我国利率波动传导效应研究
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摘要
利率是备受关注的核心经济变量之一。其重要之处在于,作为资金的使用价格,利率对经济的影响既包含对微观经济主体经济活动的影响也是联系货币市场与产品市场的重要纽带。利率的水平不仅受到货币市场与产品市场的共同作用,更反作用于两个市场,因此,利率在经济体系中同时具备对经济的调节作用和反映经济运行状况的信号作用,对一国经济体系的运行状态产生重要影响。因此,利率在世界各国的货币政策中有着重要的地位。我国长期以来以货币供应量为中介目标,随着1996年利率市场化的正式提出,我国步入由货币数量调控手段向价格工具调控手段过渡时期,利率政策成为我国货币政策的重要组成部分和实施手段之一。然而,随着国内经济的不断发展和全球经济环境的不断变化,利率市场化不仅要面对自身机制改革的问题,更要考虑如何适应不断变化的经济环境,2007年爆发的全球性金融危机以及经济复苏前后我国面临的巨大通胀压力均透视出,我国利率市场化改革的力度和进度均需要加强,以应对愈发复杂的经济环境。
我国目前的利率制度对利率政策调控经济运行和货币供给能力的发挥上存在阻碍。现阶段我国货币政策调控手段中货币数量调控与价格工具并存的状态也给利率对宏观经济运行的判断带来麻烦。货币数量作为货币政策主要调控手段的弊端已经逐步突显,无论是其它国家还是我国自身,均受到货币数量调控带来的通胀隐患等经济问题的困扰,因此,无论是借鉴国外的实践经验还是依据我国的实际国情出发,货币数量调控向利率工具调控过渡是保障我国经济稳步快速发展的必然选择。然而,货币数量调控效应的逐渐弱化和我国利率市场化进程停滞不前的状况导致我国货币政策的调控效应面临巨大挑战,不仅于此,我国整体的经济运行都将因此受到波动。我国货币政策调控特点与我国利率非市场化是相互关联的。利率非市场化使得利率作为中介目标的条件不够成熟,而货币政策对数量工具的偏移则在某种程度上阻碍了我国利率市场化的进程。两个因素显然是相互影响相互制约的关系。这不仅给我国利率传导效应的进一步发挥制造了困难,也给我国经济发展道路增加了不稳定因素。另外,金融环境的不断变化对我国的利率传导效应提出新的挑战。资本证券化的不断深入和金融衍生工具的不断创新,使得货币的供给和需求关系愈发复杂,资本市场在一国经济体系运行当中的地位也日趋重要,不仅在于其高效的资金资源配置能力给全球经济发展带来的活力,更为重要的是,其自身特有的投机性和高风险性使全球经济运行的不确定性增加,近代的几次经济危机均与资本市场不稳定和资产价格波动剧烈有关联。
鉴于上述认识,本文以利率对中国经济运行的传导效应为主题,主要包括两个方面,一是通过对产出和物价影响的计量分析识别利率波动对实体经济的影响效应;二是通过对信贷规模和资产价格影响的计量分析,识别利率波动对银行行为和金融市场的影响效应。考虑到货币数量和利率的紧密联系,以及中国在利率政策实施过程中通常伴随货币数量调控,本文在展开利率效应研究时,会把货币数量作为重要的参考变量。
论文的结构安排和主要创新点如下:
(1)本文采用滚动式的估计方法对利率的调控效应进行刻画,不仅能够体现出利率调控效应的时进性变化,也避免了单一样本区间估计导致的统计性质的弱化。滚动式估计方法的结果更具有说服力和针对性,既能够体现不同经济状态下利率的调控效应特点,也能够反应出利率调控效应的时进性变化,更为重要的是,运用滚动式估计方法可以对制度变化的时点进行分析,避免这类时点的存在对分析现实经济意义产生的偏差。
(2)分析利率对宏观经济的调控效应和传导机制时,不仅采用对其自身的纵向比较,更引入货币供应量的调控效应和传导机制作为参考,既能够比较同为货币政策工具的利率与货币供应量在调控效应和传导机制上的不同,也能够通过综合的横向纵向比较得出利率调控效应和传导机制变化的更为精确的结论,使结论更具有客观性和现实意义。
(3)对利率的传导机制分析中将资本市场作为利率传导渠道纳入到论文当中,使得对利率传导机制的综合分析更全面更具有前瞻性。我国有关分析资本市场作为利率传导渠道的相关文章并不少见,但是将资本市场纳入到对利率传导机制的研究体系的文章并不多见,综合比较利率对实际经济和对资本市场影响的文章就更少。通过比较利率对实际经济和资本市场调控效应的不同,可以分析出利率的“弱效应”是否为我国实际经济与资产价格出现背离现象的根源。事实说明,产生这种背离的主要原因是货币供应量对资本市场的影响程度相对较大,社会中的闲置资金流向资本市场的现象明显,从而导致资产价格的波动。
Interest rates is one of the most important economic variables that is concerned. Its importance is, as the prices of using money, the economic impact of interest rates not only contains the influence of economic activity to microeconomic units but also contains both the money market and also the products market. The level of interest rates by not only money market but also product markets, the common function of more counterproductive and two market, so, interest rates in the economic system have both to regulate the economy function and reflect economic operation condition of signal functions in an economy system, the operation status of influence. Therefore, interest rates in the world monetary policy has an important position. Our country for a long time for intermediary goal in the money supply, as the annual interest rate marketization, 1996, China officially proposed by the monetary amount into measures to price controls the transition period, tool interest rate policy has become China's monetary policy is an important part of one and implementing measures. However, with the continuous development of the economy and global economic environment changes, market-oriented interest rate reform not only faced its own system, the more must consider how to adapt to changing economic environment, the 2007 global financial crisis erupted and economic recovery around China faces huge inflationary pressures are fluoroscopy gives, China's market-oriented interest rate reform efforts and progress requires both strengthen, in response to the increasingly complex economic environment.
China's current rates of interest rate policy regulation system of economic operation and currency supply exists on the ability to play obstacles. At present in China means of monetary policy monetary amount regulation and price the state also gave tool coexist interest rate to the macro-economy judgment cause trouble. Monetary quantity for monetary policy mainly controls malpractice already gradually highlight, whether other countries or China's currency, are subject to bring inflation quantity control economic problem hidden, therefore, whether the reference of foreign experience or basis our country's actual situation, the currency amount control tools to manage the transition to the rates of guaranteeing our country's economy is the inevitable choice of steady rapid development. However, monetary amount gradually weakening and controlling effect of our country interest rate marketization stagnant condition resulting in controlling effect of monetary policy challenge this, our country, not only in the overall economic operation will get fluctuations. Monetary policy with our interest rates non-market characteristics are connected. Interest rates non-market makes interest rates as the condition of intermediate target for monetary policy is not fully mature, and of the migration is number tools in some extent hindered the process of liberalization of interest rate in China. Two factors is obviously mutual influence interdependent relationship. This not only give me interest rates further play conductive effect, also made the difficult for China's economic development road increased unstable factors. In addition, the constant change of the financial environment for China's interest rates conduction effect presents new challenges. Capital securitisation unceasingly thorough and financial derivatives unceasing innovation, make monetary supply and demand of increasingly complicated relationship, the capital market economic system running in one country's status among are becoming more and more important, not only lies in its efficient capital resources allocation for the global economic development ability to bring vigor, more importantly, its own unique speculative and high risk of global economic operation, increasing uncertainty in modern times were and capital market economic crisis instability and asset prices volatile are linked.
In view of the above understanding, based on interest rates on Chinese economic operation of the theme of the conductive effect, mainly includes two aspects: one is based on output and price effects of econometric analysis to economic entity recognition rate fluctuation; the effect 2 it is through the size of credit and asset price effects of econometric analysis on Banks, recognition rate volatility behavior and financial market effect. Considering the amount and interest rates in China closely, as well as interest rate policy implementation process is often accompanied by monetary quantity control, this paper studies the commencement of interest rates, will take effect of monetary
amount as the important reference variables.
The paper structure arrangement and the main innovation points below:
First, the estimation method is adopted in this paper roll-out of interest rate to describe the controlling effect, not only can embody the controlling effect when interest rates into change, also avoided a single sample to interval estimation weakening of statistical properties. Roll-out estimation results more persuasive and pertinence, already can reflect different economic condition controlling effect characteristics, the rate of interest could also reaction when controlling effect into sex change, the more important is, using method can estimate roll-out institutional change analysis, the leading avoid such date exist to analysis of a deviation from real economic significance.
Second, analysis of macroeconomic regulation interest rates when conduction mechanism, effect and by not only to its own longitudinal comparison, the more into the money supply control effect and conduction mechanism as reference, it can compare for monetary policy tool with the interest rate and currency supply in controlling effect and transmission mechanism is different, also can on the transverse longitudinal comparison through comprehensive controlling effect and that interest rate changes more accurate transmission mechanism of the conclusion, that conclusion is more objective and realistic significance.
Third, the conduction mechanism analysis of interest rates will capital markets as interest rates among into paper transmission channel, which makes the interest rates the comprehensive analysis of the conduction mechanism more comprehensive more proactive. China's relevant analysis capital markets as interest rates transmission channel related articles) is not uncommon, but will capital market interest rate transmission mechanism into the system of research paper does not see more, comprehensive comparison of the actual interest rate on capital market economy and the article had less influence. Through comparing the interest rate on the actual economic and capital market control effect is different, can analyze the interest rate "weak effect" for the reality of our country economy and whether asset prices appear the root of deviation. Facts show, produce the departure is the main reason of the money supply to the capital market influence degree of larger, social idle capital flows of capital market phenomenon is obvious, leading to the asset price fluctuations.
我国目前的利率制度对利率政策调控经济运行和货币供给能力的发挥上存在阻碍。现阶段我国货币政策调控手段中货币数量调控与价格工具并存的状态也给利率对宏观经济运行的判断带来麻烦。货币数量作为货币政策主要调控手段的弊端已经逐步突显,无论是其它国家还是我国自身,均受到货币数量调控带来的通胀隐患等经济问题的困扰,因此,无论是借鉴国外的实践经验还是依据我国的实际国情出发,货币数量调控向利率工具调控过渡是保障我国经济稳步快速发展的必然选择。然而,货币数量调控效应的逐渐弱化和我国利率市场化进程停滞不前的状况导致我国货币政策的调控效应面临巨大挑战,不仅于此,我国整体的经济运行都将因此受到波动。我国货币政策调控特点与我国利率非市场化是相互关联的。利率非市场化使得利率作为中介目标的条件不够成熟,而货币政策对数量工具的偏移则在某种程度上阻碍了我国利率市场化的进程。两个因素显然是相互影响相互制约的关系。这不仅给我国利率传导效应的进一步发挥制造了困难,也给我国经济发展道路增加了不稳定因素。另外,金融环境的不断变化对我国的利率传导效应提出新的挑战。资本证券化的不断深入和金融衍生工具的不断创新,使得货币的供给和需求关系愈发复杂,资本市场在一国经济体系运行当中的地位也日趋重要,不仅在于其高效的资金资源配置能力给全球经济发展带来的活力,更为重要的是,其自身特有的投机性和高风险性使全球经济运行的不确定性增加,近代的几次经济危机均与资本市场不稳定和资产价格波动剧烈有关联。
鉴于上述认识,本文以利率对中国经济运行的传导效应为主题,主要包括两个方面,一是通过对产出和物价影响的计量分析识别利率波动对实体经济的影响效应;二是通过对信贷规模和资产价格影响的计量分析,识别利率波动对银行行为和金融市场的影响效应。考虑到货币数量和利率的紧密联系,以及中国在利率政策实施过程中通常伴随货币数量调控,本文在展开利率效应研究时,会把货币数量作为重要的参考变量。
论文的结构安排和主要创新点如下:
(1)本文采用滚动式的估计方法对利率的调控效应进行刻画,不仅能够体现出利率调控效应的时进性变化,也避免了单一样本区间估计导致的统计性质的弱化。滚动式估计方法的结果更具有说服力和针对性,既能够体现不同经济状态下利率的调控效应特点,也能够反应出利率调控效应的时进性变化,更为重要的是,运用滚动式估计方法可以对制度变化的时点进行分析,避免这类时点的存在对分析现实经济意义产生的偏差。
(2)分析利率对宏观经济的调控效应和传导机制时,不仅采用对其自身的纵向比较,更引入货币供应量的调控效应和传导机制作为参考,既能够比较同为货币政策工具的利率与货币供应量在调控效应和传导机制上的不同,也能够通过综合的横向纵向比较得出利率调控效应和传导机制变化的更为精确的结论,使结论更具有客观性和现实意义。
(3)对利率的传导机制分析中将资本市场作为利率传导渠道纳入到论文当中,使得对利率传导机制的综合分析更全面更具有前瞻性。我国有关分析资本市场作为利率传导渠道的相关文章并不少见,但是将资本市场纳入到对利率传导机制的研究体系的文章并不多见,综合比较利率对实际经济和对资本市场影响的文章就更少。通过比较利率对实际经济和资本市场调控效应的不同,可以分析出利率的“弱效应”是否为我国实际经济与资产价格出现背离现象的根源。事实说明,产生这种背离的主要原因是货币供应量对资本市场的影响程度相对较大,社会中的闲置资金流向资本市场的现象明显,从而导致资产价格的波动。
Interest rates is one of the most important economic variables that is concerned. Its importance is, as the prices of using money, the economic impact of interest rates not only contains the influence of economic activity to microeconomic units but also contains both the money market and also the products market. The level of interest rates by not only money market but also product markets, the common function of more counterproductive and two market, so, interest rates in the economic system have both to regulate the economy function and reflect economic operation condition of signal functions in an economy system, the operation status of influence. Therefore, interest rates in the world monetary policy has an important position. Our country for a long time for intermediary goal in the money supply, as the annual interest rate marketization, 1996, China officially proposed by the monetary amount into measures to price controls the transition period, tool interest rate policy has become China's monetary policy is an important part of one and implementing measures. However, with the continuous development of the economy and global economic environment changes, market-oriented interest rate reform not only faced its own system, the more must consider how to adapt to changing economic environment, the 2007 global financial crisis erupted and economic recovery around China faces huge inflationary pressures are fluoroscopy gives, China's market-oriented interest rate reform efforts and progress requires both strengthen, in response to the increasingly complex economic environment.
China's current rates of interest rate policy regulation system of economic operation and currency supply exists on the ability to play obstacles. At present in China means of monetary policy monetary amount regulation and price the state also gave tool coexist interest rate to the macro-economy judgment cause trouble. Monetary quantity for monetary policy mainly controls malpractice already gradually highlight, whether other countries or China's currency, are subject to bring inflation quantity control economic problem hidden, therefore, whether the reference of foreign experience or basis our country's actual situation, the currency amount control tools to manage the transition to the rates of guaranteeing our country's economy is the inevitable choice of steady rapid development. However, monetary amount gradually weakening and controlling effect of our country interest rate marketization stagnant condition resulting in controlling effect of monetary policy challenge this, our country, not only in the overall economic operation will get fluctuations. Monetary policy with our interest rates non-market characteristics are connected. Interest rates non-market makes interest rates as the condition of intermediate target for monetary policy is not fully mature, and of the migration is number tools in some extent hindered the process of liberalization of interest rate in China. Two factors is obviously mutual influence interdependent relationship. This not only give me interest rates further play conductive effect, also made the difficult for China's economic development road increased unstable factors. In addition, the constant change of the financial environment for China's interest rates conduction effect presents new challenges. Capital securitisation unceasingly thorough and financial derivatives unceasing innovation, make monetary supply and demand of increasingly complicated relationship, the capital market economic system running in one country's status among are becoming more and more important, not only lies in its efficient capital resources allocation for the global economic development ability to bring vigor, more importantly, its own unique speculative and high risk of global economic operation, increasing uncertainty in modern times were and capital market economic crisis instability and asset prices volatile are linked.
In view of the above understanding, based on interest rates on Chinese economic operation of the theme of the conductive effect, mainly includes two aspects: one is based on output and price effects of econometric analysis to economic entity recognition rate fluctuation; the effect 2 it is through the size of credit and asset price effects of econometric analysis on Banks, recognition rate volatility behavior and financial market effect. Considering the amount and interest rates in China closely, as well as interest rate policy implementation process is often accompanied by monetary quantity control, this paper studies the commencement of interest rates, will take effect of monetary
amount as the important reference variables.
The paper structure arrangement and the main innovation points below:
First, the estimation method is adopted in this paper roll-out of interest rate to describe the controlling effect, not only can embody the controlling effect when interest rates into change, also avoided a single sample to interval estimation weakening of statistical properties. Roll-out estimation results more persuasive and pertinence, already can reflect different economic condition controlling effect characteristics, the rate of interest could also reaction when controlling effect into sex change, the more important is, using method can estimate roll-out institutional change analysis, the leading avoid such date exist to analysis of a deviation from real economic significance.
Second, analysis of macroeconomic regulation interest rates when conduction mechanism, effect and by not only to its own longitudinal comparison, the more into the money supply control effect and conduction mechanism as reference, it can compare for monetary policy tool with the interest rate and currency supply in controlling effect and transmission mechanism is different, also can on the transverse longitudinal comparison through comprehensive controlling effect and that interest rate changes more accurate transmission mechanism of the conclusion, that conclusion is more objective and realistic significance.
Third, the conduction mechanism analysis of interest rates will capital markets as interest rates among into paper transmission channel, which makes the interest rates the comprehensive analysis of the conduction mechanism more comprehensive more proactive. China's relevant analysis capital markets as interest rates transmission channel related articles) is not uncommon, but will capital market interest rate transmission mechanism into the system of research paper does not see more, comprehensive comparison of the actual interest rate on capital market economy and the article had less influence. Through comparing the interest rate on the actual economic and capital market control effect is different, can analyze the interest rate "weak effect" for the reality of our country economy and whether asset prices appear the root of deviation. Facts show, produce the departure is the main reason of the money supply to the capital market influence degree of larger, social idle capital flows of capital market phenomenon is obvious, leading to the asset price fluctuations.
引文
①这里所指的零生产弹性,本文的理解是,凯恩斯虽将货币视为资产,但生产弹性为零这一特质将货币与商品区分开来。
②参见凯恩斯《就业、货币和利息通论》(重译本)P236。
①原著(同上)P205页中对两种货币需求是以M_1和M_2表示,为避免与狭义和广义货币供应量混淆,本文更换为D_1和D_2。
①根据凯恩斯的流动性偏好说,取决于货币收入的需求是根据收入水平变动,通常情况下需求水平不会超过收入水平,因而LY∈[0,1],不会有货币需求对收入的敏感度无穷大的情况。
①这一结论主要来自奥肯定律和第三种菲利普斯曲线对二者联动关系的研究。
①具体走势详见第二章图2.7。
②数据来源同前。
①方便起见,差分后的产出增长率依然以I表示。
①工业增加值的增长率使用原数列进行检验,根据结果在模型估计时进行差分处理。
②r~1 (-1)表示1天期利率的滞后1期,下同。
①数据来源为《中国统计年鉴》相关各期。
①参见第三章表3.1。
①格林斯潘在1999年8月27日怀俄明Jackson Hole举行的货币政策会议上的讲话。
①关于存贷款利率对股价影响的研究已有一些,如巴曙松和严敏(1999),孟庆斌等(2010),杨杰(2010)等。
②参考第四章表4.1。
①此处产出的数据是经由第3章最佳线性无偏插值方法处理后的产出同比数据。
①依据绝对值取最大值,并在表内给出极值符号以方便进一步分析。
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②参见凯恩斯《就业、货币和利息通论》(重译本)P236。
①原著(同上)P205页中对两种货币需求是以M_1和M_2表示,为避免与狭义和广义货币供应量混淆,本文更换为D_1和D_2。
①根据凯恩斯的流动性偏好说,取决于货币收入的需求是根据收入水平变动,通常情况下需求水平不会超过收入水平,因而LY∈[0,1],不会有货币需求对收入的敏感度无穷大的情况。
①这一结论主要来自奥肯定律和第三种菲利普斯曲线对二者联动关系的研究。
①具体走势详见第二章图2.7。
②数据来源同前。
①方便起见,差分后的产出增长率依然以I表示。
①工业增加值的增长率使用原数列进行检验,根据结果在模型估计时进行差分处理。
②r~1 (-1)表示1天期利率的滞后1期,下同。
①数据来源为《中国统计年鉴》相关各期。
①参见第三章表3.1。
①格林斯潘在1999年8月27日怀俄明Jackson Hole举行的货币政策会议上的讲话。
①关于存贷款利率对股价影响的研究已有一些,如巴曙松和严敏(1999),孟庆斌等(2010),杨杰(2010)等。
②参考第四章表4.1。
①此处产出的数据是经由第3章最佳线性无偏插值方法处理后的产出同比数据。
①依据绝对值取最大值,并在表内给出极值符号以方便进一步分析。
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