债券市场发展与货币政策作用研究

发布时间：2018-01-01 15:22

  本文关键词：债券市场发展与货币政策作用研究　出处：《中央财经大学》2015年博士论文　论文类型：学位论文

  更多相关文章： 债券市场 货币政策 货币供给量 利率 GDP

【摘要】：我国债券市场近年来发展迅速,市场规模不断扩大,产品种类逐渐丰富,参与者数量不断增加。但是与发达国家的债券市场相比,我国债券市场依然存在整体规模偏小、流动性不强、监管体系不完善等问题,影响了货币政策的有效实施及宏观经济的持续健康发展。因此,为了达到既定的政策目标,在当前我国债券市场发展尚不完善的情况下,研究如何扫除障碍,建立成熟的债券市场以提高货币政策作用具有重要的现实意义,而以货币政策为切入点研究债券市场发展问题,对于丰富债券市场发展理论和货币政策理论亦具有重要的研究意义。本文的研究思路如下:首先,对我国债券市场的发展现状进行考察。债券的发展虽历史悠久,但债券市场的真正形成与发展却始于上世纪80年代。改革开放后,我国债券市场快速发展,并逐步经历了场外市场为主时期(1981-1991)、交易所市场为主时期(1991-1997)和银行间债券市场为主时期(1997至今)。当前,我国债券发行市场发行方式和期限结构日趋多样、发行规模逐渐扩大、发行券种渐趋丰富,交易市场机制和品种趋于多样、交易规模逐渐扩大、流动性日益增强、投资者种类及数量持续增加,债券市场余额逐步扩大,债券评级制度、托管制度、监管制度及相关法律法规不断完善,债券市场发展取得了较为明显的进步。第二,就债券市场在货币政策传导中的作用进行理论分析。本文分别从债券市场在货币政策传导中的功能、债券市场发展对货币供求的影响和货币政策在债券市场传导的两阶段等三个方面进行分析。文章将货币政策在债券市场的传导阶段分为货币政策对债券市场的作用阶段(第一阶段)和债券市场对实体经济的作用阶段(第二阶段),并在凯恩斯的IS-LM模型基础上引入债券市场因素,构建了一个新的数理模型。数理分析表明,债券市场在货币政策传导中具有重要作用。第三,就货币政策在债券市场传导的第一阶段即货币政策对债券市场的作用阶段进行实证分析。货币政策的传导可以通过货币供给量和利率两个中介目标来完成:在研究货币供给量对债券市场的作用时,本文引入了预期因素,研究认为,加入预期因素会使货币供给量对债券市场作用增强,但效果不明显;在研究利率对债券市场的作用时,文章比较了官定利率和市场化利率对债券市场的作用,研究认为,与官定利率相比,市场化利率对债券市场的作用明显要强,说明我国目前官定利率的货币政策效率较低,利率市场化势在必行,然而市场化利率的作用也未达到预期效果。总体来看,由于我国债券市场存在问题较多,第一阶段传导效果不够理想。第四,就货币政策在债券市场传导的第二阶段即债券市场变化对实体经济的作用进行实证分析。债券市场对实体经济的作用主要是通过影响消费和投资,再经由乘数作用促进实体经济的发展。乘数作用已为经济学界普遍认可,所以文章主要实证分析了债券市场变化对消费和投资的作用。研究认为,债券价格和实际消费之间存在长期均衡关系,且二者变动方向相同,债券价格的上涨会给实际消费水平带来较为明显的影响,而债券价格波动对消费水平的短期影响则较小;债券市值与实际投资同方向变动,但是债券市值的冲击对实际投资的影响较小。总体来看,债券市场存在的问题导致货币政策在债券市场第二阶段传导效果较差,降低了债券市场在货币政策传导中的作用。第五,借鉴美国这一发达债券市场的经验,并结合前述实证分析结果,分析我国债券市场在货币政策传导中的问题。我国债券市场近年来虽然取得明显进步,但由于发展时间较短,存在问题依然较多,如债券市场供给不足、需求不旺、流动性不强、监管体系不完善等,导致货币政策在债券市场的传导效果较差。最后,结合我国债券市场所处的发展阶段和存在的问题,笔者从完善货币政策传导的角度提出了发展我国债券市场的对策建议。本文可能的创新之处在于:一是对债券市场在货币政策传导中的作用进行系统研究;二是在凯恩斯IS-LM模型的基础上引入债券市场因素,构建了一个新的理论模型,并运用此模型就债券市场在货币政策传导中的作用进行理论分析;三是在研究货币供给量对债券市场的作用时考虑了预期因素,采用ARIMA模型将货币供给量变动分为预期到的与未预期到的两种,然后分析两种货币供给量变动对债券市场的作用是否不同;四是在研究利率对债券市场的作用时,考虑了我国尚未完成利率市场化的现实情况,采用比较分析法研究官定利率和市场化利率对债券市场的作用是否不同,以期为利率市场化后的债券市场参与者、监管者及货币当局提供参考。
[Abstract]:China's bond market has developed rapidly in recent years, the market continues to expand the scale of product types gradually, the number of participants is increasing. But the bond market compared with developed countries, China's bond market is still the overall size is too small, illiquid, supervision system is not perfect, affecting the effective implementation of macroeconomic and monetary the policy of the sustained and healthy development. Therefore, in order to achieve the established objectives, in the current development of China's bond market is not perfect, study how to remove the obstacles, the establishment of a mature bond market in order to improve the effect of monetary policy has important practical significance, and using monetary policy as a breakthrough point of the development of the bond market. Also has important significance for enriching the development of the bond market theory and monetary policy theory. The research ideas are as follows: first, the bond market in our country. The situation was studied. The bond development is a long history, but the real formation and the development of the bond market began in the last century in 80s. After the reform and opening up, the rapid development of China's bond market, and gradually through the OTC market dominated period (1981-1991), (1991-1997) the main period of the exchange market and the inter-bank bond market (mainly during the period of since 1997). At present, China's bond market issuance and maturity structure is becoming more diverse, the issuing scale gradually expanded, the issue securities trading market mechanism and become rich, more diverse varieties, trading scale gradually expanded, the increasing mobility of species and the number of investors, the bond market continued to increase, the balance gradually expanded, the bond rating system the trusteeship system, supervision system, and constantly improve the relevant laws and regulations, the development of the bond market has made remarkable progress. Second, bond market in monetary policy Theoretical analysis of the transmission mechanism. This paper from the transmission of monetary policy on the function of the bond market, bond market development impact on money supply and monetary policy are analyzed in three aspects: the bond market conduction stage. The two stage transmission of monetary policy in the bond market is divided into monetary policy on the bond market effect of phase (the first phase) phase and the bond market to the real economy (second stage), and the introduction of the bond market factors based on IS-LM model Keynes, built a new mathematical model. The mathematical analysis shows that the bond market plays an important role in monetary policy transmission. Third, carries on the empirical analysis the first stage stage role in the bond market conduction of monetary policy monetary policy on the bond market. The monetary policy transmission through two money supply and interest rates The dielectric target to complete: in the study of money supply to the role of bond market, this paper introduces expected factors, research suggests that adding expected factors make the money supply to strengthen the role of the bond market, but the effect is not obvious; in the research of the interest rate on the bond market effect, the article compares the official role and interest rate the market interest rate on the bond market research shows that compared with the official rate, the market interest rate effect on the bond market is obviously stronger, indicating the efficiency of monetary policy in our country at present the official rate is low, the interest rate market is imperative, however, the interest rate market also did not reach the expected effect. Overall, because of our country there are many problems in the bond market, the first stage of conduction effect is not ideal. Fourth, monetary policy in the bond market conduction of second stages of the bond market changes on the real economy by empirical Analysis of effect on the real economy. The bond market is mainly through the influence of consumption and investment, and then through the multiplier effect of promoting the development of the real economy. The multiplier effect has been widely recognized in economic circles, so this article is mainly empirical analysis of the role of the bond market changes on consumption and investment. The research thinks that there is a long-term equilibrium relationship between bond price and actual consumption, and the two changes in the same direction, bond prices will bring obvious influence to the actual consumption level, while the short-term impact of bond price fluctuations on the consumption level of the bond market is small; and the actual investment moves in the same direction, but the bond market impact has little effect on the actual investment. Overall, the bond market exists led to the problem of monetary policy in the second stage of poor bond market conduction effect, reduce the role of the bond market in monetary policy transmission in the article. Five, learn from the developed bond market experience, and combining the results of empirical analysis, analysis of monetary policy transmission in China bond market. China's bond market in recent years has made significant progress, but due to the short time of development, still more problems, such as the bond market supply shortage, demand Wang, liquidity is not strong, the regulatory system is not perfect, resulting in poor transmission effect of monetary policy in the bond market. Finally, combined with the stage of development of China's bond market and the problems, the author puts forward the countermeasures and suggestions for the development of China's bond market from the perspective of perfecting monetary policy transmission. The possible innovation this paper is: first, systematic research on the role of the bond market in monetary policy transmission; two is the introduction of the bond market factors based on Keynes IS-LM model, constructed a new theoretical model. Type and use of this model, theoretical analysis on effect of bond market in monetary policy transmission; three is in the study of money supply to the bond market when considering the expected factors, using ARIMA model will change the money supply is divided into anticipated and unanticipated changes in two, then analysis two the money supply on the bond market is different; four is in the research of the interest rate on the bond market when considering the reality of our country has not completed the interest rate market, by using the method of comparative analysis of official interest rates and whether different market interest rate on the bond market, in order to after the interest rate market bond market participants, provide reference for regulators and monetary authorities.

【学位授予单位】：中央财经大学
【学位级别】：博士
【学位授予年份】：2015
【分类号】：F832.51;F822.0
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本文编号：1365068