广义货币M2增速放缓之谜
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摘要
本文发现,2011年以来迅速发展的银行资产创新业务,影响了真实货币乘数增速近80%的变动,主导了M2增速;而央行调控的外生基础货币增速对M2增速的影响可以忽略。2017年以来,金融严监管压缩银行资产创新业务,造成其派生存款增速下降,是近期我国M2增速下降的主要原因。如果金融监管维持高压态势,同时央行维持较低的基础货币增速,M2增速将出现过快下滑,冲击实体经济。这对货币政策在"防范金融风险"与"支持实体经济"之间寻求平衡提出严峻挑战。
The paper finds that the rapid development of bank asset innovations since 2011 has affected nearly 80% of the variation of real money multiplier growth, which dominants the growth of M2, and the impact of the growth rate of exogenous base money controlled by the central bank on the M2 growth could be ignored. Since 2017, strict financial supervision has reduced the bank asset innovations, resulting in a decline in the growth rate of its derivative deposit, which is the main reason for the recent decline in China's M2 growth. If financial regulation maintains a highpressure situation and the central bank maintains a low growth rate of base money, the M2 growth will fall too fast and then impact the real economy negatively. This poses a serious challenge to the monetary policy which seeks a balance between "preventing financial risks" and "supporting the economic growth".
The paper finds that the rapid development of bank asset innovations since 2011 has affected nearly 80% of the variation of real money multiplier growth, which dominants the growth of M2, and the impact of the growth rate of exogenous base money controlled by the central bank on the M2 growth could be ignored. Since 2017, strict financial supervision has reduced the bank asset innovations, resulting in a decline in the growth rate of its derivative deposit, which is the main reason for the recent decline in China's M2 growth. If financial regulation maintains a highpressure situation and the central bank maintains a low growth rate of base money, the M2 growth will fall too fast and then impact the real economy negatively. This poses a serious challenge to the monetary policy which seeks a balance between "preventing financial risks" and "supporting the economic growth".
引文
[1]孙国峰,贾君怡.中国影子银行界定及其规模测算--基于信用货币创造的视角[J],中国社会科学,2015,(11).
[2]周启清,韩永楠,孙倩.我国影子银行货币创造对通货膨胀的影响--基于我国经济数据的误差修正模型检验[J],宏观经济研究,2016,(2).
[3]安平,王胜先.金融监管和货币政策的叠加与协调:货币乘数视角[R],中国人民银行2018年青年研究课题报告,2018.
[4]李波.构建货币政策和宏观审慎政策双支柱调控框架[J],中国金融出版社,2018.
[5]Mc Leay,M.,A.Radia,and R.Thomas.Money creation in the modern economy,Quarterly Bulletin(Q1),2014.
[6]Pesaran,M.H.,and Y.Shin.An autoregressive distributed lag modelling approach to cointegration analysis[J],Econometrics and Economic Theory in the 20thCentury:The Ragnar Frisch Centennial Symposium,Cambridge University Press:Cambridge,1999,371-413.
[7]Pesaran,M.H.,Y.Shin and R.J.Smith,2001,Bounds testing approaches to the analysis of level relationships[J],Journal of Applied Econometrics,2001,16(3):289-326.
[8]Philips,A.Q.Have your cake and eat it too?Cointegration and dynamic inference from autoregressive distributed lag models[J],American Journal of Political Science,2018,62(1):230-244.
[9]Narayan,P.K.He saving and investment nexus for China:evidence from cointegration tests[J],Applied Economics,2005.
[10]Brunner,K.,and Meltzer,A.H.Money supply[J],Handbook of Monetary Economics,1990,1:357-398.
(1)银监会于2010年发布《关于规范银信理财合作有关事项的通知》,于2011年发布《关于进一步规范银信理财合作业务的通知》。
(1)不含已纳入各项存款的“非银行金融机构持有的同业存单”和“非银行金融机构存放资金”。
(1)ARDL模型两步法首先根据SIC筛选模型,然后使用OLS估计。Pesaran and Shin(1999)证明,该方法的估计量不仅具有良好的大样本和小样本性质,而且其性质不依赖于模型变量是否平稳,从而避免了单位根检验不准确带来的潜在问题。此外,这种方法还可直接应用Pesaran et al.(2001)提出的Bounds F-Test长期均衡关系检验。该检验与他们提出的ARDL建模方法一脉相承,也不依赖于对模型变量进行单位根检验。而且相较其他协整检验方法,还具有稳健的小样本优势,具体可参考Philips(2018)。
(1)限于篇幅,稳健检验结果备索。
[2]周启清,韩永楠,孙倩.我国影子银行货币创造对通货膨胀的影响--基于我国经济数据的误差修正模型检验[J],宏观经济研究,2016,(2).
[3]安平,王胜先.金融监管和货币政策的叠加与协调:货币乘数视角[R],中国人民银行2018年青年研究课题报告,2018.
[4]李波.构建货币政策和宏观审慎政策双支柱调控框架[J],中国金融出版社,2018.
[5]Mc Leay,M.,A.Radia,and R.Thomas.Money creation in the modern economy,Quarterly Bulletin(Q1),2014.
[6]Pesaran,M.H.,and Y.Shin.An autoregressive distributed lag modelling approach to cointegration analysis[J],Econometrics and Economic Theory in the 20thCentury:The Ragnar Frisch Centennial Symposium,Cambridge University Press:Cambridge,1999,371-413.
[7]Pesaran,M.H.,Y.Shin and R.J.Smith,2001,Bounds testing approaches to the analysis of level relationships[J],Journal of Applied Econometrics,2001,16(3):289-326.
[8]Philips,A.Q.Have your cake and eat it too?Cointegration and dynamic inference from autoregressive distributed lag models[J],American Journal of Political Science,2018,62(1):230-244.
[9]Narayan,P.K.He saving and investment nexus for China:evidence from cointegration tests[J],Applied Economics,2005.
[10]Brunner,K.,and Meltzer,A.H.Money supply[J],Handbook of Monetary Economics,1990,1:357-398.
(1)银监会于2010年发布《关于规范银信理财合作有关事项的通知》,于2011年发布《关于进一步规范银信理财合作业务的通知》。
(1)不含已纳入各项存款的“非银行金融机构持有的同业存单”和“非银行金融机构存放资金”。
(1)ARDL模型两步法首先根据SIC筛选模型,然后使用OLS估计。Pesaran and Shin(1999)证明,该方法的估计量不仅具有良好的大样本和小样本性质,而且其性质不依赖于模型变量是否平稳,从而避免了单位根检验不准确带来的潜在问题。此外,这种方法还可直接应用Pesaran et al.(2001)提出的Bounds F-Test长期均衡关系检验。该检验与他们提出的ARDL建模方法一脉相承,也不依赖于对模型变量进行单位根检验。而且相较其他协整检验方法,还具有稳健的小样本优势,具体可参考Philips(2018)。
(1)限于篇幅,稳健检验结果备索。