我国货币政策效果非对称性研究
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摘要
货币政策效果非对称性研究是近年来货币经济学乃至宏观经济学的一个重要方面。货币政策效果非对称性的研究不仅可以指导制定切实可行的货币政策,而且可以提高货币政策的可信度和有效性,同时为货币政策的运行机制提供了一个可以观察的基本框架,使人们能够衡量货币政策的实际效果及其原因。因此,正确认识货币政策效果的非对称性是重要的和有意义的。
20世纪90年代以来,随着银行体制的改革,货币政策作为一种重要的宏观经济调控手段逐渐开始在我国发挥作用。但是中央银行缺乏独立性和自主性,其货币政策目标不管从最终目标还是从中介目标来看都存在多元性,在最终目标上,有稳定物价和发展经济,在中介目标上,有货币供应量目标和稳定汇率。除此之外,经济转轨时期商业银行、企业、居民因为不对称信息和对未来不确定性的担忧,经济紧缩时期其行为相对经济过热时期更为谨慎,从而造成货币政策效果的非对称性。并且,我国的货币政策一直有相机决策的特点,同时货币政策操作存在滞后性,从而增加了经济的不稳定性和对货币政策有效性的质疑。因此,有学者提出货币政策在复苏经济时无效,这其实没有认识到货币政策的真正作用和内涵。希望货币政策能解决所有问题,有点不现实,有时候用以指导经济实践可能会适得其反。有关货币政策效果的非对称性研究处于初步阶段,目前并未有系统性的论著对这一问题进行论述和分析,这一研究是这一方面的尝试。
本研究从货币政策的传导机制入手,基于IS-LM框架分析了传导机制的各个阶段的经济主体行为,并认为由于经济主体的非对称性反应,才导致了货币政策效果的非对称。除了分析货币供给冲击效果的非对称之外,还分析了货币需求的非对称。不但分析了货币政策效果纵向上的非对称,也分析了横向效果上的非对称。
第1章对货币政策效果非对称的相关文献进行了系统性的梳理和总结,介绍了货币政策效果非对称的最新进展及研究的不足之处,目的在于把握这一研究的前沿,作为本文进一步研究的基础和借鉴。
第2章介绍了货币政策的传导。这包括不同的传导渠道如利率传导渠道、汇率传导汇道、资产价格传导渠道和信贷传导渠道,并介绍了货币政策传导中的货币政策工具,分析表明,货币政策传导过程是不同的经济主体的博弈和选择过程,不同经济主体在不同经济状态下行为不一致,会导致货币政策传导出现非对称性。
第3章分析了在货币政策传导过程中经济主体的反应,这里基于IS-LM框架讨论了货币政策影响产出的因素,然后分析了中央银行、商业银行、企业、居民的行为反应模式。由于中央银行的中介目标和最终目标的多样性和不确定性必然引起货币政策效果非对称性,由于不同地区的经济发展情况不一样,各项经济指标并不是同步变动。因此,这些不对称性包括横向不对称性和纵向不对称性。
第4章分析了纵向非对称性效果,包括预期到的和未预期的货币政策对产出、产出的各组成部分(消费、投资和出口)、价格的非对称性,实证结论表明,货币政策非对称性源于投资和出口的非对称,同时价格反应的非对称性表明确实存在价格刚性,从而使得货币政策的效果不能完全传递到产出上,表现为产出的非对称性。
第5章分析了横向非对称性,包括产业非对称、区域产出非对称和区域价格反应非对称。货币政策冲击对第二、第三产业的影响大于第一产业,对东部地区产出的影响大于对中西部地区产出的影响,不同省份的贷款与价格存在面板协整关系,货币政策对东部地区的价格影响小于中西部。
第6章从货币需求角度分析了货币政策效果非对称性,分析结论显示,尽管从长期来说,货币需求是稳定的,但在短期,货币需求的调整是非对称的,满足非线性误差修正模型,因此,即使从货币供给角度来说货币政策效果对称,货币需求作为一种均衡力量也会使得货币政策存在非对称性效果,货币政策效果非对称性另一个可能的原因是货币需求的非对称。
第7章是本文的结论。货币政策能否实现我国经济发展的目标,与我们是否确切地认识到货币政策的效果有很大的关系,货币政策效果确实存在纵向非对称性和横向非对称性,与其说货币政策无效,不如说货币政策存在非对称性。也因为非对称性的存在,在扩张经济时货币政策效果可能较小,因此需要改变货币政策目标框架。由于货币政策效果存在区域上的非对称性,货币政策调节经济时一定要兼顾不同地区,不同行业的发展水平,保证各行业和区域协调发展。
Research on asymmetry of monetary policy effects is an important aspect of monetary economics as well as macro-economics in recent years.Research on the asymmetry of monetary policy effects can guide the practical monetary policy as well as improve the credibility and effectiveness of monetary policies.Study about this asymmetry can provide a basic framework to be observed on the operational mechanism of monetary policy and enable people to measure the actual role and reason of the monetary policy.Therefore,understanding the effect of monetary policy is important and meaningful.
Since the 1990s,with the reform of the banking system,monetary policy as an important means of macroeconomic regulation and control gradually began to play a role in our country.However,central bank is lack of independence and the autonomy. Monetary policy has many ultimate objectives such as price stability and economic development and has many intermediate objectives such as money supply and exchange rate stability.In addition,because of asymmetric information and future uncertainty, commercial banks,enterprises,residents act more cautiously in economic contraction than in economic overheating during the economic transition,resulting in the asymmetric effects of monetary policy.In addition,China's monetary policies act with discretion and response to the changes of economic conditions with obvious time-lags and even increasing the uncertainty of the economy and invalidity of monetary policies.Therefore, some scholars have put forward monetary policies cannot work to economy recovery. They don't recognize the real role and content of monetary policy in fact.Hoping monetary policy can solve all the problems is a little unrealistic and sometimes guiding the economy in practice with this belief may be counter-productive.Research on the asymmetry of monetary policy effects is at the initial stage.There is no systematic theory to discuss and analyze this issue and this study attempts in this regard.
The study starts from the transmission mechanism of monetary policy and analyzes economic agents' behavior at the various stages of transmission mechanism based on IS-LM framework.Economic agents' asymmetric reaction leads to asymmetry of monetary policy effects.In addition to money supply shocks asymmetry,asymmetric money demand is analyzed,too.This study not only analyzes asymmetry of monetary policy effects longitudinally,but also analyzes asymmetric effects horizontally.
Chapter 1 summarizes and cards the relevant literature on the asymmetry of monetary policy effects systematically,where latest developments and defects are introduced.The purpose is to grasp the leading edge,which is a basis for further study in this article.
Chapter 2 introduced monetary policy transmission.This includes the different transmission channel such as the interest rate transmission channel,exchange rate transmission channel,assets price transmission channel and credit transmission channel. Monetary policy tools in monetary,policy transmission are introduced.Analysis showed that the monetary policy transmission process is the subject of different economic agents' game and the selection process.Inconsistent behavior of different economic agents in different economic conditions will lead to the asymmetric monetary policy effects.
Chapter 3 analyzes the reaction of economic agents in the course of the monetary policy transmission.Based on the IS-LM framework the paper summarize factors of monetary policy to output.Response modes of central bank,commercial banks, enterprises and residents are analyzed.The diversity and uncertainty of central bank's intermediate objectives and ultimate goal are bound to lead to asymmetric effects of monetary policy.Because of region differences in the economic development,the changes of different economic indicators are not synchronized.Therefore,these asymmetries include longitudinal and horizontal asymmetries.
Chapter 4 analyzes the longitudinal asymmetry effects of the expected and the unexpected monetary shock on output,the various components of the output (consumption,investment and exports) and prices.Empirical results show that asymmetric monetary policy effects are from investment and export.At the same time,the asymmetric price reaction indicates the existence of price rigidity,so that the effects of monetary policy can not be fully delivered to output.
Chapter 5 analyses the horizontal asymmetry such as the industries asymmetry, regional output asymmetry and asymmetric reaction of regional prices.The impact of monetary policy shocks on the second and third industries is greater than on the primary industry.The impact of monetary policy shocks on the output of the eastern region is greater than central and western regions'.There is panel co-integration in the price and loans of different provinces,Monetary policy impact on the eastern price is less than the central and western'.
Chapter 6 analyses asymmetry of monetary policy effects from the perspective of money demand.Although money demand is stable in the long run,the adjustment of money demand is asymmetric and satisfy the non-linear error correction model in the short term.Even if the money supply has symmetric monetary policy effects,money demand as a balance force will result in asymmetric monetary policy effects,Asymmetry of monetary policy effects may be from asymmetric demand for money.
Chapter 7 is the conclusions of this paper.Monetary policy can achieve the goal of China's economic development or not is up to that we understand monetary policy effects exactly.Monetary policy effects have longitudinal and horizontal asymmetry.Rather than monetary policy does not work,we might as well say asymmetric monetary policy effects. Because of the asymmetry,monetary policy effects may be relatively small in the economic expansion,so we need to change the monetary policy objectives framework. The regional asymmetry of monetary policy effects requires the economy regulation must take the development level of different regions and different sectors into account.Only in this way can we ensure development of every sector and region coordinately.
20世纪90年代以来,随着银行体制的改革,货币政策作为一种重要的宏观经济调控手段逐渐开始在我国发挥作用。但是中央银行缺乏独立性和自主性,其货币政策目标不管从最终目标还是从中介目标来看都存在多元性,在最终目标上,有稳定物价和发展经济,在中介目标上,有货币供应量目标和稳定汇率。除此之外,经济转轨时期商业银行、企业、居民因为不对称信息和对未来不确定性的担忧,经济紧缩时期其行为相对经济过热时期更为谨慎,从而造成货币政策效果的非对称性。并且,我国的货币政策一直有相机决策的特点,同时货币政策操作存在滞后性,从而增加了经济的不稳定性和对货币政策有效性的质疑。因此,有学者提出货币政策在复苏经济时无效,这其实没有认识到货币政策的真正作用和内涵。希望货币政策能解决所有问题,有点不现实,有时候用以指导经济实践可能会适得其反。有关货币政策效果的非对称性研究处于初步阶段,目前并未有系统性的论著对这一问题进行论述和分析,这一研究是这一方面的尝试。
本研究从货币政策的传导机制入手,基于IS-LM框架分析了传导机制的各个阶段的经济主体行为,并认为由于经济主体的非对称性反应,才导致了货币政策效果的非对称。除了分析货币供给冲击效果的非对称之外,还分析了货币需求的非对称。不但分析了货币政策效果纵向上的非对称,也分析了横向效果上的非对称。
第1章对货币政策效果非对称的相关文献进行了系统性的梳理和总结,介绍了货币政策效果非对称的最新进展及研究的不足之处,目的在于把握这一研究的前沿,作为本文进一步研究的基础和借鉴。
第2章介绍了货币政策的传导。这包括不同的传导渠道如利率传导渠道、汇率传导汇道、资产价格传导渠道和信贷传导渠道,并介绍了货币政策传导中的货币政策工具,分析表明,货币政策传导过程是不同的经济主体的博弈和选择过程,不同经济主体在不同经济状态下行为不一致,会导致货币政策传导出现非对称性。
第3章分析了在货币政策传导过程中经济主体的反应,这里基于IS-LM框架讨论了货币政策影响产出的因素,然后分析了中央银行、商业银行、企业、居民的行为反应模式。由于中央银行的中介目标和最终目标的多样性和不确定性必然引起货币政策效果非对称性,由于不同地区的经济发展情况不一样,各项经济指标并不是同步变动。因此,这些不对称性包括横向不对称性和纵向不对称性。
第4章分析了纵向非对称性效果,包括预期到的和未预期的货币政策对产出、产出的各组成部分(消费、投资和出口)、价格的非对称性,实证结论表明,货币政策非对称性源于投资和出口的非对称,同时价格反应的非对称性表明确实存在价格刚性,从而使得货币政策的效果不能完全传递到产出上,表现为产出的非对称性。
第5章分析了横向非对称性,包括产业非对称、区域产出非对称和区域价格反应非对称。货币政策冲击对第二、第三产业的影响大于第一产业,对东部地区产出的影响大于对中西部地区产出的影响,不同省份的贷款与价格存在面板协整关系,货币政策对东部地区的价格影响小于中西部。
第6章从货币需求角度分析了货币政策效果非对称性,分析结论显示,尽管从长期来说,货币需求是稳定的,但在短期,货币需求的调整是非对称的,满足非线性误差修正模型,因此,即使从货币供给角度来说货币政策效果对称,货币需求作为一种均衡力量也会使得货币政策存在非对称性效果,货币政策效果非对称性另一个可能的原因是货币需求的非对称。
第7章是本文的结论。货币政策能否实现我国经济发展的目标,与我们是否确切地认识到货币政策的效果有很大的关系,货币政策效果确实存在纵向非对称性和横向非对称性,与其说货币政策无效,不如说货币政策存在非对称性。也因为非对称性的存在,在扩张经济时货币政策效果可能较小,因此需要改变货币政策目标框架。由于货币政策效果存在区域上的非对称性,货币政策调节经济时一定要兼顾不同地区,不同行业的发展水平,保证各行业和区域协调发展。
Research on asymmetry of monetary policy effects is an important aspect of monetary economics as well as macro-economics in recent years.Research on the asymmetry of monetary policy effects can guide the practical monetary policy as well as improve the credibility and effectiveness of monetary policies.Study about this asymmetry can provide a basic framework to be observed on the operational mechanism of monetary policy and enable people to measure the actual role and reason of the monetary policy.Therefore,understanding the effect of monetary policy is important and meaningful.
Since the 1990s,with the reform of the banking system,monetary policy as an important means of macroeconomic regulation and control gradually began to play a role in our country.However,central bank is lack of independence and the autonomy. Monetary policy has many ultimate objectives such as price stability and economic development and has many intermediate objectives such as money supply and exchange rate stability.In addition,because of asymmetric information and future uncertainty, commercial banks,enterprises,residents act more cautiously in economic contraction than in economic overheating during the economic transition,resulting in the asymmetric effects of monetary policy.In addition,China's monetary policies act with discretion and response to the changes of economic conditions with obvious time-lags and even increasing the uncertainty of the economy and invalidity of monetary policies.Therefore, some scholars have put forward monetary policies cannot work to economy recovery. They don't recognize the real role and content of monetary policy in fact.Hoping monetary policy can solve all the problems is a little unrealistic and sometimes guiding the economy in practice with this belief may be counter-productive.Research on the asymmetry of monetary policy effects is at the initial stage.There is no systematic theory to discuss and analyze this issue and this study attempts in this regard.
The study starts from the transmission mechanism of monetary policy and analyzes economic agents' behavior at the various stages of transmission mechanism based on IS-LM framework.Economic agents' asymmetric reaction leads to asymmetry of monetary policy effects.In addition to money supply shocks asymmetry,asymmetric money demand is analyzed,too.This study not only analyzes asymmetry of monetary policy effects longitudinally,but also analyzes asymmetric effects horizontally.
Chapter 1 summarizes and cards the relevant literature on the asymmetry of monetary policy effects systematically,where latest developments and defects are introduced.The purpose is to grasp the leading edge,which is a basis for further study in this article.
Chapter 2 introduced monetary policy transmission.This includes the different transmission channel such as the interest rate transmission channel,exchange rate transmission channel,assets price transmission channel and credit transmission channel. Monetary policy tools in monetary,policy transmission are introduced.Analysis showed that the monetary policy transmission process is the subject of different economic agents' game and the selection process.Inconsistent behavior of different economic agents in different economic conditions will lead to the asymmetric monetary policy effects.
Chapter 3 analyzes the reaction of economic agents in the course of the monetary policy transmission.Based on the IS-LM framework the paper summarize factors of monetary policy to output.Response modes of central bank,commercial banks, enterprises and residents are analyzed.The diversity and uncertainty of central bank's intermediate objectives and ultimate goal are bound to lead to asymmetric effects of monetary policy.Because of region differences in the economic development,the changes of different economic indicators are not synchronized.Therefore,these asymmetries include longitudinal and horizontal asymmetries.
Chapter 4 analyzes the longitudinal asymmetry effects of the expected and the unexpected monetary shock on output,the various components of the output (consumption,investment and exports) and prices.Empirical results show that asymmetric monetary policy effects are from investment and export.At the same time,the asymmetric price reaction indicates the existence of price rigidity,so that the effects of monetary policy can not be fully delivered to output.
Chapter 5 analyses the horizontal asymmetry such as the industries asymmetry, regional output asymmetry and asymmetric reaction of regional prices.The impact of monetary policy shocks on the second and third industries is greater than on the primary industry.The impact of monetary policy shocks on the output of the eastern region is greater than central and western regions'.There is panel co-integration in the price and loans of different provinces,Monetary policy impact on the eastern price is less than the central and western'.
Chapter 6 analyses asymmetry of monetary policy effects from the perspective of money demand.Although money demand is stable in the long run,the adjustment of money demand is asymmetric and satisfy the non-linear error correction model in the short term.Even if the money supply has symmetric monetary policy effects,money demand as a balance force will result in asymmetric monetary policy effects,Asymmetry of monetary policy effects may be from asymmetric demand for money.
Chapter 7 is the conclusions of this paper.Monetary policy can achieve the goal of China's economic development or not is up to that we understand monetary policy effects exactly.Monetary policy effects have longitudinal and horizontal asymmetry.Rather than monetary policy does not work,we might as well say asymmetric monetary policy effects. Because of the asymmetry,monetary policy effects may be relatively small in the economic expansion,so we need to change the monetary policy objectives framework. The regional asymmetry of monetary policy effects requires the economy regulation must take the development level of different regions and different sectors into account.Only in this way can we ensure development of every sector and region coordinately.
引文
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