我国货币政策非对称效应研究
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摘要
在中外货币政策的实践中,人们发现相同力度的扩张性货币政策和紧缩性货币政策对于实体经济的冲击力度存在差异。这一非对称效应影响了货币政策对宏观经济的调控效果,给货币当局准确制定货币政策带来难度,也吸引着学者们对此展开深入讨论和研究。
本文在借鉴前人研究的基础上,从我国货币政策传导中的银行贷款渠道视角,针对我国货币政策实践分析了我国货币政策非对称效应的形成机理并进行实证检验,在此基础上给出提高我国货币政策效力的对策建议。
本文首先对国内外银行贷款渠道和货币政策非对称效应相关文献进行了综述,并对货币政策非对称效应形成机理的代表性理论进行了介绍,以便读者对这一领域的研究现状有一个基本了解。
然后通过对我国货币政策实践的回顾,梳理出三个重要影响和制约因素：信贷配给、资金充足率要求以及汇率安排。接着通过分析银行贷款渠道存在的前提条件及实证检验,集中讨论了银行贷款渠道在我国货币政策传导中的存在性和所处的重要地位,为从银行贷款渠道分析我国货币政策的非对称效应提供了合理依据。
在基于银行贷款渠道对我国货币政策非对称效应形成机理进行建模分析中,本文首先分别将影响我国货币政策实践的两个因素——信贷配给和资本金约束,植入分析银行贷款渠道的基准模型——CC-LM模型中的贷款供给方程。由于当经济处于繁荣时期时,信贷配给约束和资本金约束处于松约束,而当经济处于萧条时期时,信贷配给约束和资本金约束处于紧约束,因此紧缩性货币政策可以影响反映商业银行贷款供给的CC曲线,而扩张性货币政策却无法影响CC曲线,从而在CC-LM模型的框架中生成货币政策的非对称效应。
为进一步分析影响我国货币政策实践的第三个因素——汇率安排对我国银行贷款渠道中货币政策非对称效应的影响,本文还在CC-LM模型的基础上构建起开放经济下的CC-LM-BP模型。在将信贷配给约束和资本金约束纳入CC-LM-BP模型之后,发现考虑进汇率因素,货币政策的非对称效应得到放大。进一步分析表明,由于在固定汇率安排下,央行为维持汇率稳定,需要干预外汇市场,从而被动缩放货币供给,在此过程中信贷配给约束和资本金约束再次非对称影响商业银行的贷款供给,因此固定汇率安排下货币政策的非对称效应要更强于浮动汇率安排。
运用平滑转换回归STR模型,本文基于银行贷款渠道实证检验了我国货币政策的非对称效应。检验结果表明,我国货币政策确实存在非对称效应,即紧缩性货币政策对产出的影响超过扩张性货币政策,信贷配给可以解释这种非对称性的形成,并且汇率因素放大了货币政策对产出的非对称影响。这一实证检验结论证实了前面所提出的理论假说。
最后,本文针对前面的分析,提出央行在货币政策制定中需充分考虑非对称效应,加快货币市场和资本市场建设以减轻信贷配给程度,多管齐下增加商业银行资本金以提高扩张性货币政策效力,扩大汇率浮动幅度以减弱固定汇率对非对称效应的放大,以及进一步推进利率市场化以应对银行贷款渠道的弱化趋势等提高我国货币政策有效性的相关对策建议。
In the practice of Chinese and foreign monetary policy, it has been found that there is a big difference between the effect on the real economy of expansionary monetary policy and that of tight monetary policy with the same intensity. The asymmetric effect influences the outcome of monetary policy regulation on the economy and brings difficulties in accurate formulation of monetary policy to the monetary authorities. It thus attracts scholars to have in-depth discussions and researches.
In this paper, on the basis of previous researches, I analyze and empirically test the formation mechanism of the asymmetric effect of monetary policy from the perspective of bank lending channel which directs to the practice of China's monetary policy, and give recommendations on improving the effectiveness of monetary policy in China at the end.
Firstly, I summarize the researches on bank lending channel and asymmetric monetary effect and introduce representative theories of the formation mechanism of the asymmetric effect, so as to give readers a basic knowledge about this field.
Then, through the review of China's monetary policy practice, I find out three important factors influencing and constraining the practice:credit rationing, capital adequacy requirement, and exchange rate arrangements and exchange settlement requirement. After analyzing the preconditions of bank lending channel and giving empirical test, it testifies the existence and the important position of the bank lending channel in China's monetary policy transmission, providing a reasonable basis for the subsequent analysis of the asymmetric effect of monetary policy in China from the bank lending channel.
In the analysis of the formation mechanism of the asymmetric effect of monetary policy from the perspective of the bank lending channel, I first implant the main factors of the monetary policy practice-credit rationing and capital constraints, into the loan supply equation of the CC-LM model, the baseline model of analyzing the bank lending channel. When the economy is in boom times, the credit rationing constraint and capital constraints are in loose binding, while when the economy is in the depression, the credit rationing constraint and capital constraints are in tight binding. Thus, contractary monetary policy can affect the the CC curve which reflects the loan supply of commercial banks, while expansionary monetary policy can not affect the CC curve. Thereby, the asymmetric effect of monetary policy is generated in the framework of the CC-LM model.
In order to further analyze the impact of the exchange rate on the asymmetric effect of monetary policy, I construct the CC-LM-BP model, an open economy model, on the basis of the CC-LM model. It is found that the asymmetric effect of monetary policy is amplified after taking into account the exchange rate by introducing credit rationing constraints and capital constraints into the model. Further analysis even shows that the fixed exchange rate arrangements generate stronger asymmetric effect than the floating exchange rate arrangements. The reason behind is that in the fixed exchange rate arrangements, the central bank has to intervene in the foreign exchange market to maintain exchange rate stability, and thus passively zoom money supply. In this process, credit rationing constraints and capital constraints asymmetrically affect the loan supply of commercial banks again.
With the use of smooth transition regression (STR) model, I have examined the asymmetric effect of monetary policy. The findings verify the existence of asymmetric monetary effect in China, i.e. contractionary monetary effect more powful on output than equivalent expansionary monetary effect, the explicability of credit rationing for the forming of the asymmetric effect, and the amplification of the exchange rate on the asymmetric effect. Thus, the theory constructed in the previous chapter is proved.
In the end, I give recommendations to improve the effectiveness of monetary policy in China, including a full consideration of the asymmetric effect in policy making, the speedup of the construction of money market and capital market to lossen credit rationing, the augmentation of the capital of commercial banks to improve the effect of expansionary monetary policy, the broadening of the fluctruation range of RMB exchange rates to trail off the amplication of fixed exchange rate on the asymmetric effect and the promotion of the marketization of interest rates to adapt to the attenuation trend of the bank lending channel in China.
本文在借鉴前人研究的基础上,从我国货币政策传导中的银行贷款渠道视角,针对我国货币政策实践分析了我国货币政策非对称效应的形成机理并进行实证检验,在此基础上给出提高我国货币政策效力的对策建议。
本文首先对国内外银行贷款渠道和货币政策非对称效应相关文献进行了综述,并对货币政策非对称效应形成机理的代表性理论进行了介绍,以便读者对这一领域的研究现状有一个基本了解。
然后通过对我国货币政策实践的回顾,梳理出三个重要影响和制约因素：信贷配给、资金充足率要求以及汇率安排。接着通过分析银行贷款渠道存在的前提条件及实证检验,集中讨论了银行贷款渠道在我国货币政策传导中的存在性和所处的重要地位,为从银行贷款渠道分析我国货币政策的非对称效应提供了合理依据。
在基于银行贷款渠道对我国货币政策非对称效应形成机理进行建模分析中,本文首先分别将影响我国货币政策实践的两个因素——信贷配给和资本金约束,植入分析银行贷款渠道的基准模型——CC-LM模型中的贷款供给方程。由于当经济处于繁荣时期时,信贷配给约束和资本金约束处于松约束,而当经济处于萧条时期时,信贷配给约束和资本金约束处于紧约束,因此紧缩性货币政策可以影响反映商业银行贷款供给的CC曲线,而扩张性货币政策却无法影响CC曲线,从而在CC-LM模型的框架中生成货币政策的非对称效应。
为进一步分析影响我国货币政策实践的第三个因素——汇率安排对我国银行贷款渠道中货币政策非对称效应的影响,本文还在CC-LM模型的基础上构建起开放经济下的CC-LM-BP模型。在将信贷配给约束和资本金约束纳入CC-LM-BP模型之后,发现考虑进汇率因素,货币政策的非对称效应得到放大。进一步分析表明,由于在固定汇率安排下,央行为维持汇率稳定,需要干预外汇市场,从而被动缩放货币供给,在此过程中信贷配给约束和资本金约束再次非对称影响商业银行的贷款供给,因此固定汇率安排下货币政策的非对称效应要更强于浮动汇率安排。
运用平滑转换回归STR模型,本文基于银行贷款渠道实证检验了我国货币政策的非对称效应。检验结果表明,我国货币政策确实存在非对称效应,即紧缩性货币政策对产出的影响超过扩张性货币政策,信贷配给可以解释这种非对称性的形成,并且汇率因素放大了货币政策对产出的非对称影响。这一实证检验结论证实了前面所提出的理论假说。
最后,本文针对前面的分析,提出央行在货币政策制定中需充分考虑非对称效应,加快货币市场和资本市场建设以减轻信贷配给程度,多管齐下增加商业银行资本金以提高扩张性货币政策效力,扩大汇率浮动幅度以减弱固定汇率对非对称效应的放大,以及进一步推进利率市场化以应对银行贷款渠道的弱化趋势等提高我国货币政策有效性的相关对策建议。
In the practice of Chinese and foreign monetary policy, it has been found that there is a big difference between the effect on the real economy of expansionary monetary policy and that of tight monetary policy with the same intensity. The asymmetric effect influences the outcome of monetary policy regulation on the economy and brings difficulties in accurate formulation of monetary policy to the monetary authorities. It thus attracts scholars to have in-depth discussions and researches.
In this paper, on the basis of previous researches, I analyze and empirically test the formation mechanism of the asymmetric effect of monetary policy from the perspective of bank lending channel which directs to the practice of China's monetary policy, and give recommendations on improving the effectiveness of monetary policy in China at the end.
Firstly, I summarize the researches on bank lending channel and asymmetric monetary effect and introduce representative theories of the formation mechanism of the asymmetric effect, so as to give readers a basic knowledge about this field.
Then, through the review of China's monetary policy practice, I find out three important factors influencing and constraining the practice:credit rationing, capital adequacy requirement, and exchange rate arrangements and exchange settlement requirement. After analyzing the preconditions of bank lending channel and giving empirical test, it testifies the existence and the important position of the bank lending channel in China's monetary policy transmission, providing a reasonable basis for the subsequent analysis of the asymmetric effect of monetary policy in China from the bank lending channel.
In the analysis of the formation mechanism of the asymmetric effect of monetary policy from the perspective of the bank lending channel, I first implant the main factors of the monetary policy practice-credit rationing and capital constraints, into the loan supply equation of the CC-LM model, the baseline model of analyzing the bank lending channel. When the economy is in boom times, the credit rationing constraint and capital constraints are in loose binding, while when the economy is in the depression, the credit rationing constraint and capital constraints are in tight binding. Thus, contractary monetary policy can affect the the CC curve which reflects the loan supply of commercial banks, while expansionary monetary policy can not affect the CC curve. Thereby, the asymmetric effect of monetary policy is generated in the framework of the CC-LM model.
In order to further analyze the impact of the exchange rate on the asymmetric effect of monetary policy, I construct the CC-LM-BP model, an open economy model, on the basis of the CC-LM model. It is found that the asymmetric effect of monetary policy is amplified after taking into account the exchange rate by introducing credit rationing constraints and capital constraints into the model. Further analysis even shows that the fixed exchange rate arrangements generate stronger asymmetric effect than the floating exchange rate arrangements. The reason behind is that in the fixed exchange rate arrangements, the central bank has to intervene in the foreign exchange market to maintain exchange rate stability, and thus passively zoom money supply. In this process, credit rationing constraints and capital constraints asymmetrically affect the loan supply of commercial banks again.
With the use of smooth transition regression (STR) model, I have examined the asymmetric effect of monetary policy. The findings verify the existence of asymmetric monetary effect in China, i.e. contractionary monetary effect more powful on output than equivalent expansionary monetary effect, the explicability of credit rationing for the forming of the asymmetric effect, and the amplification of the exchange rate on the asymmetric effect. Thus, the theory constructed in the previous chapter is proved.
In the end, I give recommendations to improve the effectiveness of monetary policy in China, including a full consideration of the asymmetric effect in policy making, the speedup of the construction of money market and capital market to lossen credit rationing, the augmentation of the capital of commercial banks to improve the effect of expansionary monetary policy, the broadening of the fluctruation range of RMB exchange rates to trail off the amplication of fixed exchange rate on the asymmetric effect and the promotion of the marketization of interest rates to adapt to the attenuation trend of the bank lending channel in China.
引文
1曹永琴.中国货币政策非对称效应形成机理研究[D].上海：复旦大学,2008：第3页.
2 Garcia, R., H. Schaller. Are the Effects of Monetary Policy Asymmetric? [J]. Economic Inquiry,2002,40(1):102-119; Bernanke, B. S., I. Mihov. Measuring Monetary Policy [J]. The Quarterly Journal of Economics,1998 (August):869-902.
3 Senda, T. Asymmetric Effects of Money Supply Shocks and Trend Inflation [J]. Journal of Money, Credit and Banking,2001,33(1):65-89;
4 Clausen, V., B. Hayo. Asymmetric Monetary Policy Effects in EMU [J]. Applied Economics,2006 (38):1123-1134.
5 Carlino, G., R. De Fina. The Differential Regional Effects of Monetary Policy [J]. The Review of Economics and Statistics,1998,80(4):572-587; Peersman, G, F. Smets. The Industry Effects of Monetary Policy in the Euro Area [J], Economic Journal,2005,115(503):319-342.
6 Stiglitz, J. E., A. Weiss. Credit Rationing in Markets with Imperfect Information [J]. The American Economic Review,1981,71(3):393-410.
7 Bliss, R. R., G. G. Kaufman. Bank Procyclicality, Credit Crunches, and Asymmetric Monetary Policy Effects:A Unifying Model [J]. Journal of Applied Finance,2003,13(2):23-31.
8 付琼.中国经济崛起中的人民币汇率制度[D].吉林：吉林大学,2011：第7页.
1 孙志贤.我国货币政策传导机制分析[D].北京：对外经济贸易大学,2005：第9、13、14、17、19页.
2 Kashyap, A. K., J. C. Stein, D. W. Wilcox. Monetary Policy and Credit Conditions:Evidence from the Composition of External Finance [J]. American Economic Review,1993,83(1):78-98.
3 曹永琴.中国货币政策非对称效应形成机理研究[D].上海：复旦大学,2008：第33页.
4 Florio, A., P. Milano. The Asymmetric Effects of Monetary Policy [J]. Journal of Economic Surveys,2004,18(3):409-426.
1 Ball, L., N. G. Mankiw. Asymmetric Price Adjustment and Economic Fluctuations [J]. The Economic Journal,1994,104(March):247-261.
2 Ravn, M. O., M. Sola. Asymmetric Effects of Monetary Policy in the US [J]. Federal Reserve Bank of St. Louis Review,2004,86(5):41-60.
3 Bernanke, B., M. Gertler. Agency Costs, Net Worth, and Business Fluctuations [J]. The American Economic Review,1989,79(1):14-31.
4 Bernanke, B., M. Gertler, S. Gilchrist. The Financial Accelerator and the Flight to Quality [J]. The Review of Economics and Statistics,1996, Vol.78(1):1-15
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1 贾庆军.改革开放以来中国货币政策理论与实践的演变[D].上海：复旦大学,2005：第27-28页.
2 贾庆军.改革开放以来中国货币政策理论与实践的演变[D].上海：复旦大学,2005：第32页.
3 吴超林.1984年以来,中国宏观调控中的货币政策演变[J].当代中国史研究,2004(3)：第33-34页.
4 1996年中国人民建设银行正式更名为中国建设银行。
5 Kashyap, A. K., J. C. Stein, D. W. Wilcox. Monetary Policy and Credit Conditions:Evidence from the Composition of External Finance [J]. American Economic Review,1993,83(1):78-98.
6金永军(2007)将Mix指标定义为企业的银行贷款/(企业的银行贷款+企业票据融资额)。
1 Bernanke, B. S., A. S. Blinder. Is it Money or Credit, or Both, or Neither? Credit, Money and Aggregate Demand [J]. American Economic Review,1988,78(2): 435-439.
2 Stiglitz, J. E., A. Weiss. Credit Rationing in Markets with Imperfect Information [J]. The American Economic Review,1981,71(3):393-410.
3靳立新.资本充足率与货币政策传导问题研究[D].北京：北京师范大学,2007：第37页.
4 Bliss和Kaufman(2003)区分了两种资本充足率的定义,一是将资本充足率定义为资本金/(债券+贷款),另一种是将其定义为资本金(准备金+债券+贷款)。这里根据巴塞尔协议的界定和我国的实际做法,取第一种定义,即资本充足率=资本金/(债券+贷款)。
5与财政政策不同,在分析货币政策时无需区分BP线比LM线陡峭或平坦的情 形,因为只要BP线是右上倾斜的,LM线的右移就必然使新的均衡点E1位于BP线右下方,国际收支一定发生逆差。
1彭方平.STR模型及我国货币政策传导非线性研究[D].武汉：华中科技大学,2007：第21-23页.
2因数据可得性原因,本章以贷款同比增长率信贷配给进行近似替代。
3由于商业银行资本充足率现有数据为年度数据且样本数有限,未将其纳入解释变量,但因资本充足率对货币政策非对称效应的作用类似于信贷配给,因此不影响整体检验结论。
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4 1996年中国人民建设银行正式更名为中国建设银行。
5 Kashyap, A. K., J. C. Stein, D. W. Wilcox. Monetary Policy and Credit Conditions:Evidence from the Composition of External Finance [J]. American Economic Review,1993,83(1):78-98.
6金永军(2007)将Mix指标定义为企业的银行贷款/(企业的银行贷款+企业票据融资额)。
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2 Stiglitz, J. E., A. Weiss. Credit Rationing in Markets with Imperfect Information [J]. The American Economic Review,1981,71(3):393-410.
3靳立新.资本充足率与货币政策传导问题研究[D].北京：北京师范大学,2007：第37页.
4 Bliss和Kaufman(2003)区分了两种资本充足率的定义,一是将资本充足率定义为资本金/(债券+贷款),另一种是将其定义为资本金(准备金+债券+贷款)。这里根据巴塞尔协议的界定和我国的实际做法,取第一种定义,即资本充足率=资本金/(债券+贷款)。
5与财政政策不同,在分析货币政策时无需区分BP线比LM线陡峭或平坦的情 形,因为只要BP线是右上倾斜的,LM线的右移就必然使新的均衡点E1位于BP线右下方,国际收支一定发生逆差。
1彭方平.STR模型及我国货币政策传导非线性研究[D].武汉：华中科技大学,2007：第21-23页.
2因数据可得性原因,本章以贷款同比增长率信贷配给进行近似替代。
3由于商业银行资本充足率现有数据为年度数据且样本数有限,未将其纳入解释变量,但因资本充足率对货币政策非对称效应的作用类似于信贷配给,因此不影响整体检验结论。
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