基于Divisia指数的我国货币供应量指标研究
发布时间：2018-10-13 16:02
【摘要】：货币供应量作为中央银行货币政策的中介变量,其可测性、可控性和相关性对中央银行的科学决策具有重要影响。目前实行的货币供应量指标体系难以真实、准确地反映经济运行中的货币总量,因此基于货币供给内生性的视角重新审视货币供应量作为中介目标的理论基础,为今后判断一个金融工具是否应该纳入指标体系以及货币当局调整货币政策调控方向提供依据具有重要的理论意义和实践意义。首先对我国基础货币可控性和货币乘数可控性进行了研究,证明我国货币供给内外生性共存的特征。通过货币供给可测性理论分析、货币政策工具对中介变量的传导分析以及货币供应量与经济运行状态的相关性分析,得出结论:在当前货币供应量具备一定可控性且利率传导机制不畅通的条件下,货币供给量在我国货币政策制定和实施过程中仍然具有重要参考价值,需要不断完善以提高货币政策有效性。在对货币定义梳理的基础上,选取债券回购余额、短期利率债、商业银行理财产品、离岸人民币、电子货币、民间借贷作为货币供应的拓展因素,对我国货币供应量指标体系进行新的统计和层次划分,使用Divisia指数方法构建出加权的货币供应量指标。为验证修正后的货币供应量指标DM2的适用性,本文使用2005-2015年的数据,构建了以实际产出、物价水平和利率水平为自变量的货币需求函数,运用HP滤波将经济周期冲击的非对称性引入其中,运用最小二乘法对DM2和M2的需求函数进行估计,得出结论:DM2相比M2对经济周期更加敏感,货币需求函数更加稳健。使用2007-2015年的季度数据构建货币政策工具冲击方程,并利用STR模型考察经济变量的非对称性,结果显示:DM2与货币政策工具之间的非线性关系更加显著。最后建立VAR模型对DM2和经济运行状态的相关性进行实证研究,并对比包含M2的VAR模型,得出结论:DM2与经济增长、经济增长动力因素的相关关系较强,且含有DM2的VAR模型预测国内生产总值和物价指数更加准确。最后根据实证结果及我国实际情况提出相应的政策建议:完善货币统计框架;正确发挥货币乘数的作用;控制外来因素对我国货币供给的冲击;建立数量、价格和宏观审慎政策相结合的调控框架;注重稳定预期在政策调控中的作用;微调货币政策以配合经济结构调整。
[Abstract]:As the intermediate variable of central bank's monetary policy, the measurability, controllability and relativity of money supply play an important role in the scientific decision of central bank. The current money supply index system is difficult to reflect the total amount of money in the economic operation accurately. Therefore, based on the endogenous perspective of money supply, the paper re-examines the theoretical basis of money supply as the intermediary target. It is of great theoretical and practical significance for judging whether a financial instrument should be included in the index system and for the monetary authorities to adjust the direction of monetary policy regulation in the future. Firstly, this paper studies the controllability of the basic money and the controllability of the money multiplier, and proves the characteristics of the coexistence of the internal and external nature of the money supply in our country. Through the theory analysis of the testability of money supply, the transmission analysis of monetary policy tools to intermediary variables and the correlation analysis between money supply and economic operation state, It is concluded that under the condition that the money supply is controllable and the transmission mechanism of interest rate is not smooth, the amount of money supply still has important reference value in the process of monetary policy formulation and implementation in our country. Continuous improvement is needed to improve the effectiveness of monetary policy. On the basis of combing the definition of currency, we select bond repurchase balance, short-term interest rate debt, commercial bank financial products, offshore RMB, electronic currency, private lending as the expansion factors of money supply. Based on the new statistics and hierarchical division of the money supply index system in China, the weighted money supply index is constructed by using the Divisia index method. In order to verify the applicability of the revised money supply index (DM2), this paper uses the data from 2005 to 2015 to construct the money demand function, which takes real output, price level and interest rate level as independent variables. The HP filter is used to introduce the asymmetry of economic cycle shock, and the least square method is used to estimate the demand function of DM2 and M2. It is concluded that DM2 is more sensitive to business cycle than M2, and the money demand function is more robust. Using the quarterly data from 2007-2015 to construct the shock equation of monetary policy instruments, and using STR model to investigate the asymmetry of economic variables, the results show that the nonlinear relationship between DM2 and monetary policy instruments is more significant. Finally, the VAR model is established to study the correlation between DM2 and economic running state, and the VAR model including M2 is compared. It is concluded that DM2 has a strong correlation with economic growth and economic growth driving factors. And the VAR model with DM2 is more accurate in predicting GDP and price index. Finally, according to the empirical results and the actual situation in China, the corresponding policy recommendations are put forward: to perfect the framework of monetary statistics, to give full play to the role of monetary multiplier, to control the impact of external factors on China's money supply, to establish the quantity, A regulatory framework combining price and macroprudential policies; focusing on the role of stabilizing expectations in policy regulation; fine-tuning monetary policy to match economic restructuring.
【学位授予单位】：中国矿业大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F822.2
本文编号：2269193
[Abstract]:As the intermediate variable of central bank's monetary policy, the measurability, controllability and relativity of money supply play an important role in the scientific decision of central bank. The current money supply index system is difficult to reflect the total amount of money in the economic operation accurately. Therefore, based on the endogenous perspective of money supply, the paper re-examines the theoretical basis of money supply as the intermediary target. It is of great theoretical and practical significance for judging whether a financial instrument should be included in the index system and for the monetary authorities to adjust the direction of monetary policy regulation in the future. Firstly, this paper studies the controllability of the basic money and the controllability of the money multiplier, and proves the characteristics of the coexistence of the internal and external nature of the money supply in our country. Through the theory analysis of the testability of money supply, the transmission analysis of monetary policy tools to intermediary variables and the correlation analysis between money supply and economic operation state, It is concluded that under the condition that the money supply is controllable and the transmission mechanism of interest rate is not smooth, the amount of money supply still has important reference value in the process of monetary policy formulation and implementation in our country. Continuous improvement is needed to improve the effectiveness of monetary policy. On the basis of combing the definition of currency, we select bond repurchase balance, short-term interest rate debt, commercial bank financial products, offshore RMB, electronic currency, private lending as the expansion factors of money supply. Based on the new statistics and hierarchical division of the money supply index system in China, the weighted money supply index is constructed by using the Divisia index method. In order to verify the applicability of the revised money supply index (DM2), this paper uses the data from 2005 to 2015 to construct the money demand function, which takes real output, price level and interest rate level as independent variables. The HP filter is used to introduce the asymmetry of economic cycle shock, and the least square method is used to estimate the demand function of DM2 and M2. It is concluded that DM2 is more sensitive to business cycle than M2, and the money demand function is more robust. Using the quarterly data from 2007-2015 to construct the shock equation of monetary policy instruments, and using STR model to investigate the asymmetry of economic variables, the results show that the nonlinear relationship between DM2 and monetary policy instruments is more significant. Finally, the VAR model is established to study the correlation between DM2 and economic running state, and the VAR model including M2 is compared. It is concluded that DM2 has a strong correlation with economic growth and economic growth driving factors. And the VAR model with DM2 is more accurate in predicting GDP and price index. Finally, according to the empirical results and the actual situation in China, the corresponding policy recommendations are put forward: to perfect the framework of monetary statistics, to give full play to the role of monetary multiplier, to control the impact of external factors on China's money supply, to establish the quantity, A regulatory framework combining price and macroprudential policies; focusing on the role of stabilizing expectations in policy regulation; fine-tuning monetary policy to match economic restructuring.
【学位授予单位】：中国矿业大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F822.2
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