我国货币政策传导的区域差异
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摘要
随着我国社会主义市场经济体制改革的推进,货币政策在宏观调控中的作用日益突出,但是当我们具体考察我国货币政策的执行效果时,我们发现货币政策效应的区域效应非常明显。所谓的区域效应是指不同区域面对统一的货币政策调控时,由于货币政策传导效果的不同,各地产出和价格水平在对货币政策变动的反应程度和时滞上存在差异。这种差异的存在弱化了货币政策的执行效果,加剧了各区域经济发展的不平衡,已经成为我国货币政策有效执行的重要障碍。如何解决这种货币政策的区域效应是货币政策决策当局和理论界所共同关注的问题,这也成为本文研究的出发点。
本文研究的核心问题是我国货币政策的区域效应以及形成这一效应的作用机制。主要从以下几个方面进行了研究:
首先,笔者对货币政策传导机制以及区域效应国际上已有的研究成果有选择性地进行了系统的梳理和回顾,目的在于把握货币政策的主要传导途径及其隐含的区域效应,理解货币政策传导机制理论的发展轨迹,认识区域居民的消费行为、企业和行业的投资行为以及区域金融发展水平和金融结构如何影响货币政策传导的效果问题。同时自欧盟成立以来,出现了大量实证研究和文献资料对欧元区的货币政策传导机制进行分析,由于这些文献很多,故将他们单列一节。同时,笔者还对我国货币政策区域效应的研究进行了综述,从综述中我们可以发现,国内对影响货币政策传导效果的一些微观基础的研究极少,仅有的一些研究也多是宏观层面上的定性描述,缺少坚实的微观基础。这也说明本文选题的创新性和必要性。
随后探讨了我国的货币政策的传导机制是否具有区域的非对称性,即货币政策是否具有区域效应。通过VAR检验发现,我国确实货币政策确实存在区域效应之后,初步分析了一些可能造成货币政策区域效应的因素,主要包括:1、企业投资行为、居民消费模式等实体经济因素;2、金融机构、资本市场、货币市场等虚拟经济因素;3、对实体经济因素和虚拟经济因素同时产生作用的对外开放因素。那么究竟是上文提到的哪个(些)因素导致了区域效应呢?通过相关性分析发现:区域产业结构的差异是造成货币政策区域效应的一个主要因素——绝大多数省份的第二产业、工业和建筑业的产出对货币政策的反应比较敏感;第一产业、第三产业、交通运输邮电通讯业和批发零售餐饮的产出对货币政策的反应很小,有些行业基本上没有反应。
由于工业的产业效应非常明显,而工业又包含许多的次级行业,为了更精确地把握货币政策的区域效应,我们进一步从价格和产出两个角度研究了工业中30个次级行业对货币政策的反应。结果发现:化学纤维制造业、黑色金属冶炼及压延加工等行业的产出效应和价格效应都较小,而电气机械及器材制造业、通信设备、计算机及其他电子设备制造业、纺织业等行业的产出效应和价格效应相对较大。
之后,笔者通过方差分解的方法发现,产业结构的区域差异是导致货币政策区域效应的最主要因素,同时其它一些因素也会对货币政策的传导带来非对称性效应。这些因素可能包括消费模式和金融发展水平等。
随后的研究发现,消费模式的不同确实会导致货币政策的区域差异。从消费行为对货币政策区域效应的反应程度来看,反应较大的区域有广东、江苏、河北、湖南、江西等。与此相反,北京、广西、福建、甘肃和新疆等区域的消费弹性相对较低。从消费对货币政策反应的速度上看,广东、江苏、上海和浙江等省市的峰值较早。内蒙古、宁夏、青海等省市的消费对利率的变动响应较慢。
什么原因导致了各地消费对统一的货币政策做出不同的反应呢?检验发现,股票、基金和债券交易占比、城镇居民人均收入显著影响货币政策对各地消费行为作用的时间长度。而股票、基金和债券交易占比、城镇居民人均收入和各地农村居民人均收入显著影响货币政策对各地消费行为作用的程度。
由于货币政策最终传导到行业、企业和居民总是要通过金融市场这一中介,所以金融的发展水平和结构上的差异很可能导致货币政策传导效果的差异。通过实证我们发现:从短期看,金融发展和经济增长之间并不存在格兰杰因果关系。从长期来看,经济增长格兰杰引起金融的发展,但是金融的发展是否格兰杰引起经济增长则是不明确的。
为了进一步验证我国金融发展是否促进经济增长,我们采用了我国22个省市的面板数据,通过GMM法发现:当选取存款和证券市场规模代表金融发展变量时,金融发展引起经济增长;但是当选取银行贷款规模作为金融发展的代理变量时,金融发展对各省的经济增长并不能起到积极的作用。
With the development of the socialist market economy, monetary policy has been playing a more and more outstanding role in macro-regulation. However, when we think of the actual effects which come forth in the process of monetary policy's implementation, we notice that the regional different effect of the policy, which means the diversities of feedbacks (including the outputs and prices) and time lag when different areas are faced with the same monetary policy, is quite prominent in our country. The existing diversities have weakened the implementation effect of monetary policy, and sometimes they actually distort the eventual goal of balanced development, which becomes a crucial obstacle in the process of efficient implementation. How to realize and solve the problems about regional different effect of monetary policy has become not only a common issue to which both policy-makers and scholars pay their attention, but also a basis on which to write this thesis.
The core of this thesis is the regional different effect of China's monetary policy and it's forming mechanism. The analyses are as follows.
First, the author summarizes the literatures of related researches(does a literature review) on monetary policy, including the research angles and existing problems to analyze/understand consumer pattern, investment action and how the development of financial level and structure have influenced the conductive effect of monetary policy. After summarizing the overseas researches, the author sums up a few related researches in China and finds that the past researches on monetary transmission mechanism have focused on the response of aggregate variables to monetary shocks and on measuring the efficiency of various channels of transmission mechanism. But there are only a few papers studying the impact of monetary policy shocks on regional and sectoral output.
In order to analysis whether the regional different effect of China's monetary policy actually exists, a few of factors are provided which may bring in the regional different effect in brief, including consumer pattern, investment action, the development of financial level and structure and their openness, and existence of the effect is confirmed through a VAR model.
Which of the factors mentioned above have led to the regional different effect? It is discovered that industrial composition plays the most important role in explaining the phenomenon via empirical study, the second industry and the real estate are more sensitive to the change of monetary policy, while the first industry, tertiary industry and the wholesale and retail are torpid.
Since the manufacturing dominates the industry, its sub-industry is put under in-depth study in order to get a comprehensive understanding and find interesting results.
Although industrial composition plays the most important role in explaining regional effect, this factor can't account for all. Other factors are further investigated, and it is found that the consumer pattern and the local development of financial level and structure also contribute to the regional effect.
Last, conclusions are drawn and some overseas experiences on how to reduce regional effects of the uniform monetary policy are given.
本文研究的核心问题是我国货币政策的区域效应以及形成这一效应的作用机制。主要从以下几个方面进行了研究:
首先,笔者对货币政策传导机制以及区域效应国际上已有的研究成果有选择性地进行了系统的梳理和回顾,目的在于把握货币政策的主要传导途径及其隐含的区域效应,理解货币政策传导机制理论的发展轨迹,认识区域居民的消费行为、企业和行业的投资行为以及区域金融发展水平和金融结构如何影响货币政策传导的效果问题。同时自欧盟成立以来,出现了大量实证研究和文献资料对欧元区的货币政策传导机制进行分析,由于这些文献很多,故将他们单列一节。同时,笔者还对我国货币政策区域效应的研究进行了综述,从综述中我们可以发现,国内对影响货币政策传导效果的一些微观基础的研究极少,仅有的一些研究也多是宏观层面上的定性描述,缺少坚实的微观基础。这也说明本文选题的创新性和必要性。
随后探讨了我国的货币政策的传导机制是否具有区域的非对称性,即货币政策是否具有区域效应。通过VAR检验发现,我国确实货币政策确实存在区域效应之后,初步分析了一些可能造成货币政策区域效应的因素,主要包括:1、企业投资行为、居民消费模式等实体经济因素;2、金融机构、资本市场、货币市场等虚拟经济因素;3、对实体经济因素和虚拟经济因素同时产生作用的对外开放因素。那么究竟是上文提到的哪个(些)因素导致了区域效应呢?通过相关性分析发现:区域产业结构的差异是造成货币政策区域效应的一个主要因素——绝大多数省份的第二产业、工业和建筑业的产出对货币政策的反应比较敏感;第一产业、第三产业、交通运输邮电通讯业和批发零售餐饮的产出对货币政策的反应很小,有些行业基本上没有反应。
由于工业的产业效应非常明显,而工业又包含许多的次级行业,为了更精确地把握货币政策的区域效应,我们进一步从价格和产出两个角度研究了工业中30个次级行业对货币政策的反应。结果发现:化学纤维制造业、黑色金属冶炼及压延加工等行业的产出效应和价格效应都较小,而电气机械及器材制造业、通信设备、计算机及其他电子设备制造业、纺织业等行业的产出效应和价格效应相对较大。
之后,笔者通过方差分解的方法发现,产业结构的区域差异是导致货币政策区域效应的最主要因素,同时其它一些因素也会对货币政策的传导带来非对称性效应。这些因素可能包括消费模式和金融发展水平等。
随后的研究发现,消费模式的不同确实会导致货币政策的区域差异。从消费行为对货币政策区域效应的反应程度来看,反应较大的区域有广东、江苏、河北、湖南、江西等。与此相反,北京、广西、福建、甘肃和新疆等区域的消费弹性相对较低。从消费对货币政策反应的速度上看,广东、江苏、上海和浙江等省市的峰值较早。内蒙古、宁夏、青海等省市的消费对利率的变动响应较慢。
什么原因导致了各地消费对统一的货币政策做出不同的反应呢?检验发现,股票、基金和债券交易占比、城镇居民人均收入显著影响货币政策对各地消费行为作用的时间长度。而股票、基金和债券交易占比、城镇居民人均收入和各地农村居民人均收入显著影响货币政策对各地消费行为作用的程度。
由于货币政策最终传导到行业、企业和居民总是要通过金融市场这一中介,所以金融的发展水平和结构上的差异很可能导致货币政策传导效果的差异。通过实证我们发现:从短期看,金融发展和经济增长之间并不存在格兰杰因果关系。从长期来看,经济增长格兰杰引起金融的发展,但是金融的发展是否格兰杰引起经济增长则是不明确的。
为了进一步验证我国金融发展是否促进经济增长,我们采用了我国22个省市的面板数据,通过GMM法发现:当选取存款和证券市场规模代表金融发展变量时,金融发展引起经济增长;但是当选取银行贷款规模作为金融发展的代理变量时,金融发展对各省的经济增长并不能起到积极的作用。
With the development of the socialist market economy, monetary policy has been playing a more and more outstanding role in macro-regulation. However, when we think of the actual effects which come forth in the process of monetary policy's implementation, we notice that the regional different effect of the policy, which means the diversities of feedbacks (including the outputs and prices) and time lag when different areas are faced with the same monetary policy, is quite prominent in our country. The existing diversities have weakened the implementation effect of monetary policy, and sometimes they actually distort the eventual goal of balanced development, which becomes a crucial obstacle in the process of efficient implementation. How to realize and solve the problems about regional different effect of monetary policy has become not only a common issue to which both policy-makers and scholars pay their attention, but also a basis on which to write this thesis.
The core of this thesis is the regional different effect of China's monetary policy and it's forming mechanism. The analyses are as follows.
First, the author summarizes the literatures of related researches(does a literature review) on monetary policy, including the research angles and existing problems to analyze/understand consumer pattern, investment action and how the development of financial level and structure have influenced the conductive effect of monetary policy. After summarizing the overseas researches, the author sums up a few related researches in China and finds that the past researches on monetary transmission mechanism have focused on the response of aggregate variables to monetary shocks and on measuring the efficiency of various channels of transmission mechanism. But there are only a few papers studying the impact of monetary policy shocks on regional and sectoral output.
In order to analysis whether the regional different effect of China's monetary policy actually exists, a few of factors are provided which may bring in the regional different effect in brief, including consumer pattern, investment action, the development of financial level and structure and their openness, and existence of the effect is confirmed through a VAR model.
Which of the factors mentioned above have led to the regional different effect? It is discovered that industrial composition plays the most important role in explaining the phenomenon via empirical study, the second industry and the real estate are more sensitive to the change of monetary policy, while the first industry, tertiary industry and the wholesale and retail are torpid.
Since the manufacturing dominates the industry, its sub-industry is put under in-depth study in order to get a comprehensive understanding and find interesting results.
Although industrial composition plays the most important role in explaining regional effect, this factor can't account for all. Other factors are further investigated, and it is found that the consumer pattern and the local development of financial level and structure also contribute to the regional effect.
Last, conclusions are drawn and some overseas experiences on how to reduce regional effects of the uniform monetary policy are given.
引文
1 裴平,熊鹏,“我国货币政策传导过程中的 ‘渗漏'效应”[J]《经济研究》,2003年第8期。
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1 本节未标明出处的数据均根据相关年份的《中国统计数据》计算而得
2 根据《中国统计年鉴2005》计算而得
3 由于数据的可得性,我们排除了西藏、重庆和港、奥、台等区域
4 雷蒙德.W.戈德斯密斯:《金融结构与金融发展》,上海三联书店,上海人民出版社,1994年版
1 根据各年《中国统计年鉴》计算而得。
2 信息化排序来自王梅英,王玮“信息化对区域经济影响的数理分析”《数理统计与管理》2004年第3期。
3 教育水平的衡量,我们采用赵奇伟等人的方法,以受教育年限的加权平均来衡量,具体的计算方法是把小学、初中、高中和大专及以上的受教育年限分别记为6年、9年、12年和16年,然后按照计算公式:小学的比重×6+初中的比重×9+高中比重×12+大专及以上比重×16计算而得,所用的数据来自于1997年到2005年《中国劳动统计年鉴》,然后将这9年的数据进行平均,最后根据结果进行排序。
4 根据Wind数据计算而得。
1 Laporta,R.,Florencio,Shleifer,A.,Vishny,R.W.,1997."Legal determinants of external finance".Journal of Finance 52,1131- 1150.
2 表中第1栏代表各地GDP占全国GDP的比重;第2栏代表各省市存款占该省(市)GDP比重;第3栏代表各省市存款占全国总存款的比重;第4栏代表各省市贷款占该省(市)GDP 比重;第5栏代表各省市存款占全国存款的比重;第6栏代表各省市证券交易总量占该省(市)GDP比重:第7栏代表各省市证券交易总量占全国证券交易总量的比重;第8栏代表各省市股票交易量占当地GDP的比重:第9栏代表各省市股票交易量占全国股票交易总量的比重;第10栏代表各省市基金交易量占当地GDP的比重;第11栏代表各省市基金交易量占全国基金交易总量的比重:第12栏代表各省市债券交易量占当地GDP的比重;第13栏代表各省市债券交易量占全国债券交易总量的比重。
3 根据WIND资讯的月度数据计算而得
4 根据Wind数据计算而得
5 由于西藏和重庆两个省市可获得的时间序列数据太少,故本章排除对这两个区域的研究
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1 Bernanke,B.,and M.Gertler(1995),"Inside the black box:the credit channel of monetary policy transmission",Journal of Economics 9(4),27-48。
2 Kashyap,A.,R.Rajah and J.Stein."Banks as Liquidity Providers:An Explanation for the Co-existence of Lending and Deposit-taking"[R].NBER Working Paper,1999,No.6962。
3 Ramaswamy,R.and T.Slok(1998),"The real effects of monetary policy in the European Union:What are the differences?" IMF Staff Papers,45,pp.374-96.
4 Berger,A.N.,and G.F.Udell "Did Risk-based Eapital Allocate Bank Credit and Cause a 'Credit Crunch' in the United States?"[J].Journal of Money,Credit and Banking,1994,26(3):585-628。
5 Ehrmann M.."Will EMU generate asymmetry? Comparing monetary policy transmission across European countries"[R].1998,mimeo。
6 Cecchetti,S.G.Legal Structure,"Financial structure,and the monetary policy transmission mechanism"[J].Federal Reserve Bank of New York,Economic Policy Review,1999,5(2):9-28。
7 王振山、王志强,我国货币政策传导途径的实证研究[J].《财经问题研究》,2000年第12期。
8 李斌,“中国货币政策有效性”,[J]《金融研究》,2001年第7期。
9 周英章、蒋振声,“货币渠道、信用渠道与货币政策有效性--中国1993-2001年的实证分析和政策含义”[J].《金融研究》,2002年第9期。
10 焦谨璞、孙天琦、刘向耕,“货币政策执行效果的区域差异分析”,[J]《金融研究》,2006年第3期。
11 周逢民,“论货币政策的结构调整职能”[J].《金融研究》,2004年第7期。
12 戴金平、金永军、陈柳钦,“货币政策的产业效应分析--基于中国货币政策的实证研究”[J].《上海财经大学学报》,2005年第4期。
13 谈儒勇,“中国金融发展和经济增长关系的实证研究”[J]《经济研究》 1999年第10期。
14 曹啸、吴军,《我国金融发展和经济增长关系的格兰杰检验和特征分析》[J]《财贸经济》2002年第5期。
15 周立、王子名,“中国各区域金融发展与经济增长实证分析:1978-2002”[J]《金融研究》2002年第7期。
16 李广众、陈平,“金融中介发展和经济增长:多变量VAR系统研究”[J]《管理世界》,2002年第3期。
17 樊明太,“金融结构及其对货币传导机制的影响”[J].《经济研究》,2004年第7期。
18 王志强、孙刚,“中国金融发展规模、结构、效率与经济增长关系的经验分析”[J]《管理世界》2003年第6期。
1 本节未标明出处的数据均根据相关年份的《中国统计数据》计算而得
2 根据《中国统计年鉴2005》计算而得
3 由于数据的可得性,我们排除了西藏、重庆和港、奥、台等区域
4 雷蒙德.W.戈德斯密斯:《金融结构与金融发展》,上海三联书店,上海人民出版社,1994年版
1 根据各年《中国统计年鉴》计算而得。
2 信息化排序来自王梅英,王玮“信息化对区域经济影响的数理分析”《数理统计与管理》2004年第3期。
3 教育水平的衡量,我们采用赵奇伟等人的方法,以受教育年限的加权平均来衡量,具体的计算方法是把小学、初中、高中和大专及以上的受教育年限分别记为6年、9年、12年和16年,然后按照计算公式:小学的比重×6+初中的比重×9+高中比重×12+大专及以上比重×16计算而得,所用的数据来自于1997年到2005年《中国劳动统计年鉴》,然后将这9年的数据进行平均,最后根据结果进行排序。
4 根据Wind数据计算而得。
1 Laporta,R.,Florencio,Shleifer,A.,Vishny,R.W.,1997."Legal determinants of external finance".Journal of Finance 52,1131- 1150.
2 表中第1栏代表各地GDP占全国GDP的比重;第2栏代表各省市存款占该省(市)GDP比重;第3栏代表各省市存款占全国总存款的比重;第4栏代表各省市贷款占该省(市)GDP 比重;第5栏代表各省市存款占全国存款的比重;第6栏代表各省市证券交易总量占该省(市)GDP比重:第7栏代表各省市证券交易总量占全国证券交易总量的比重;第8栏代表各省市股票交易量占当地GDP的比重:第9栏代表各省市股票交易量占全国股票交易总量的比重;第10栏代表各省市基金交易量占当地GDP的比重;第11栏代表各省市基金交易量占全国基金交易总量的比重:第12栏代表各省市债券交易量占当地GDP的比重;第13栏代表各省市债券交易量占全国债券交易总量的比重。
3 根据WIND资讯的月度数据计算而得
4 根据Wind数据计算而得
5 由于西藏和重庆两个省市可获得的时间序列数据太少,故本章排除对这两个区域的研究
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