汇率波动、金融稳定与货币政策

发布时间：2018-05-02 02:47

本文选题：汇率波动 + 金融稳定　；参考：《浙江大学》2014年博士论文

【摘要】：当前我国实行的有管理的浮动汇率制度并不是最终的汇率选择,未来我国的汇率可能实现完全浮动,汇率制度的变更会导致汇率波动更加频繁和剧烈。我国利率市场化进程并没有完成,利率依旧存在管制,这也影响了汇率制度的完善。同时,我国的资本账户开放已经逐渐深入,最终趋势是实现资本账户下人民币可完全兑换。但是结合国外的相关经验来看,资本账户开放速度的快慢、利率的快速市场化会对汇率波动产生不可预知的影响,进而不利于中国金融体系稳定。如果不加关注,将会重现日本“失去十年”的悲剧。因此,研究汇率波动与金融稳定的关系,对于我国而言十分有必要。而货币政策作为中国人民银行的主要政策工具,有义务维护金融稳定和币值稳定,促进经济增长。基于维护中国金融体系稳定的目标,货币政策如何实现中国币值稳定和金融稳定的双重目标,也就具有重大的理论和现实意义。本文首先对货币危机理论进行回顾,之后借鉴Diamond和Dybvig(1983)和Chang和Velasco(1999,2000,2001)构建的金融危机模型,在一个开放经济体中嵌入商业银行,建立一个汇率波动与金融稳定的理论模型。通过分析外国债权人、短期债务、资本流入的规模、金融自由化和脆弱性以及资产价格,繁荣和萧条对汇率波动以及一国商业银行挤兑的影响,可以发现汇率波动可以通过诸多渠道对一国金融稳定产生影响,金融自由化以及外国资本流入的增加,尤其当短期资本流入该国,可能加剧银行的流动性不足,并且增加银行体系脆弱性。此后,本文利用PVAR方法实证检验了汇率波动通过国际收支、资本流动以及资产价格波动渠道对金融稳定的影响。结论显示汇率波动与金融稳定之间存在不十分明显的互动关系；汇率波动需要通过贸易渠道、资本流动渠道以及资产价格渠道传导冲击各国的金融稳定,所产生的影响均大于它们的直接联系。最后分析了汇率波动与金融不稳定对宏观经济带来的不利影响,实证结果显示,汇率波动与金融不稳定可以导致货币政策偏离,极大地削弱央行货币政策的有效性,而货币政策偏离与金融不稳定十分容易误导社会公众的预期,导致政策不确定性出现,政策不确定性又会反过来促进金融不稳定和汇率波动。货币政策作为中国人民银行的主要政策调控工具,有义务维护金融稳定和币值稳定。此后本文的研究基于中国人民银行实现人民币汇率合理波动以及维护金融稳定的货币政策而展开分析。本文首先建立一个关于汇率波动来源和货币政策反应的理论模型,我们发现汇率变动主要源自两个方面：来自贸易变化的冲击以及来自金融市场的冲击。然后我们使用两阶段最小二乘法实证检验货币政策对两种类型的人民币汇率波动冲击的最优反应。经验结果表明：货币政策最优反应取决于汇率波动来源；当第一类汇率波动来源冲击导致人民币汇率升值,最优货币政策反应是提高利率;当第二类汇率波动来源冲击导致人民币汇率升值,最优货币政策反应是降低利率。其后则探讨了在一个新的货币政策框架——弹性通货膨胀目标制下,中央银行维护金融稳定目标的作用机制。其后我们构建了一个在弹性通货膨胀目标制框架下的最优货币政策模型,得出一个包含金融稳定指标的拓展型泰勒规则模型,并且通过这个拓展型泰勒规则模型,我们得出结论,在弹性通货膨胀目标制框架下,中央银行需要对金融不稳定做出反应。最后,利用时变系数模型实证检验了包含金融稳定指标的泰勒规则模型实现金融稳定目标的效果。我们实证估计时变货币政策规则的结论显示,中国人民银行面对金融不稳定,尤其在金融危机时期,往往会采取宽松的货币政策,降低政策利率来应对金融不稳定。第7章为全文的结论与建议部分。中国人民银行要实现维护币值稳定和金融稳定的货币政策目标,需要进一步完善维护币值稳定和金融稳定的货币政策框架。一方面,一方面要进一步推进中国人民币汇率形成机制改革,适当扩大人民币汇率的浮动区间;加强对跨境资本流动尤其是对短期资本流动的监管,注重资本账户开放的节奏；并且准确识别引起人民币汇率波动的来源因素,有针对性的实施不同的政策来维护币值稳定。另一方面,我国货币政策框架需要尽快向弹性通货膨胀目标制转变,实现货币政策由“相机抉择型”转向“货币规则型”利率调控；提高中国人民银行的独立性,赋予中国人民银行独立执行货币政策的权利；并且构建宏观审慎政策框架,实行货币政策与金融监管政策相结合,切实维护金融体系稳定。
[Abstract]:The current management floating exchange rate system in China is not the final exchange rate choice. In the future, the exchange rate of our country may be completely floating, the change of the exchange rate system will lead to more frequent and violent exchange rate fluctuations. The process of the interest rate marketization in China is not completed, the interest rate is still regulated, which also affects the perfection of the exchange rate system. At the same time, the opening of China's capital account has gradually deepened, and the final trend is to realize the complete exchange of RMB under the capital account. However, with the experience of foreign capital account, the speed of capital account opening is fast, the rapid marketization of interest rate will have an uncertain influence on the exchange rate fluctuations, which is not conducive to the stability of the Chinese financial system. If no attention is paid to the tragedy of "losing ten years" in Japan, it is necessary for us to study the relationship between exchange rate fluctuations and financial stability. As the main policy tool of the people's Bank of China, monetary policy is obliged to maintain financial stability and currency stability and promote economic growth. Based on the maintenance of China's financial body, the monetary policy is based on the maintenance of China's financial body. It is of great theoretical and practical significance to achieve stable goals and how to achieve the dual goal of China's currency stability and financial stability.
This paper first reviews the monetary crisis theory, and then uses the financial crisis model constructed by Diamond and Dybvig (1983) and Chang and Velasco (199920002001) to embed commercial banks in an open economy and establish a theoretical model of exchange rate fluctuations and financial stability. By analyzing foreign creditors, short-term debt, capital inflow. Scale, financial liberalization and vulnerability, and the impact of asset prices, prosperity and depression on exchange rate fluctuations and commercial bank runs of a country can find that exchange rate fluctuations can affect a country's financial stability through many channels, financial liberalization and the increase in foreign capital inflows, especially when short-term capital flows into the country. The liquidity of the bank is inadequate and increases the fragility of the banking system. After that, this paper empirically examines the impact of exchange rate fluctuations on financial stability through the balance of payments, capital flows and asset price fluctuations by the PVAR method. The conclusion shows that there is an insignificant interaction relationship between exchange rate fluctuations and financial stability; exchange rate waves are not obvious. The impact of dynamic needs through trade channels, capital flow channels and asset price channels is greater than their direct links. Finally, the adverse effects of exchange rate fluctuations and financial instability on the macro-economy are analyzed. The empirical results show that exchange rate fluctuations and financial instability can lead to goods. The deviation of currency policy greatly weakens the effectiveness of the monetary policy of the central bank, and the deviation of monetary policy and financial instability is very easy to mislead the public's expectations, which leads to the emergence of policy uncertainty, and the policy uncertainty will in turn promote financial instability and exchange rate fluctuations.
As the main policy and control tool of the people's Bank of China, monetary policy has an obligation to maintain financial stability and currency stability. After that, the research is based on the analysis of the monetary policy of the people's Bank of China to realize the reasonable fluctuation of the RMB exchange rate and to maintain the financial stability. This paper first establishes a source and currency of exchange rate fluctuations. The theoretical model of policy response shows that the exchange rate changes mainly come from two aspects: the impact of trade change and the impact of the financial market. Then we use the two stage least square method to test the optimal response of monetary policy to the impact of two types of RMB exchange rate fluctuations. The optimal reaction depends on the source of exchange rate fluctuation; the best monetary policy response is to increase the interest rate when the source impact of the first kind of exchange rate fluctuations leads to the appreciation of the RMB exchange rate; the best monetary policy response is to reduce the interest rate when the second kind of exchange rate fluctuations leads to the appreciation of the RMB exchange rate. Then the new monetary policy is discussed. Frame - the role mechanism of the central bank to maintain financial stability under the target of elastic inflation. After that, we construct an optimal monetary policy model under the framework of elastic inflation target, and obtain an extended Taylor rule model containing the financial stability index, and through this extended Taylor rule model. We conclude that under the framework of elastic inflation target, the central bank needs to respond to financial instability. Finally, the effect of the Taylor rule model, including the financial stability index, to achieve the goal of financial stability is empirically tested by the time-varying coefficient model. The people's Bank of China, in the face of financial instability, especially during the financial crisis, tends to adopt a loose monetary policy and reduce policy interest rates to deal with financial instability.
The seventh chapter is the conclusion and suggestion of the full text. In order to achieve the monetary policy goal of maintaining currency stability and financial stability, the people's Bank of China needs to further improve the monetary policy framework to maintain currency stability and financial stability. On the one hand, it is necessary to further promote the reform of the RMB exchange rate formation mechanism in China and to expand the RMB appropriately. The floating range of the exchange rate; strengthening the regulation of cross-border capital flows, especially for short-term capital flows, paying attention to the pace of the opening of the capital account; and identifying the sources of the fluctuations in the RMB exchange rate accurately, and implementing different policies to maintain the stability of the currency value. On the other hand, the monetary policy framework of China needs to be shot as soon as possible. The change of the target system of sexual inflation, the realization of monetary policy from "discretion" to "monetary rule" interest rate regulation, the improvement of the independence of the people's Bank of China, the right to the independent implementation of monetary policy by the people's Bank of China, and the construction of a macro Prudential policy framework, and the combination of monetary policy and financial regulatory policy. To maintain the stability of the financial system.

【学位授予单位】：浙江大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F822.0;F832.5;F832.6

【引证文献】