中央银行资产负债表政策研究
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摘要
2007-2009年的全球金融危机中,以美联储和欧洲央行为首的全球各大央行首次运用中央银行资产负债表政策,通过改变其资产负债表科目种类和规模来调节金融市场和实体经济。本研究从该政策的国际差异入手,创新性地系统揭示了美欧中央银行资产负债表政策在运用条件、政策影响以及传导渠道有效性之间的国际差异原因及最优政策规模。同时,在揭示中国人民银行资产负债表政策特点的基础上,本研究提出了将中国人民银行庞大的外汇储备作为一种具有中国特色的中央银行资产负债表政策的设想。
从实证经验分析来看,本研究发现美联储与欧洲央行实施中央银行资产负债表政策的积极性存在显著区别,原因是利率宽松政策与该扩张政策的相互作用机制不同。美联储表现为“宽松-宽松”循环,欧洲央行为“宽松-紧缩”循环。其次,该政策的传导渠道有效性存在很大差异,美联储的资产重新配置渠道比欧洲央行更加有效,信号渠道在短期和中期有效；欧洲央行的信号渠道短期有效,长期则出现反作用。此外,该扩张政策短期内使通胀迅速上升,但长期CPI逐步恢复到均衡水平。同时,该政策对金融市场的调控能力远强于对实体经济的调控。
从理论研究来看,首先,健康银行杠杆率对中央银行信贷政策规模的影响存在拐点。问题银行对信贷政策规模的影响是单调的,影响方向取决于外生的健康银行杠杆率水平。当需要救助的银行比例较低时,问题银行杠杆率越大,越应减少信贷宽松政策规模。其次,财政部对该政策的最优支持力度由无风险收益率、风险溢价、健康银行杠杆率以及问题银行杠杆率等因素共同决定。
中国人民银行资产负债表政策以负债科目种类和规模调整为主,侧重短期微调。由于中国投资于美国国债和风险资产的外汇储备可以间接转化为美国对中国实体经济的国外直接投资,以增加中国实体经济的资金供给,因此外汇储备可以作为资产科目政策工具丰富我国货币政策工具。本文发现,只有在满足一定条件的情况下,中国外汇储备投资于美国股权越多,则其对外风险资产投资间接转化为本国私人部门FDI的比例越高。
During the2007-2009Global Financial Crisis, central bank balance sheet policy prevailed. Led by the Federal Reserve and the European Central Bank, many major central banks applied this policy toolkit for the first time by adjusting the categories and size of their assets. By emphasizing the cross-country differences, this thesis casts light on different conditions and reasons to apply such policies, their influences and effectiveness of the transmission channels, as well as the determination of the optimal size of credit easing. Meanwhile, based on the central bank balance sheet policies of PBC, this thesis also initiated a way to transform the large possession of foreign exchange assets of PBC, a central bank balance sheet policy in Chinese way.
Through the empirical researches on Federal Reserve and the European Central Bank, the result shows great differences in the frequencies to apply central bank balance sheet policy toolkits, due to the mutual influences between the interest rate expansion and central bank balance sheet policy easing. On the U.S. side, the two policies stimulate each other, while the opposite on the Euro zone side. Besides, the transmission channels between the two policy toolkits are different. For the U.S., the portfolio rebalancing channel is more effective, and so is the signaling channel in both short and medium run. While for the Euro zone, the signaling effect is strong in the short run, but reversed in the long run. Moreover, there is inflation in both areas due to the central bank balance sheet policy easing in the short run, but not in the long run. Finally, the toolkit is more effective in financial markets then in the real economy.
From the perspective of the modeling and simulation, the result shows that there is an inflection point when the leverage ratio of the healthy banks influences the size of the credit easing policy of the central bank. However, for the problem banks, this influence is monotonous, and the relationship depends on the leverage ratio of the healthy banks. Meanwhile, when there are fewer banks to be recapitalized by the central bank, the larger the leverage ratio of the problem bank is, the smaller the size of the credit easing policy should be. Moreover, the financial support to the central bank from the Treasury is determined by the factors of non-risk yield, risk premium and the leverage ratio all both kinds of banks.
The central bank balance sheet policy of PBC relies on the short-term changes in size and categories of the debt. In order to create a balance sheet policy toolkit for PBC, this thesis initiates a way to transform the foreign exchange reserves into foreign direct investment to China through investing on the treasury bonds and risky assets in the U.S.,in order to increase the domestic funding of the real economy. Only in certain condition will the foreign exchange reserves of the PBC transformed into FDI effectively. And the restriction is determined by the relationship among various macro economic variables.
从实证经验分析来看,本研究发现美联储与欧洲央行实施中央银行资产负债表政策的积极性存在显著区别,原因是利率宽松政策与该扩张政策的相互作用机制不同。美联储表现为“宽松-宽松”循环,欧洲央行为“宽松-紧缩”循环。其次,该政策的传导渠道有效性存在很大差异,美联储的资产重新配置渠道比欧洲央行更加有效,信号渠道在短期和中期有效；欧洲央行的信号渠道短期有效,长期则出现反作用。此外,该扩张政策短期内使通胀迅速上升,但长期CPI逐步恢复到均衡水平。同时,该政策对金融市场的调控能力远强于对实体经济的调控。
从理论研究来看,首先,健康银行杠杆率对中央银行信贷政策规模的影响存在拐点。问题银行对信贷政策规模的影响是单调的,影响方向取决于外生的健康银行杠杆率水平。当需要救助的银行比例较低时,问题银行杠杆率越大,越应减少信贷宽松政策规模。其次,财政部对该政策的最优支持力度由无风险收益率、风险溢价、健康银行杠杆率以及问题银行杠杆率等因素共同决定。
中国人民银行资产负债表政策以负债科目种类和规模调整为主,侧重短期微调。由于中国投资于美国国债和风险资产的外汇储备可以间接转化为美国对中国实体经济的国外直接投资,以增加中国实体经济的资金供给,因此外汇储备可以作为资产科目政策工具丰富我国货币政策工具。本文发现,只有在满足一定条件的情况下,中国外汇储备投资于美国股权越多,则其对外风险资产投资间接转化为本国私人部门FDI的比例越高。
During the2007-2009Global Financial Crisis, central bank balance sheet policy prevailed. Led by the Federal Reserve and the European Central Bank, many major central banks applied this policy toolkit for the first time by adjusting the categories and size of their assets. By emphasizing the cross-country differences, this thesis casts light on different conditions and reasons to apply such policies, their influences and effectiveness of the transmission channels, as well as the determination of the optimal size of credit easing. Meanwhile, based on the central bank balance sheet policies of PBC, this thesis also initiated a way to transform the large possession of foreign exchange assets of PBC, a central bank balance sheet policy in Chinese way.
Through the empirical researches on Federal Reserve and the European Central Bank, the result shows great differences in the frequencies to apply central bank balance sheet policy toolkits, due to the mutual influences between the interest rate expansion and central bank balance sheet policy easing. On the U.S. side, the two policies stimulate each other, while the opposite on the Euro zone side. Besides, the transmission channels between the two policy toolkits are different. For the U.S., the portfolio rebalancing channel is more effective, and so is the signaling channel in both short and medium run. While for the Euro zone, the signaling effect is strong in the short run, but reversed in the long run. Moreover, there is inflation in both areas due to the central bank balance sheet policy easing in the short run, but not in the long run. Finally, the toolkit is more effective in financial markets then in the real economy.
From the perspective of the modeling and simulation, the result shows that there is an inflection point when the leverage ratio of the healthy banks influences the size of the credit easing policy of the central bank. However, for the problem banks, this influence is monotonous, and the relationship depends on the leverage ratio of the healthy banks. Meanwhile, when there are fewer banks to be recapitalized by the central bank, the larger the leverage ratio of the problem bank is, the smaller the size of the credit easing policy should be. Moreover, the financial support to the central bank from the Treasury is determined by the factors of non-risk yield, risk premium and the leverage ratio all both kinds of banks.
The central bank balance sheet policy of PBC relies on the short-term changes in size and categories of the debt. In order to create a balance sheet policy toolkit for PBC, this thesis initiates a way to transform the foreign exchange reserves into foreign direct investment to China through investing on the treasury bonds and risky assets in the U.S.,in order to increase the domestic funding of the real economy. Only in certain condition will the foreign exchange reserves of the PBC transformed into FDI effectively. And the restriction is determined by the relationship among various macro economic variables.
引文
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7 "The ECB's Non-standard Measures-Impact and Phasing-out". ECB Monthly Bulletin,2011(7).
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