金融稳定、通货膨胀与经济增长

发布时间：2018-01-14 15:24

本文关键词：金融稳定、通货膨胀与经济增长　出处：《吉林大学》2014年博士论文　论文类型：学位论文

【摘要】：世界金融危机以来，世界各国的中央银行意识到通过控制通货膨胀实现的经济增长和价格稳定不足以保证整个宏观经济的稳定。作为金融系统关键功能有效执行，金融市场与实体经济协调发展，资源配置、风险管理、支付结算等重要功能在金融市场以及各个机构中能够平稳运行，具有应对冲击的能力且在外部冲击的干扰下不受影响的一种平稳状态，维护和促进金融稳定已经逐渐成为各国央行的首要政策目标。在加入世界贸易组织之后，我国金融体系面临巨大的风险与挑战，维护金融稳定已经成为维持物价稳定、保持经济增长的关键因素，加强我国金融稳定性建设已经刻不容缓。《十八大报告》明确指出：“完善金融监管，推进金融创新，提高银行、证券、保险等行业竞争力，维护金融稳定。”当前，我国经济正处于经济转型的关键时期，面对严峻复杂的国际经济环境，开展对我国金融稳定、通货膨胀和经济增长的研究将为我国经济平衡、协调和可持续发展提供有利的参考。另外，在当前形势下，我国“金融稳定”理论体系的构建刚刚起步，许多领域有待探索，尚未形成完善的框架结构。因此，开展基于金融稳定的理论与实证研究，是对我国金融稳定理论体系的有益补充，，具有重要的理论和现实意义。本文梳理了金融稳定的基本理论，在IMF金融稳健性指数评价体系及国内外相关研究的基础上，构建了中国金融稳定性指数，并基于这一合成指数，对金融稳定与物价稳定的关联性、包含金融稳定因素的货币政策规则、金融稳定与宏观经济运行的关联性以及金融稳定与经济增长的关联性等方面，采用计量经济学方法进行了深入探究。第一，本文结合中国的实际情况，构建了中国金融稳定性评价指标体系，并运用主成分分析法合成了中国金融稳定性指数FSI，分析了中国金融体系稳定性状况与走势。从整体趋势来看，中国的金融体系的稳定性呈平稳改善的趋势，从2004年开始逐渐上升的状态；从波动性来看，在2005年至2006年中期期间以及2007年至2009年末期期间，中国金融稳定性的波动幅度很大；从水平值来看，中国金融体系的稳定状态分为如下三个阶段：第一阶段从2004年初期至2007年中期，中国金融稳定性呈现整体向好的趋势；第二阶段从2007年中期至2010年初期，中国金融稳定状况出现了剧烈的波动，出现了2007年底的波谷和2009年中期的波峰；第三阶段从2010年至2013年末期间，中国金融稳定性持续平稳的提高，波动率较小。第二，本文基于中国金融稳定性指数，运用马尔科夫区制转移模型分析了中国金融稳定与物价稳定的关联性。研究表明，我国金融稳定不仅有助于物价稳定，金融稳定也可以解释物价稳定，而金融稳定和物价稳定的适度负相关是一种常态，即通货膨胀的较低的水平，金融稳定容易发生；与此同时，我国金融稳定对物价影响具有显著地降低作用，不仅有助于通货膨胀水平值的降低，还有助于其波动的下降。第三，本文在线性利率规则模型的基础上，引入了金融稳定缺口项，用以考察我国中央银行在执行货币政策时是否关注金融稳定因素。通过对引入金融稳定因素的利率规则模型进行了参数估计，结果发现利率对金融稳定缺口的调整参数不显著，这表明我国中央银行在执行货币政策时对金融稳定缺口的关注度不高，这主要是由于我国利率市场化程度还不高，货币政策对金融市场影响的传导渠道还不够畅通，因此在对金融市场进行调控时，中央银行更多地是采取行政手段进行干预，市场化利率对金融市场的调控机制还不健全，是今后需要加强和改进的重点所在。随着我国利率市场化进程的不断加快，采用市场化的手段对金融市场进行调控和监管是未来金融市场稳定机制的关键。第四，本文运用VAR模型和TVP-VAR模型对包含金融稳定，通货膨胀率和广义货币供给的简单经济系统进行了估计，用以分析金融稳定与通货膨胀率和广义货币供给之间的关联性。研究表明，在对经济系统进行估计时，TVP-VAR模型相对于VAR模型更具稳健性；在样本期间内，通货膨胀与货币供给的冲击虽然并没有对金融稳定的影响机制产生结构性变化，但在金融危机过后，货币供给正向冲击对金融稳定指数的负向影响期间显著缩短，金融稳定与通货膨胀的依存性也在不断减弱，这有利于政府和货币当局在宏观调控时把二者区分对待，以便实现多重宏观调控目标。第五，本文运用固定参数模型和时变参数状态空间模型分析了经济增长对金融稳定的影响机制，并结合马尔科夫区制转移模型，对估计结果进行稳健性检验。固定参数模型的结果表明，经济增长对金融稳定有显著地抑制效应；而时变系数模型提高了模型的拟合效果，并指出，经济增长对金融稳定的影响存在明显的时变特质。在样本期间内，经济增长对金融稳定的影响呈现出逐步上升的态势，在2004年至2007年期间，这种影响体现为抑制效应的不断减小，而在2007年至2012年前后，经济增长对金融稳定的影响首次由负转正，而后又迅速变为负向影响；在进入2012年后，随着我国经济增长率开始降低，经济增长对金融稳定开始体现出明显的拉动效应。稳健性检验的结果进一步证实了之前得到的结论。
[Abstract]:Since the world financial crisis, central banks around the world have realized by controlling inflation to achieve economic growth and price stability is not enough to guarantee the macroeconomic stability. As the key function of the financial system and effective implementation, coordinated development of financial markets and the real economy, resource allocation, risk management, run smoothly the important function of payment and settlement in the financial market and all institutions, a steady state has the ability to deal with the impact and interference of external shocks are not affected, maintain and promote financial stability has gradually become the primary policy goal of each country's central bank.
After joining the world trade organization, China's financial system is facing huge challenges and risks, maintain financial stability has become a key factor to maintain price stability, maintaining economic growth, strengthening China's financial stability. Eighteen construction has been urgent report "clearly pointed out:" the perfect financial supervision, promote financial innovation, improve the banking, securities, the competitiveness of insurance industry, maintain financial stability. At present, China's economy is in a critical period of economic transformation, in the face of severe and complicated international economic environment, development of China's financial stability, the inflation and economic growth for the balance of the economy of our country, provide a favorable reference for coordinated and sustainable development. In addition, in the current under the situation of construction of China's "financial stability" theory system has just started, many areas need to be explored, has not yet formed the framework of perfect. Therefore, to carry out radical The theoretical and empirical research on financial stability is a useful supplement to the theoretical system of financial stability in China, which has important theoretical and practical significance.
This article reviews the basic theory of financial stability, financial stability index based on IMF evaluation system and related study at home and abroad, the construction of China financial stability index, and based on the synthetic index of correlation between financial stability and price stability, including monetary policy rules of financial stability, as well as the relevance of financial stability and the relevance of economic growth and financial stability and macroeconomic operation, using econometric methods have been studied.
First, this paper combined with the actual situation of Chinese, constructs the evaluation index system of financial stability Chinese, and using principal component analysis China financial stability index FSI was synthesized and the stability analysis of the status and trend of the financial system China. From the overall trend, steadily improve the stability of the financial system Chinese trend gradually since 2004 the rise of state; from the view of fluctuation, during the period from 2005 to 2006 and mid 2007 to the end of the 2009, volatility of financial stability Chinese greatly; from the level of value, the steady state Chinese financial system is divided into three stages as follows: the first stage is from early 2004 to mid 2007, China showed good overall financial stability the trend; second stage from mid 2010 to early 2007, China financial stability condition and drastic fluctuation, appeared at the end of 2007 In the third stage from 2010 to the end of 2013, China's financial stability has been steadily increasing, with less volatility.
Second, this paper China financial stability index based on the application model for the transfer of Markoff region analyses the relationship between China financial stability and price stability. The results show that China's financial stability is not only helpful to price stability, financial stability can also explain the price stability and financial stability and price stability and moderate negative correlation is the norm that is, the lower the level of inflation, financial stability is easy to occur; at the same time, China's financial stability has significantly reduced the role of the price impact, not only helps to reduce the level of inflation value, also contribute to the decline in its volatility.
Third, based on the linear model of the interest rate rule, introduced the financial stability gap, to examine whether the Central Bank of China on financial stability factors in the implementation of monetary policy. Through the introduction of financial instability in the interest rate rule model of parameter estimation, parameter adjustment of interest rates found on the financial stability gap is not significant this shows that, the Central Bank of China in the implementation of monetary policy to financial stability gap is not high degree of concern, this is mainly due to the extent of China's interest rate market is not high, the impact of monetary policy on financial market transmission channel is not smooth, so in the financial market regulation, the central bank is more take administrative measures to intervene, the regulation mechanism of the market interest rate of financial market is not perfect, need to be further strengthened and improved. With the interest rate marketization in our country The key to the stability mechanism of the financial market in the future is to adjust and regulate the financial market by means of market-oriented means.
Fourth, this paper uses VAR model and TVP-VAR model to include financial stability, simple economic system of inflation and money supply have been estimated by correlation between analysis to financial stability and the rate of inflation and the broad money supply. The results show that in the economic system when estimating TVP-VAR model to VAR model is more robust; in the sample period, inflation and money supply shocks while there is no change on the influence mechanism of financial stability, but in the aftermath of the financial crisis, money supply positive impact on financial stability index negative influence period significantly shortened, financial stability and the dependence of inflation has also been reduced, which is conducive to the government and the monetary authorities to distinguish between the two in the macro-control, in order to achieve multiple objectives of macroeconomic regulation and control.
Fifth, this paper uses fixed parameter model and time-varying parameter state space model to analyze the impact of economic growth on financial stability mechanism, combined with Markov regime switching model for the robustness test on the estimation results. The results show that the fixed parameter model, economic growth and stability has significant inhibitory effect on finance; and time-varying coefficient model the model fitting effect, and pointed out that the impact of economic growth on financial stability has obvious time-varying characteristics. In the sample period, the economic growth effect on financial stability, showing a gradual upward trend in the period from 2004 to 2007, this effect reflects the inhibitory effect of decreasing, and in 2007 to 2012 and the impact of economic growth on financial stability for the first time from negative to positive, and then quickly become a negative impact; in 2012, with China's economic growth rate began to Down, economic growth has shown a clear pulling effect on financial stability. The results of the robustness test further confirmed the previous conclusions.

【学位授予单位】：吉林大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F224;F822.5;F832;F124.1

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