我国货币政策“流动性陷阱”检验的稳定性和有效性研究

发布时间：2018-08-21 19:31

【摘要】：近年来,央行多次施行降息降准政策,我国的名义利率历经了频繁的下调后,已经达到历史低点。同时,伴随着M1和M2数据剪刀差扩大,民间投资持续回落等经济问题的出现,“流动性陷阱”问题也引起了众多学者的关注。学界内有关我国货币政策是否已经陷入“流动性陷阱”的讨论日益增多。目前学界关于“流动性陷阱”的研究主要集中于对“流动性陷阱”假说的理论分析和政策研究上。在实证分析方面,则主要集中于对曾在20世纪90年代末期陷入“流动性陷阱”的日本经济以及日本货币政策的研究上。然而,利用我国近年的数据,对货币政策是否陷入“流动性陷阱”的实证检验则相对稀少。本文针对这一问题,对我国货币政策是否陷入“流动性陷阱”进行了相应的文献分析和实证检验。本文首先构建了固定系数的货币需求函数,利用1995年1季度至2016年4季度的GDP,M1,CPI以及一年期存款利率的数据,对货币需求函数的利率弹性系数进行估计。而后,通过Chow检验我们发现,样本在2008年1季度存在明显断点,由此构建的货币需求方程并不平稳。所以,我们接着构建了具有时变系数的货币需求函数,通过将货币需求函数表示成状态空间模型的形式,利用卡尔曼滤波对时变的弹性系数进行估计,得到了利率弹性变化轨迹。而后,通过观察利率弹性变化轨迹发现,时变的利率弹性不存在随着利率下降,绝对值显著增大的现象,时变系数货币需求函数较固定系数货币需求函数更易捕捉利率弹性的变化,并且检验结果表明,我国货币政策并没有陷入“流动性陷阱”的迹象。我们比较了固定系数和时变系数的利率弹性轨迹,证实了我们检验结果的稳定性和一致性,给出了“流动性陷阱”检验更为确切的检验结论。最后,为了进一步说明非“流动性陷阱”下货币政策的传导效应和实际效应,本文通过构建实际利率、实际产出和货币冲击三变量的VAR模型,对三者关系和货币政策的有效性做了进一步的研究。研究表明实际利率是实际产出的格兰杰原因,货币冲击是实际利率的格兰杰原因,分析脉冲响应函数,我们发现,正向的实际利率冲击对实际产出会造成负向的影响。这说明我国的货币政策是有效的,货币政策传导的利率渠道也是通畅的。基于以上结论,本文提出了如下政策建议:首先,根据本文结论,我国货币政策仍具备有效性,故货币当局应继续推行稳健的货币政策,在维持价格稳定的条件下,促进经济持续稳定的发展。其次,慎用零利率或低利率政策,虽然我国未陷入“流动性陷阱”,利率仍有下调空间,但长时间使用该政策不但会对银行业造成较大负面影响,并且存在使货币政策陷入“流动性陷阱”的巨大风险。最后,为预防“流动性陷阱”的产生,需要有效促进投资和拉动消费。落实民间投资政策来促进民间投资增长,推进个税改革来刺激消费都是扩大内需的有效手段,也可使经济运行远离“流动性陷阱”的约束。
[Abstract]:In recent years, the central bank has repeatedly implemented the policy of reducing interest rates, and the nominal interest rate in China has reached a historical low after frequent cuts. At the same time, along with the expansion of the scissors gap between M1 and M2 data, the continuous decline of private investment and other economic problems, the "liquidity trap" problem has attracted the attention of many scholars. Whether monetary policy has fallen into the "liquidity trap" has been discussed more and more. At present, the academic research on the "liquidity trap" mainly focuses on the theoretical analysis and Policy Research of the "liquidity trap" hypothesis. However, the empirical test of whether the monetary policy falls into the "liquidity trap" is relatively scarce by using the data of China in recent years. In view of this problem, this paper makes corresponding literature analysis and empirical test on whether the monetary policy falls into the "liquidity trap" in China. Firstly, the paper constructs a fixed coefficient money demand function, estimates the interest rate elasticity coefficient of the money demand function by using the data of GDP, M1, CPI and one-year deposit interest rate from the first quarter of 1995 to the fourth quarter of 2016. Then, through Chow test, we find that the sample has obvious breakpoint in the first quarter of 2008, and thus constructs the money demand side. So, we construct the money demand function with time-varying coefficients, and estimate the time-varying elasticity coefficients by using Kalman filter. Then, we find that the time-varying elasticity of interest rate changes by observing the interest rate elasticity. Interest rate elasticity does not exist with the decline of interest rate, the absolute value increases significantly. The time-varying coefficient of money demand function is easier to capture the change of interest rate elasticity than the fixed coefficient of money demand function. The trajectory of interest rate elasticity confirms the stability and consistency of our test results, and gives a more accurate conclusion of the liquidity trap test. Finally, in order to further illustrate the transmission effect and the actual effect of monetary policy under the non-liquidity trap, this paper constructs the real interest rate, the real output and the monetary shock three. The VAR model with variable is used to study the relationship between real interest rate and the effectiveness of monetary policy.The results show that real interest rate is the Granger cause of real output and monetary shock is the Granger cause of real interest rate. Based on the above conclusions, this paper puts forward the following policy recommendations: Firstly, according to the conclusions of this paper, China's monetary policy is still effective, so the monetary authorities should continue to pursue a sound monetary policy, in the condition of maintaining price stability, to promote. Secondly, we should use zero interest rate or low interest rate prudently. Although our country has not fallen into the "liquidity trap", there is still room for interest rate to be lowered. However, long-term use of this policy will not only have a greater negative impact on the banking industry, but also have a huge risk of making monetary policy fall into the "liquidity trap". The emergence of liquidity trap requires effective investment promotion and consumption promotion. Implementing private investment policies to promote private investment growth and promoting individual tax reform to stimulate consumption are effective means to expand domestic demand, and can also make economic operation far from the restriction of liquidity trap.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F822.0

【参考文献】