货币政策信用传导渠道研究：实证检验、最优货币政策及针对债券市场的扩展

发布时间：2018-01-05 12:00

  本文关键词：货币政策信用传导渠道研究：实证检验、最优货币政策及针对债券市场的扩展　出处：《中国社会科学院研究生院》2016年博士论文　论文类型：学位论文

  更多相关文章： 货币政策 信用传导渠道 债券市场 利率结构 动态随机一般均衡

【摘要】：次贷危机对自上世纪80年代起“大缓和”时代以来形成的通过短期利率工具维持通胀目标的货币政策新共识提出了挑战:首先,单一通胀目标制是否合意受到质疑,就业、产出等目标明确地出现在了各国中央银行的目标清单上;其次,数量型货币政策的倾向再度出现,危机后的各种货币政策工具创新大多具有数量型的特点;另外,货币政策与金融稳定的关系需要被重新思考。由于危机后普遍认为信用相关的创新是货币政策转变的主要原因,信用传导渠道成为了目前货币理论与政策所关注的核心问题之一。本文基于货币政策的信用传导渠道理论对以下三个主要问题进行研究:第一,金融摩擦对我国经济波动影响的程度究竟有多大?第二,信用传导渠道下货币政策的目标、工具需要如何改进?第三,随着债券市场对货币政策制定的影响逐步增强,信用传导渠道模型需要如何改进以适应最优货币政策分析?本文首先回顾一般均衡框架下的货币和信用理论,主要对新货币主义和新凯恩斯主义理论中货币和信用的建模方法及最优货币政策的设计进行综述,通过对两个理论体系的比较选择适于对危机后货币政策进行分析的框架。本文随后基于将信用传导渠道纳入动态新凯恩斯框架的金融加速器模型衡量金融风险冲击对经济波动的影响程度,分别使用中、美两国经济金融数据对模型中各类冲击进行参数估计。方差分解结果表明金融风险冲击对我国经济波动的影响远低于美国,且由于估计过程使用两国债券市场信用利差数据对应模型中的外部融资溢价变量,上述结果说明我国信用债券市场的价格形成机制未能对信用风险进行充分的反应。本文重点研究了信用传导渠道下的最优货币政策问题。通过回顾在仅包含消费需求的基础动态新凯恩斯模型及包含资本积累和投资需求的模型中,求解最优货币政策的方法、稳定通货膨胀和资本品相对价格的特点、以及泰勒规则的稳健性,本文进一步在包含信用传导渠道的模型中求解最优货币政策。初步研究表明,最优货币政策除具备通胀率、资本品价格相对稳定的特点外,由于企业净值提高可以降低外部融资溢价进而缓解金融摩擦,因此企业净值提高幅度明显高于泰勒规则下的提高幅度。另外,本文还对比了针对信用利差或信贷规模对传统泰勒规则进行调整的货币政策与最优货币政策响应的差异,结果显示针对上述局部均衡变量进行调整的利率规则并不能达到合意的政策效果。最后,本文尝试对金融加速器模型进行扩展,使得模型更适用于分析债券市场中的货币政策信用传导渠道,分别将差异化的风险偏好和债券期限因素引入模型,并将扩展的模型分别用于分析资产证券化产品及其风险自留监管要求的宏观效应和债券期限对最优货币政策的影响等问题。关于资产证券化产品风险自留监管要求的宏观效应,研究显示,适度的风险自留要求可以在一定程度上平抑经济波动,但过高的风险自留要求反而会加大经济波动。关于债券期限对最优货币政策的影响,研究显示,在泰勒规则下,引入长期限债券降低了经济的波动性;而在Ramsey最优货币政策下,大部分变量波动的幅度并不随债券期限的增加而单调减小,但通胀率、长期名义利率、债券价格及债务融资规模的最优响应随着债券期限的增大而显著降低,体现出了随着经济中债务期限的增长,稳定债券价格和债务融资规模对投资和资本积累的重要性逐步提高。
[Abstract]:It is a challenge to maintain the inflation target by consensus of the short-term interest rate instruments of monetary policy on the formation of the subprime crisis since the last century since 80s the era of "great moderation": first, whether the desired single inflation targeting has been questioned, employment, output targets appear explicitly in the central bank's target list; secondly, tendency the number of monetary policy again, characteristics of various monetary policy tools of innovation after the crisis has quantity; in addition, the relationship between monetary policy and financial stability needs to be reconsidered. Because the crisis is widely believed that the credit related innovation is the main reason of monetary policy changes, the credit transmission channel has become one of the core issues of the current monetary the theory and policy of concern. In this paper, the theory of monetary policy credit transmission channel to research on the following three main problems: first, based on gold Financial friction on the impact of China's economic fluctuations in the level of how much? Second, the credit transmission channel of monetary policy under the target, tools need to improve? Third, with the influence of bond market on monetary policy gradually increased, the credit transmission channel model needs to adapt to the analysis of how to improve the optimal monetary policy this paper first reviews the general? Equilibrium under the framework of the theory of money and credit, the main modeling methods of monetary and credit new monetary doctrine and new in Keynes's theory and the optimal monetary policy design review, by comparison of two theoretical system framework for analyzing monetary policy after the crisis. Then, based on the credit transmission channel will be included in the financial the accelerator model dynamic new Keynes framework measure financial risk impact influence on economic fluctuation, respectively, by the United States zykin Financial data of various impact parameters in the model estimation. Variance decomposition results show that the impact of financial risk impact on China's economic fluctuation is far lower than the United States, and the estimation of the external finance premium variable process using two bond market credit spreads data corresponding to the model, the result shows that China's credit bond market price mechanism failed to carry out the full response to the credit risk. This paper focuses on the optimal monetary policy credit transmission channel. Through the review based on dynamic Keynes model contains only the consumer demand and include the accumulation of capital and investment demand model, the solution of optimal monetary policy, stable inflation and the relative price of capital goods, and the conservatism of Taylor rule, this article further includes the credit transmission channel model to solve the optimal monetary policy. A preliminary study Show that the optimal monetary policy in addition to inflation, the characteristics of capital goods prices relatively stable, because the enterprise net can reduce the external finance premium and alleviate the financial friction, therefore the enterprise value increased significantly higher than that under the Taylor rule increases. In addition, this paper also compares the differences in credit spreads or credit scale to adjust the traditional Taylor rules for monetary policy and the optimal monetary policy response, results cannot be adjusted according to the partial equilibrium variables of interest rate rules and achieve the desired effect of the policy. Finally, this paper attempts to the financial accelerator model is extended, the credit transmission channel of monetary policy makes the model more suitable for the analysis of the bond market, the difference of the risk preference and maturity factors into the model, and the extended model were used for the analysis of asset securitization products The macro risk retention effect and regulatory requirements and maturity effects on optimal monetary policy. The research showed that the macroeconomic effect on asset securitization risk retention regulatory requirements, moderate risk retention requirements to a certain extent can stabilize economic fluctuations, but the high risk retention requirements but will increase about the influence of economic fluctuations. The maturity of the bonds, on optimal monetary policy research shows that under the Taylor rule, the introduction of long-term bonds to reduce the volatility of the economy; and in the Ramsey optimal monetary policy, most of the increase of wave amplitude is not variable with the maturity of a bond decreases, but the rate of inflation, the long-term nominal interest rates, bond prices and the optimal response with the increase of the size of the debt financing maturity decreased significantly, reflecting the economy with debt growth, stable bond prices and debt The scale of financing has gradually increased the importance of investment and capital accumulation.

【学位授予单位】：中国社会科学院研究生院
【学位级别】：博士
【学位授予年份】：2016
【分类号】：F822.0
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本文编号：1383010