基于金融可计算一般均衡模型的利率市场化政策效应研究

发布时间：2018-01-21 23:16

本文关键词： 利率市场化 SAM矩阵金融CGE模型　出处：《中国海洋大学》2013年硕士论文　论文类型：学位论文

【摘要】：中国利率市场化在曲折中前进，目前已经实现了货币市场与债券市场的市场化改革，然而具有决定性意义的存贷款利率市场化程度相对滞后。对于我国这样一个仍处于转轨中的大国来说，利率市场化的政策选择则对其改革的成败具有决定性作用。在利率市场化政策效应分析方面，国内多采用定性分析与比较经验分析的方法，实证分析方法相对落后。可计算一般均衡模型（CGE）以其反映多部门、多机构之间相互作用及市场机制的独特优势成为政策分析和模拟预测的有效工具，广泛应用于各个领域进行政策定量模拟分析。本文以利率市场化的政策效应分析为研究对象，在一般均衡框架下，探讨一下问题：1）国内外利率市场化改革的比较；2）我国金融可计算一般均衡模型的构建；3）我国金融社会核算矩阵的编制；4）利率市场化政策效应的实证研究。针对上述问题，本文的研究工作集中在以下几个方面：首先，针对国内外利率市场化改革的比较，本文将其分为渐进式与激进式两种改革模式，通过两种利率市场化改革的持续时间、改革政策、宏观经济条件比较，提出我国利率市场化改革应坚持渐进式改革模式。并分析了利率市场化改革对基准利率、国有企业、商业银行以及宏观经济增长的影响。其次，针对我国金融可计算一般均衡模型的构建，本文在梳理模型假设条件、变量设定的基础上，建立了金融可计算一般均衡模型，包括投入产出模块、国内最终需求模块、价格模块、国际贸易模块、资产组合模块、收入支出模块、市场出清及金融模块。第三，针对我国金融社会核算矩阵的编制，本文在2007年我国投入产出表的基础上，将实体SAM的机构经常账户拓展，活动账户划分为三个产业，商品账户相对应分为3种商品、机构部门分为7个，编制了包括4种金融工具：存款、贷款、证券、其他金融工具的金融流量账户，并把中央银行和商业银行进行了区分。最后，针对利率市场化政策效应的实证研究，，在进行政策模拟的情景设定时，将存贷款利率浮动区间的变化采用控制变量法，单情景、单因素进行政策分析。在如何判断利率市场化对宏观经济各部门的影响时，为将情景中的设定条件与模型相联系，本文采用“极值”模拟方法，模拟过程中利率变量“一浮到顶（底）”，如果在“极值”情况下，经济效率有所增加，也就证明了利率市场化政策仍有改良空间。研究发现我国存款利率浮动区间仍有扩大的政策选择，贷款利率浮动区间已经基本能够反映市场的资金供求情况，我国的利率市场化政策选择仍需采取渐进谨慎的政策选项。
[Abstract]:Chinese market interest rates move forward in the twists and turns, has achieved a market-oriented reform of monetary market and bond market, but has the decisive significance of deposit and loan interest rate marketization degree is relatively backward. For a country such as China is still in transition in the country, the market interest rate policy choice of the reform has a decisive role. In the analysis of policy effect of interest rate market, the domestic use of qualitative analysis method and comparative empirical analysis, empirical analysis method is relatively backward. The computable general equilibrium model (CGE) to reflect its unique advantages of multi sectoral, multi interaction between institutions and market mechanism has become a effective tool for policy analysis and forecasting and widely used in various fields of policy of quantitative analysis. In this paper the policy effect of interest rate marketization analysis as the research object, under the framework of general equilibrium And discuss the questions: 1) is the reform of the interest rate market at home and abroad; 2) the construction of Chinese financial computable general equilibrium model; 3) developed matrix financial social accounting in China; 4) An Empirical Study on the effect of interest rates policy. In view of the above problems, this study focused on the following aspects:
First of all, according to the comparison of domestic and foreign interest rate marketization reform, this paper will be divided into two kinds of progressive and radical reform mode, through the duration of the two reform of interest rate marketization reform policy, macro economic conditions, put forward China's market-oriented interest rate reform should adhere to the progressive reform and the analysis of the model. The interest rate marketization reform of state-owned enterprises, the benchmark interest rate, commercial banks and the impact of macroeconomic growth.
Secondly, for the construction of Chinese financial computable general equilibrium model, based on the assumption of combing model, the basic variables set, established financial computable general equilibrium model, including input and output module, the price of domestic final demand module, module, module of international trade, portfolio income and expenditure module, module, and market clearing financial module.
Third, China's financial system in social accounting matrix, based on the input and output table of China in 2007 on the current account of the SAM entity activities account organization development, divided into three industries, relative goods account should be divided into 3 kinds of commodities, is divided into 7 departments, including the preparation of 4 Financial instruments: deposits, loans, securities, financial flow accounts and other financial instruments, the central bank and commercial banks are distinguished.
Finally, an empirical study on the effect of interest rate policy, the policy simulation scenarios, the change range of floating interest rate by controlling variable method, single scene, single factor in policy analysis. On how to judge the effects of interest rate liberalization on economy sectors, will set the scene for the condition with the model and the "extreme" simulation method, the simulation process of the interest rate variable "a floating the top (bottom)", if the "extreme" circumstances, increase economic efficiency, it is proved that the interest rate market policy still have improvement space. We found that the deposit interest rate of our country is still floating range the option to expand the policy lending rates interval has been able to reflect the market supply and demand situation, the marketization of interest rate policy choice of China still needs to take a gradual cautious policy options.

【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.5;F224

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