RMB exchange rate particularly enlarged; moreover, the central bank purchases foreign exchange to issue the basic currency to make the money supply grow rapidly, prompting the rapid increase of RMB credit, therefore, credit in monetary policy transmission. The overnight trading interest rate is the necessary condition for the monetary policy interest rate under the complete market-oriented interest rate. Based on stabilizing the interest rate in the money market, the term transmission of interest rate is smoothed. Considering the role of interest rate in monetary policy transmission channel, interest rate marketization of central bank, asset risk management and capital constraints of central bank, the issuing mode of Renminbi must be reformed to the track of "purchasing treasury bonds primarily and central bank loans supplemented".
【学位授予单位】：上海交通大学
【学位级别】：博士
【学位授予年份】：2015
【分类号】：F822.2;F832.5
本文编号：2182713
[Abstract]:Since 2002, the purchase of foreign exchange has become the main way for the central bank to issue the basic currency. During the seven years from November 2004 to May 2012, no progress has been made in the marketization of the deposit and loan interest rates of financial institutions. During this period, the foreign exchange share of the People's Bank of China has increased from 4349.01 billion yuan to 2351.532 billion yuan. How does the way of issuing foreign exchange affect the marketization of interest rates? With the further promotion of the marketization of deposit interest rates, how will the mechanism of issuing RMB and the framework of monetary policy be affected? How does the way of issuing RMB adapt to the requirement of full marketization of interest rates? This is a systematic question to be studied in this paper. In this paper, theoretical analysis of logical reasoning, mathematical deduction of relational equations, quantitative analysis of time series data [including: ADF unit root test, Johansen cointegration test, Granger causality test based on vector autoregressive (VAR) model and vector error correction (VEC) model, impulse response function and variance decomposition, etc.] This paper systematically studies the intrinsic mechanism of the interaction between the issuing mode of RMB and the marketization of interest rate. On this basis, based on the requirement of the complete marketization of interest rate on the framework of monetary policy, this paper puts forward the reform measures of the issuing mode of RMB, analyzes the conditions and timing of the full Marketization of interest rate, and puts forward the interest rate. The main work of this paper includes the following aspects: First, the mode of currency issuance is studied. The mode of currency issuance is represented by the change of assets and liabilities of the central bank; Purchasing Treasury bonds, foreign exchange and central bank loans are the three major modes of currency issuance, in which buying and selling Treasury bonds can effectively stabilize market profits. The foreign exchange rate is more to stabilize the exchange rate of the local currency. Central bank loans can effectively prevent excessive rise of market interest rates. From the perspective of central bank profits and losses, foreign central banks attach great importance to their own asset risk management. The exchange rate formation mechanism of RMB issuing by foreign exchange is the main feature of the currency issuing mode in China. Currency multiplier and money supply mode; and in the period of full market-oriented interest rate, the central bank can only influence the currency multiplier and money supply mode by adjusting the excess reserve rate. In a narrow sense, there is only one crucial last step left in the liberalization of interest rate in China: completely liberalizing the restriction of bank deposit interest rate, and broadly speaking, including the change of the management mode of interest rate by the central bank: the liberalization of interest rate, the stabilization mechanism of interest rate, and the transmission mechanism of interest rate term. Shanghai Interbank Offered Rate (SHIBOR) has become the benchmark interest rate of China's money market; the yield of treasury bonds has initially become the benchmark interest rate of medium and long-term interest rates; the reserve rate is relatively low and unchanged for a long time; the central bank bill rate is higher than the yield of treasury bonds of the same period. The interest rates of the central bank such as the open market short-term liquidity regulator (SLO), the permanent lending facility (SLF) and other central bank interest rates keep a high degree of synchronization with the money market interest rates, while the interest rates of the central bank such as the statutory reserve rate, the excess reserve rate, the refinancing rate and the rediscount rate differ greatly from the money market interest rates and do not have synchronization. We should keep pace with the interest rate of the money market, gradually approach the interest rate of the money market, and finally realize the marketization of the interest rate of the central bank according to the interest rate of the money market. Market interest rate, money supply and demand and bond supply and demand determine the medium and long-term interest rate together; foreign countries mainly through open market operation rather than adjusting the statutory reserve ratio to affect short-term interest rate, foreign banks do not restrict the flow of funds, so the term transmission of interest rate is smooth and effective; China is through open market operation, but also smooth. The adjustment of statutory reserve ratio has a greater impact on short-term interest rate, and the adjustment of statutory reserve ratio has a greater impact; China stipulates that the deposit-loan ratio of commercial banks should not exceed 75%, which affects the term transmission of interest rates and affects the medium-term and long-term interest rates. Fourth, the paper studies the restriction of RMB issuance on interest rate liberalization. Purchasing foreign exchange issuing RMB distorts the balance of money supply and demand, reduces the interest rate of deposit reserve, promotes the inflow of shadow banks and hot money, which is not conducive to the marketization of deposit interest rate, but also to the market of loan interest rate. The abnormal phenomenon of "short-term interest rate is far higher than long-term interest rate" caused by the way of issuing RMB for foreign exchange purchase and the regulation of deposit-loan ratio of commercial banks and hindered the transmission of short-term interest rate to medium-term interest rate. The calculation period and holding period of gold are both time-point method, bank deposit-loan ratio stipulates, M2 growth rate is calculated by month-end data, shadow bank and hot money inflow are the basic reasons for the sharp fluctuation of real-time interest rate in China's money market; the tender of central bank bill interest rate and the tender of treasury cash management interest rate will not stabilize the real-time transaction interest rate in the money market. But ineffectiveness, but play a negative role in fueling the waves; standing lending facilities (SLF) and open market short-term liquidity adjustment tools (SLO) can not effectively suppress the excessive rise of money market interest rates within a day or even a week; long-term excess deposit reserve interest rate is too low to aggravate the fluctuation range of money market interest rates. From the point of view of reform and development, it is an inevitable choice to cultivate the national interbank lending overnight rate as the monetary policy interest rate. Interest rate plays a very small role, because the central bank purchases foreign exchange to issue RMB exchange rate formation mechanism, the central bank purchases foreign exchange to make the monetary policy transmission effect of RMB exchange rate particularly enlarged; moreover, the central bank purchases foreign exchange to issue the basic currency to make the money supply grow rapidly, prompting the rapid increase of RMB credit, therefore, credit in monetary policy transmission. The overnight trading interest rate is the necessary condition for the monetary policy interest rate under the complete market-oriented interest rate. Based on stabilizing the interest rate in the money market, the term transmission of interest rate is smoothed. Considering the role of interest rate in monetary policy transmission channel, interest rate marketization of central bank, asset risk management and capital constraints of central bank, the issuing mode of Renminbi must be reformed to the track of "purchasing treasury bonds primarily and central bank loans supplemented".
【学位授予单位】：上海交通大学
【学位级别】：博士
【学位授予年份】：2015
【分类号】：F822.2;F832.5
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