美国量化宽松政策的理论基

发布时间：2018-06-24 03:05

本文选题：量化宽松 + 流动性冲击　；参考：《南开大学》2014年博士论文

【摘要】：目前,与量化宽松政策相关的一些问题正逐渐成为研究热点。做为对全球金融危机的政策回应,美联储于2008年10月开始推行非常规的量化宽松政策。截至目前,美联储共推行了四轮的量化宽松政策,该政策的初始目标为挽救美国濒于崩溃的金融系统,随着时间的推移,该政策的目标又逐渐包括了刺激经济复苏、降低失业率等。然而,不可忽视的是,美联储量化宽松政策的推行不仅对美国经济产生了重要影响,而且也对包括中国在内的广大新兴市场国家产生了广泛影响。在此情况下,本文就美联储量化宽松政策的理论基础、影响等方面进行了深入研究,这不仅具有重大的理论意义,而且也具有一定的实践价值。本文共分为七章。第一章为导论,本章主要对本文的选题核心概念、研究背景、研究目的和意义、研究内容和方法、可能的创新点与不足等方面进行了概要性的介绍。第二章为文献综述,本章主要就与量化宽松政策相关的文献进行了详细梳理。全章共分为三部分：第一部分是量化宽松政策理论基础的演变,本部分详细回顾了量化宽松政策理论基础的演变进程；第二部分是量化宽松政策的传导机制,在简要回顾传统货币政策传导机制理论的基础上,本部分重点梳理了与量化宽松政策传导机制理论有关的文献；第三部分为量化宽松政策的影响,本部分重点梳理了与量化宽松政策影响有关的大量实证文献。本章中,通过对既有文献的详细梳理,为本文接下来的研究奠定了坚实的基础。第三章为量化宽松政策理论基础的动态模型构建和分析。本章主要目标是为了构建量化宽松货币政策的理论基础,为量化宽松货币政策奠定严格的理论基础。本章的模型拓展了Kiyotaki和Moore(2003)构建了流动性冲击模型,建立了涵盖金融部门、流动性约束和经济波动的完整模型,同时,从模型的校准过程以及流动性冲击的动态反应图可以看出,流动性冲击对于投资、就业和产出都有较强的负向冲击效果,所以流动性冲击导致经济波动的结果是显然的,KM拓展模型充分表面了流动性约束会导致经济的大规模波动,所以量化宽松货币政策实施非常规的流动性注入就是必要的,是有坚实的理论模型基础的。第四章为美国量化宽松政策实践,本章首先对美国量化宽松政策的实施过程进行了详细的描述,到目前为止,美联储共推行了四轮的量化宽松政策,第一轮量化宽松政策的目标是直接向金融市场注入流动性以阻止危机的扩散,所运用的政策工具主要包括短期证券借贷工具等,而从第二轮量化宽松政策开始,美联储的政策目标逐渐转为降低失业率并推动美国经济的持续复苏,其所运用的政策工具主要是大量购买长期国债等。进而,本文将将美国的量化宽松政策与日本的量化宽松政策进行了详细的比较,总体而言,由于金融体系结构不同等原因,美国和日本的量化宽松政策在政策目标、政策工具等方面均存在一定差异。第五章主要从不同角度对美联储量化宽松政策的影响进行了实证分析。在具体内容上,本章共分为四部分：第一部分对美联储量化宽松政策的国内影响进行了实证分析；第二部分就美联储量化宽松政策对新兴市场国家的溢出效应进行了实证分析；第三部分就美联储量化宽松政策对我国通胀的影响进行了实证分析；第四部分就美联储量化宽松政策对我国产出的影响进行了实证分析。关于美联储量化宽松政策的国内影响,Gagon et al.(2010)和Neely(2010)的论文证实了美联储量化宽松政策降低了美国长期利率并促使了美元贬值。本部分则在此基础上,运用向量自回归模型,分析了美国长期利率下降和美元贬值对美国产生的影响。结果表明,美国长期利率下降和美元贬值对美国产出的增长起到了正向促进作用,且进一步的分析表明,产出的增长促进了通胀率的提高。关于美联储量化宽松政策对新兴市场国家的影响,美联储量化宽松政策主要通过资产组合再平衡渠道、汇率渠道、国际贸易渠道、货币政策被动协调渠道等四个渠道对新兴市场国家产生了显著影响。进而,本部分以巴西、俄罗斯、印度三国为例,运用结构向量自回归模型对其进行了实证分析。结果表明,量化宽松政策对上述三国的汇率、产出和通胀产生了显著的影响,特别的,量化宽松政策对巴、印、俄三国的通胀都构成了正向冲击,这其中,很重要的原因在于,量化宽松政策造成的美元流动性泛滥、短期资本进入等都直接或间接地助推了三国的通胀水平。关于美联储量化宽松政策对我国通胀的影响,美联储量化宽松政策通过汇率和国际大宗商品价格渠道对我国的通胀水平形成了冲击。具体而言,量化宽松政策的实施推动了国际大宗商品价格的上涨和人民币汇率的上升,进而,国际大宗商品价格的上涨推高了国内的通胀水平,其原因在于,我国对国际大宗商品的进口依赖比较严重,国际大宗商品价格的上涨推高了企业的生产成本,这进而使得我国面临一定的通胀压力。与此同时,汇率上升对通胀形成了先正后负的冲击,其原因在于,人民币升值虽然在短期内助推了通胀,但随着时间的推移,人民币升值使国内产品出口受阻,总需求低于潜在产出水平,物价水平也随之下降。此外,关于美联储量化宽松政策对我国产出的影响,第四部分的分析结果表明,美联储量化宽松政策对我国产出水平的提高造成了负面影响。第六章为中国应对美国量化宽松政策的对策分析,针对美国量化宽松政策对我国经济产生的相关影响,本章从实体经济和虚拟经济两个层面提出了相应对策。第七章为结论,在前文分析的基础上,本部分提出了本文的研究结论。
[Abstract]:At present, some of the issues related to quantitative easing are becoming the focus of research. As a policy response to the global financial crisis, the Fed launched an unconventional quantitative easing policy in October 2008. As of now, the Fed has carried out a four round of quantitative easing policy, the initial goal of the policy to save the United States from collapse. Over time, the goal of the financial system is to stimulate economic recovery and reduce unemployment. However, it can not be ignored that the implementation of the Fed's quantitative easing policy not only has an important impact on the American economy, but also has a wide impact on the broad emerging market countries, including China. In this case, this paper makes an in-depth study on the theoretical basis and influence of the Federal Reserve's quantitative easing policy, which not only has great theoretical significance, but also has some practical value.
This article is divided into seven chapters. The first chapter is the introduction. This chapter mainly introduces the core concepts, research background, research purpose and significance, research contents and methods, possible innovations and shortcomings.
The second chapter is the literature review. This chapter mainly deals with the literature related to the quantitative easing policy. The whole chapter is divided into three parts: the first part is the evolution of the theoretical basis of quantitative easing policy. This part reviews the evolution process of the theoretical basis of quantitative easing policy in detail; the second part is the transmitter of quantitative easing policy. On the basis of a brief review of the theory of the transmission mechanism of traditional monetary policy, this part focuses on the literature related to the theory of the transmission mechanism of quantitative easing policy; the third part is the influence of quantitative easing policy. This part focuses on a large number of empirical literature related to the impact of quantitative easing policy. The detailed combing provides a solid foundation for the next research.
The third chapter is the construction and analysis of the dynamic model of the theoretical basis of quantitative easing policy. The main objective of this chapter is to build the theoretical foundation of the quantitative loose monetary policy, and lay a strict theoretical foundation for the quantitative loose monetary policy. The model of this chapter extends the Kiyotaki and Moore (2003) to build the liquidity impact model and establish the cover finance. At the same time, it can be seen from the calibration process of the model and the dynamic response diagram of the liquidity impact that the liquidity impact has a strong negative impact on investment, employment and output, so the result of the liquidity shock is obvious, and the KM expansion model is fully table. Facing the liquidity constraints will lead to large-scale economic fluctuations, so the implementation of the unconventional liquidity injection by quantitative easing monetary policy is necessary and has a solid theoretical model basis.
The fourth chapter is the practice of quantitative easing in the United States. This chapter first gives a detailed description of the implementation process of quantitative easing policy in the United States. Up to now, the Federal Reserve has carried out a total of four rounds of quantitative easing policy. The first round of quantitative easing policy aims to inject liquidity directly into the financial market to prevent the spread of the crisis. The policy tools mainly include short term securities lending tools and so on. From the beginning of the second round of quantitative easing policy, the Federal Reserve's policy objectives gradually turn to reduce unemployment and promote the sustained recovery of the United States economy. The policy tools used are mainly to buy long term treasury bonds, and the quantitative easing policy of the United States will be adopted in this article. The quantitative easing policy has been compared in detail. In general, the quantitative easing policy of the United States and Japan has some differences in policy objectives and policy tools due to the different financial system structure and other reasons.
The fifth chapter makes an empirical analysis on the impact of the Fed's quantitative easing policy from different angles. In the specific content, this chapter is divided into four parts: the first part is an empirical analysis of the domestic impact of the Fed's quantitative easing policy; the second part is the spillover effect of the Federal Reserve on the emerging market countries. The third part makes an empirical analysis on the impact of the Fed's quantitative easing policy on China's inflation, and the fourth part is an empirical analysis of the impact of the Fed's quantitative easing policy on China's home-made inflation.
On the domestic impact of the Fed's quantitative easing policy, the Gagon et al. (2010) and Neely (2010) papers confirmed that the Fed's quantitative easing policy reduced the US long-term interest rate and prompted the dollar devaluation. On this basis, this part uses the vector autoregression model to analyze the U.S. long-term interest rate decline and the dollar depreciation to the United States. The result shows that the decline of us long-term interest rate and the devaluation of US dollar have played a positive role in the growth of us output, and further analysis shows that the growth of output has promoted the increase of inflation rate.
On the impact of the Fed's quantitative easing policy on emerging market countries, the Fed's quantitative easing policy mainly through the Asset Portfolio Rebalancing channel, exchange rate channels, international trade channels, monetary policy passive coordination channels and other four channels have produced significant impact on emerging market countries. Further, this part is in Brazil, Russia, India, and the three countries The results show that the quantitative easing policy has a significant impact on the exchange rate, output and inflation of the three countries, and the quantitative easing policy has a positive impact on the inflation of the three countries, including the quantitative easing policy, which is important because of the quantitative easing policy. The flood of US dollar liquidity and short term capital entry have directly or indirectly promoted the inflation level of the three countries.
On the impact of the Fed's quantitative easing policy on China's inflation, the Fed's quantitative easing policy has struck China's inflation through exchange rate and international commodity price channels. In particular, the implementation of the quantitative easing policy has promoted the rise of international commodity prices and the rise of the RMB exchange rate. The rise of commodity prices has pushed up the level of inflation at home. The reason is that our country's dependence on the import of international commodities is serious, and the rise of international commodity prices has pushed up the production cost of the enterprise, which makes China face certain inflationary pressure. The reason is that the appreciation of RMB has pushed inflation in the short term, but as time goes on, the appreciation of the RMB has hindered the export of domestic products, the total demand is lower than the level of potential output, and the price level also decreases. In addition, the fourth part of the analysis on the impact of the Federal Reserve quantitative easing policy on my domestic products shows that The Fed's quantitative easing policy has a negative impact on the improvement of China's output level.
The sixth chapter is the analysis of China's Countermeasures to deal with the quantitative easing policy of the United States. In view of the related effects of the United States quantitative easing policy on the economy of our country, this chapter puts forward the corresponding countermeasures from the two levels of the real economy and the virtual economy.
The seventh chapter is the conclusion. On the basis of previous analysis, this part puts forward the conclusion of this study.
【学位授予单位】：南开大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F827.12;F224

【参考文献】