金融危机视角下的货币政策决策研究
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摘要
全球金融危机对宏观经济的强烈冲击使作为金融核心的货币政策决策研究成为经济学术界关注的重点问题之一。发达国家的经验表明：虚拟经济在现代社会经济中的份量越来越大，其对社会经济发展的推动和破坏作用均是巨大的，在进行政策决策时必须予以充分关注和考虑。因此，深入总结和研究历次金融危机中各国货币政策的操作及其成效，优化我国应对金融危机的货币政策决策机制，成为我国货币政策理论研究的一项重要课题。
本文研究基于货币政策非中性的理论前提，综合运用宏观经济学、金融市场学、计量经济学、统计学等相关学科知识，从货币政策决策的概念出发，在回顾总结近百年来历次金融危机中各国货币政策决策经验的基础上，深入探讨货币政策决策的机制和依据，并且对货币政策决策的有效性进行实证检验。全文遵循“理论推演——实证分析——国际比较——对策建议”的研究范式，多角度、多层面、深入系统地剖析金融危机视角下的货币政策决策问题，并提出一整套切实可行的优化我国货币政策操作策略，提高我国货币政策决策有效性的创新策略。
概括起来，货币政策理论的主要争议在于其决策究竟是“相机抉择”还是“按规则行事”。在1977年以前，似乎是相机抉择优越于规则行事，但当动态非一致性概念引入到宏观经济学领域后，“按规则行事”第一次有了坚实的理论支撑。金融危机期间一国央行应采取怎样的货币政策以缓解危机、促进经济尽快复苏，学者们就危机期间实行紧缩性还是扩张性货币政策展开了激烈争论。2008年全球金融危机中，国际上又出现将包括非常规货币政策在内的量化宽松和信贷宽松货币政策纳入央行政策工具的创新举措，大大丰富了货币政策决策理论研究。
就货币政策决策的时机选择而言，文章运用实证检验的分析方法，旨在为货币政策决策的时间窗口判断提供可靠依据。在决策主体的高效决策及政策规则的恰当选择下，通过构建基于MS-VAR的金融风险预警模型，综合货币危机指数、银行危机指数和资产泡沫危机指数三个指标衡量我国金融体系的风险状况，预测货币政策执行的时间点，保障货币政策制定与执行的适时、适度。
在分析几次大规模经济危机中各国货币政策操作策略的基础上，文章重点研究了金融危机视角下我国货币政策的决策机制。通过分析货币政策决策主体的独立性特征及货币政策决策主体的行为特征，发现强化中央银行决策的独立性依然是现阶段我国央行的总体发展趋势。梳理货币政策的工具规则与目标规则，在金融危机背景下探索适合我国货币政策的决策规则，分析认为通货膨胀目标规则是我国货币政策规则未来的较好选择。
从有效性评价和检验来看，一方面，常规货币政策对物价稳定和经济增长都有一定的作用。金融危机爆发前后，货币政策效应都具有明显的非对称性，货币政策紧缩效应大于扩张效应。另一方面，非常规货币政策在金融危机背景下对稳定金融市场起到一定的作用。通过对美联储三大类创新性货币政策工具有效性的检验，发现定期拍卖便利（TAF）、主经纪商融资便利（PDCF）和资产支持商业票据货币市场共同基金流动便利（AMLF）等信贷类的货币政策工具有显著的有效性，而其他资产购买类的货币政策工具效果不佳。
比较分析在上世纪30年代美国经济“大萧条”、20世纪90年代日本金融危机、1997年亚洲金融危机以及2008年国际金融危机中代表性国家的货币政策决策，深刻总结经验与启示。在全球金融危机的视角下，论述提高我国货币政策决策有效性的一系列政策措施，包括：强化我国货币政策决策主体的独立性、实行弹性的通货膨胀目标制、提高货币政策透明度、增强非常规政策的有效性等，使我国货币政策决策的规则选择更加完善，充分发挥货币政策的承诺效应，以便中央银行的货币政策决策能够实现独立、高效。
本文研究兼具理论性和实用性，是理论指导实践的研究成果，其理论上的贡献是首次系统定义货币政策决策，厘清金融危机环境下货币政策决策的作用机理，构建系统的理论分析框架；实践中的贡献则是尝试建立有普遍适用意义的识别、化解和救助金融危机的货币政策决策一般模型和方法，并对我国的货币政策决策与金融危机进行仿真分析，为完善我国货币政策操作策略提供智力支持。
Monetary policy decision making, which lies in the core of finance, is becomingone of the key topics in the economic academia. This is largely as a result of thesignificant shocks to the national economies brought about by the global financialcrisis. Experiences from developed countries have testified the ever increasing rolethat the virtual economy is playing in modern economies, and that since virtualeconomy is a double edged sword in economic development, it must be taken into fullaccount in government decision making. Therefore, it is an important topic in thetheoretical studies of China’s monetary policy to study in-depth the monetary policyoperations and their effects of various countries around the world in previousfinancial crises and to optimize the monetary policy decision making mechanism ofChina to deal with financial crises.
Based on the theoretical assumption of non neutral monetary policy and startingfrom the concept of the monetary policy decision making, this study first gives anoverview of the experiences of the monetary policy decision making of countriesaround the world in financial crises over the past100years. It then, based on theseexperiences, studies in-depth the monetary policy decision making mechanism andfoundations, and then empirically tests the validity of monetary policy decisionmaking. This study integrates the knowledge of various subjects includingmacroeconomics, financial market theory, econometrics and stati stics, etc. Overall,the dissertation follows the outline of “theoretical foundation—empiricalstudy—international comparison-policy recommendation”. It not only studies in depthand systematically the problem of monetary policy decision making in the pers pectiveof financial crisis, but also tries to put forward a whole set of useful toolkit which canoptimize China’s monetary policy operations and innovate methods to improve theeffectiveness of China’s monetary policy decision making.
In summary, the major disputes in monetary policy theory lies in whether or notdecision making should be “discretionary” or “rule based”. Before1977, it seems thatdiscretionary decision making is superior to rule based decision making. However,after the concept of “dynamic inconsistency” was introduced to macroeconomicstudies,“rule based decision making” was footing on solid theoretical foundation forthe first time. There were heated discussion in the academia regarding whether central banks should implement contractionary or expansionary monetary policy to alleviatethe negative impact of financial crises and spur economic revival. In the2008globalfinancial crisis, more innovative measures appeared including quantitative easing, nontraditional monetary policy being part of it, as well as the addition of credit easingmonetary policy to the policy toolkit of central banks, which greatly enriched thetheoretical study of monetary policy decision making.
So far as the timing of monetary policy decision making is conce rned, this studyintends to provide reliable foundation on timing of monetary policy decision makingusing the analytical method of empirical testing. Specifically, by constructing afinancial risk early warning model based on MS-VAR, the study measures the overallrisk of China’s financial system by integrating three indices: ComprehensiveMonetary Crisis Index, Banking Crisis Index and Asset Bubble Crisis Index. It alsomakes predictions on the timing point of monetary policy implementation to ensurethe timeliness and appropriateness of monetary policy making and implementation.
Based on the empirical studies of monetary policy operation tactics of countriesin a bunch of severe economic crises happened in the past, this dissertation focuses onthe decision making mechanism of China’s monetary policy in the perspective ofeconomic crisis. By analyzing the independence characteristics and behavioralcharacteristics of the decision making body of monetary policies, the study discoveredthat enhancing the independence of central bank decision making is currently still theoverall trend of development of China’s central bank. Through the study of the toolrule and objective rule of monetary policy and exploration of decision making rulesconducive to China’s monetary policy in the perspective of financial crisis, we believethat the objective rule of inflation is a better choice for China’s future monetarypolicy rule.
Regarding empirical validity tests, on one hand, the conventional monetarypolicy contributes to price stability and economic growth. Around the time financialcrises break out, the effect of monetary policies displays obvious sign of asymmetry,as contractionary effect of the monetary policy far outweigh its expansionary effect.On the other hand, the unconventional monetary policy helps to stabilize the financialmarket in financial crises. Throughout the validity tests of three kinds of innovativemonetary policy toolkits created by the Fed, the study found out that credit typemonetary policy tools like Term Auction Facility (TAF), Primary Dealer CreditFacility (PDCF) and Asset Backed Commercial Paper Money Market Mutual FundLending Facility (AMLF) display significant level of validity, while other asset purchase type of monetary policy tools do not.
This dissertation also features a comparative study of monetary policy decisionmaking of representative countries in the Great Depression in the1930s, Japanesefinancial crisis in the1990s,1997Asian financial crisis and2008global financialcrisis respectively, and draw lessons from it. Also, in the wake of the global financialcrisis, this study proposes a series of policy recommendations on improving theeffectiveness of China’s monetary policy decision making, which include: enhance theindependence of China’s monetary policy decision making body, implement flexibleobjective rule of inflation, increase the transparency of the monetary policy, as well asenhance the effectiveness of the unconventional policy, etc. All these policyrecommendations are aimed at ameliorating the rule selection of China’s monetarypolicy decision making fully exerting the “Commitment Effect” of the monetarypolicy to render more independent and effective monetary policy decision making ofChina’s central bank.
This study honors both theoretical and practical values. The theoreticalcontribution of this study is that it systematically defined the concept of monetarypolicy decision making for the first time, shed new light on the mechanics ofmonetary policy decision making in financial crises and established a systematictheoretical analytical framework. The practical contribution of this study is that itmade the attempt to establish a set of general models and methods of monetary policydecision making to help identify, resolve and rescue the financial crisis, and, bymeans of the simulation analysis of China’s monetary policy decision making andfinancial crisis, provide intellectual support to ameliorate the tactics of China’smonetary policy operations.
本文研究基于货币政策非中性的理论前提，综合运用宏观经济学、金融市场学、计量经济学、统计学等相关学科知识，从货币政策决策的概念出发，在回顾总结近百年来历次金融危机中各国货币政策决策经验的基础上，深入探讨货币政策决策的机制和依据，并且对货币政策决策的有效性进行实证检验。全文遵循“理论推演——实证分析——国际比较——对策建议”的研究范式，多角度、多层面、深入系统地剖析金融危机视角下的货币政策决策问题，并提出一整套切实可行的优化我国货币政策操作策略，提高我国货币政策决策有效性的创新策略。
概括起来，货币政策理论的主要争议在于其决策究竟是“相机抉择”还是“按规则行事”。在1977年以前，似乎是相机抉择优越于规则行事，但当动态非一致性概念引入到宏观经济学领域后，“按规则行事”第一次有了坚实的理论支撑。金融危机期间一国央行应采取怎样的货币政策以缓解危机、促进经济尽快复苏，学者们就危机期间实行紧缩性还是扩张性货币政策展开了激烈争论。2008年全球金融危机中，国际上又出现将包括非常规货币政策在内的量化宽松和信贷宽松货币政策纳入央行政策工具的创新举措，大大丰富了货币政策决策理论研究。
就货币政策决策的时机选择而言，文章运用实证检验的分析方法，旨在为货币政策决策的时间窗口判断提供可靠依据。在决策主体的高效决策及政策规则的恰当选择下，通过构建基于MS-VAR的金融风险预警模型，综合货币危机指数、银行危机指数和资产泡沫危机指数三个指标衡量我国金融体系的风险状况，预测货币政策执行的时间点，保障货币政策制定与执行的适时、适度。
在分析几次大规模经济危机中各国货币政策操作策略的基础上，文章重点研究了金融危机视角下我国货币政策的决策机制。通过分析货币政策决策主体的独立性特征及货币政策决策主体的行为特征，发现强化中央银行决策的独立性依然是现阶段我国央行的总体发展趋势。梳理货币政策的工具规则与目标规则，在金融危机背景下探索适合我国货币政策的决策规则，分析认为通货膨胀目标规则是我国货币政策规则未来的较好选择。
从有效性评价和检验来看，一方面，常规货币政策对物价稳定和经济增长都有一定的作用。金融危机爆发前后，货币政策效应都具有明显的非对称性，货币政策紧缩效应大于扩张效应。另一方面，非常规货币政策在金融危机背景下对稳定金融市场起到一定的作用。通过对美联储三大类创新性货币政策工具有效性的检验，发现定期拍卖便利（TAF）、主经纪商融资便利（PDCF）和资产支持商业票据货币市场共同基金流动便利（AMLF）等信贷类的货币政策工具有显著的有效性，而其他资产购买类的货币政策工具效果不佳。
比较分析在上世纪30年代美国经济“大萧条”、20世纪90年代日本金融危机、1997年亚洲金融危机以及2008年国际金融危机中代表性国家的货币政策决策，深刻总结经验与启示。在全球金融危机的视角下，论述提高我国货币政策决策有效性的一系列政策措施，包括：强化我国货币政策决策主体的独立性、实行弹性的通货膨胀目标制、提高货币政策透明度、增强非常规政策的有效性等，使我国货币政策决策的规则选择更加完善，充分发挥货币政策的承诺效应，以便中央银行的货币政策决策能够实现独立、高效。
本文研究兼具理论性和实用性，是理论指导实践的研究成果，其理论上的贡献是首次系统定义货币政策决策，厘清金融危机环境下货币政策决策的作用机理，构建系统的理论分析框架；实践中的贡献则是尝试建立有普遍适用意义的识别、化解和救助金融危机的货币政策决策一般模型和方法，并对我国的货币政策决策与金融危机进行仿真分析，为完善我国货币政策操作策略提供智力支持。
Monetary policy decision making, which lies in the core of finance, is becomingone of the key topics in the economic academia. This is largely as a result of thesignificant shocks to the national economies brought about by the global financialcrisis. Experiences from developed countries have testified the ever increasing rolethat the virtual economy is playing in modern economies, and that since virtualeconomy is a double edged sword in economic development, it must be taken into fullaccount in government decision making. Therefore, it is an important topic in thetheoretical studies of China’s monetary policy to study in-depth the monetary policyoperations and their effects of various countries around the world in previousfinancial crises and to optimize the monetary policy decision making mechanism ofChina to deal with financial crises.
Based on the theoretical assumption of non neutral monetary policy and startingfrom the concept of the monetary policy decision making, this study first gives anoverview of the experiences of the monetary policy decision making of countriesaround the world in financial crises over the past100years. It then, based on theseexperiences, studies in-depth the monetary policy decision making mechanism andfoundations, and then empirically tests the validity of monetary policy decisionmaking. This study integrates the knowledge of various subjects includingmacroeconomics, financial market theory, econometrics and stati stics, etc. Overall,the dissertation follows the outline of “theoretical foundation—empiricalstudy—international comparison-policy recommendation”. It not only studies in depthand systematically the problem of monetary policy decision making in the pers pectiveof financial crisis, but also tries to put forward a whole set of useful toolkit which canoptimize China’s monetary policy operations and innovate methods to improve theeffectiveness of China’s monetary policy decision making.
In summary, the major disputes in monetary policy theory lies in whether or notdecision making should be “discretionary” or “rule based”. Before1977, it seems thatdiscretionary decision making is superior to rule based decision making. However,after the concept of “dynamic inconsistency” was introduced to macroeconomicstudies,“rule based decision making” was footing on solid theoretical foundation forthe first time. There were heated discussion in the academia regarding whether central banks should implement contractionary or expansionary monetary policy to alleviatethe negative impact of financial crises and spur economic revival. In the2008globalfinancial crisis, more innovative measures appeared including quantitative easing, nontraditional monetary policy being part of it, as well as the addition of credit easingmonetary policy to the policy toolkit of central banks, which greatly enriched thetheoretical study of monetary policy decision making.
So far as the timing of monetary policy decision making is conce rned, this studyintends to provide reliable foundation on timing of monetary policy decision makingusing the analytical method of empirical testing. Specifically, by constructing afinancial risk early warning model based on MS-VAR, the study measures the overallrisk of China’s financial system by integrating three indices: ComprehensiveMonetary Crisis Index, Banking Crisis Index and Asset Bubble Crisis Index. It alsomakes predictions on the timing point of monetary policy implementation to ensurethe timeliness and appropriateness of monetary policy making and implementation.
Based on the empirical studies of monetary policy operation tactics of countriesin a bunch of severe economic crises happened in the past, this dissertation focuses onthe decision making mechanism of China’s monetary policy in the perspective ofeconomic crisis. By analyzing the independence characteristics and behavioralcharacteristics of the decision making body of monetary policies, the study discoveredthat enhancing the independence of central bank decision making is currently still theoverall trend of development of China’s central bank. Through the study of the toolrule and objective rule of monetary policy and exploration of decision making rulesconducive to China’s monetary policy in the perspective of financial crisis, we believethat the objective rule of inflation is a better choice for China’s future monetarypolicy rule.
Regarding empirical validity tests, on one hand, the conventional monetarypolicy contributes to price stability and economic growth. Around the time financialcrises break out, the effect of monetary policies displays obvious sign of asymmetry,as contractionary effect of the monetary policy far outweigh its expansionary effect.On the other hand, the unconventional monetary policy helps to stabilize the financialmarket in financial crises. Throughout the validity tests of three kinds of innovativemonetary policy toolkits created by the Fed, the study found out that credit typemonetary policy tools like Term Auction Facility (TAF), Primary Dealer CreditFacility (PDCF) and Asset Backed Commercial Paper Money Market Mutual FundLending Facility (AMLF) display significant level of validity, while other asset purchase type of monetary policy tools do not.
This dissertation also features a comparative study of monetary policy decisionmaking of representative countries in the Great Depression in the1930s, Japanesefinancial crisis in the1990s,1997Asian financial crisis and2008global financialcrisis respectively, and draw lessons from it. Also, in the wake of the global financialcrisis, this study proposes a series of policy recommendations on improving theeffectiveness of China’s monetary policy decision making, which include: enhance theindependence of China’s monetary policy decision making body, implement flexibleobjective rule of inflation, increase the transparency of the monetary policy, as well asenhance the effectiveness of the unconventional policy, etc. All these policyrecommendations are aimed at ameliorating the rule selection of China’s monetarypolicy decision making fully exerting the “Commitment Effect” of the monetarypolicy to render more independent and effective monetary policy decision making ofChina’s central bank.
This study honors both theoretical and practical values. The theoreticalcontribution of this study is that it systematically defined the concept of monetarypolicy decision making for the first time, shed new light on the mechanics ofmonetary policy decision making in financial crises and established a systematictheoretical analytical framework. The practical contribution of this study is that itmade the attempt to establish a set of general models and methods of monetary policydecision making to help identify, resolve and rescue the financial crisis, and, bymeans of the simulation analysis of China’s monetary policy decision making andfinancial crisis, provide intellectual support to ameliorate the tactics of China’smonetary policy operations.
引文
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