摘要
货币政策作为宏观调控的两大基本工具之一,其有效性常常成为人们关注的焦点。央行运用政策工具能否改变特定经济参数,并最终作用于实体经济活动,在很大程度上取决于货币政策传导渠道畅通与否。上世纪九十年代后期以来,我国宏观调控模式逐步实现由直接调控向间接调控的转变,然而,由于金融体制改革滞后,利率传导机制远未完善,而传统的信贷传导渠道也出现了一定程度的阻塞,这可能是近年来我国货币政策调控效果不理想的重要原因。当前我国央行谨慎对待加息,转而重视信贷总量控制、信贷结构优化以及信贷投放节奏管理,说明目前银行信贷管理仍然是我国央行调控实体经济的重要手段。那么,应该怎样发挥信贷渠道对货币政策的传导作用?对上述问题的回答将直接关系到未来的政策与制度选择。有鉴于此,本文的研究目标就是通过分析信贷渠道传导货币政策的作用机理、具体路径以及存在问题,探寻优化货币政策操作、提高货币政策效力的策略。
论文的核心内容可以归纳为以下五个方面：
首先,结合信贷配给理论、信用观和信息经济学等理论,着力对国内外有关信贷渠道的理论与实证文献进行梳理和述评。在总结信贷渠道传导货币政策的理论前提的基础上,分别从银行间接融资优势、金融机构资产负债可替代性弱、银行信贷配给特征等三个方面,论证了我国经济金融环境基本满足信贷渠道发挥传导货币政策作用的条件。
其次,对我国货币政策信贷传导渠道的重要性及其动态特征进行计量分析,研究结果表明信贷渠道在我国现阶段货币政策传导过程中发挥着重要作用。从我国信贷周期与经济周期的波动特征和相互关系看,信贷是推动我国经济周期形成的重要因素。有关货币渠道与信贷渠道传导货币政策显著性的比较分析显示,信贷渠道仍然是目前我国货币政策传导的重要渠道,中央银行主要通过对信贷的控制来调控实体经济,从与最终目标的相关性看,信贷规模和货币供应量均适合充当我国货币政策中介目标。利用状态空间模型研究我国信贷渠道传导货币政策效果弱化问题,并在此基础上探讨导致信贷渠道弱化的主要原因。
接下来,研究我国货币政策传导的银行借贷渠道。首先,通过考察不同类型商业银行的资产组合调整行为,发现央行货币政策能够对商业银行的可贷资金和信贷扩张能力产生实质性影响。相对于国有大型银行而言,中小银行信贷供给行为对货币政策冲击更敏感。然后,构建描述商业银行信贷扩张产出效应的跨期均衡模型。实证结果表明,近年来我国货币政策效力不佳,在很大程度上归因于商业银行在不同经济景气时期的信贷行为差异；由于我国商业银行大多具有国有产权特征,其信贷决策往往存在企业性质和规模偏好,相对于国有大型企业而言,信贷紧缩时,非国有企业和中小企业会遭受更严厉的信贷配给。最后,从理论上阐述银行资本监管对信贷渠道的放大功能,2004年以后最低资本充足率监管要求对我国银行信贷行为的约束力正在渐进加强。
然后,从企业投资与家庭消费层面研究我国货币政策传导的资产负债表渠道。首先,在回顾企业投融资关系的相关理论与文献的基础上,对我国上市企业新增投资与银行贷款的关联性进行实证检验,结果显示企业贷款融资与新增投资之间具有显著的正向传导关系。然后,通过理论建模描述货币政策冲击、企业资产负债表状况与信贷可得性之间的关系,并在此基础上构造协方差模型,利用沪深两市上市公司财务数据对我国企业资产负债表效应进行了实证检验,结果表明,规模小、抵押能力低、成长速度慢、内部融资能力差的企业更加依赖银行贷款,其信贷可得性更容易受到货币政策变化的影响。最后,对我国居民消费行为和家庭资产负债表效应进行实证研究。实证结果表明,收入是决定我国居民消费水平的关键变量,不确定性因素和流动性约束也是影响居民消费支出的重要因素；我国货币政策虽然能够调控房地产价格,但是房产财富增长并没有显著拉动家庭消费,家庭资产负债表效应不显著。
最后,总结各章主要结论,提出了若干政策建议：目前仍需重视发挥信贷渠道传导功能,但从长远看要建立以利率传导机制为核心的货币政策传导渠道；加大对中小企业融资支持,增加信贷有效供给；大力发展消费信贷,拓展家庭资产负债表渠道；加快推进经济金融体制改革,疏通货币政策传导渠道。
Monetary policy is one of the key macro-control policys and the effectiveness of monetary policy has become the focus of public attention. Whether the central bank can use monetary policy tools to control specific economic parameters and act on the real economy finally or not, that depends on how fluent the monetary policy transmission channels are. Since the late 1990's, the macro-control pattern of China switches from direct to indirect control pattern. However, the reform of financial system lags behind, interest rate transmission mechanism is far from perfect and the traditional credit channel is obstructed to some extent. This is a significant cause of unsatisfactory effect of monetary policy for the past few years. At the present time, the central bank is prudent to raise interest rate, and pay more attention to structure and quantity and rhythm of credit supply. Bank credit management is still effective way for government to control the real economy. Then, how to play the function of credit channel in the monetary policy transmission process? The answers to these questions could provide the references for us to choose and arrange the future policies. In light of this, this dissertation looks for the strategies to optimize monetary policy operation and improve the effectiveness of monetary policy, by analyzing the transimission mechanism and specific pathway and problems of credit channel in China.
The key contents of this paper can come down to five aspects as follows:
Firstly, combining credit rationing theory and credit view with information economics, the dissertation introduces and reviews relative theoretic and empirical documents about the credit channel. Based on summarizing the theoretic premises of the existence of credit channels, this paper demonstrates that the economic and financial condition can basically meet the requirements for credit channels to conduct monetary policy in China from tree aspects as follows:Advantages of indirect financing, weak substitutability of assets and liabilities of financial institutions, credit rationing.
Secondly, the dissertation studies empirically the importance and dynamic features of credit channel in China. The results indicate that credit channels play a crucial role in the monetary policy transmission process. From the perspective of the fluctuation features and the correlation between credit cycle and economic cycle, credit is an important factor to promote economic fluctuations in China. The result of comparative analysis of the significance between money channel and credit channel shows that at the present stage credit channel is the important channel of monetary policy transmission of China. The central bank controls real economy through bank credit management. In the case of the correlation with the ultimate aim, monetary supply and credit scale are both suitable to act as intermediate targets of monetary policy. Utilizing the state space model, the dissertation studies the weakening trend of the transmission effect of monetary policy through credit channel, and then analyzes the main influential factors.
Thirdly, the bank lending channel of monetary transmission of China is researched. By studying the asset portfolio adjustment behaviors of different commercial banks, the empirical results indicate that the central bank policy can affect loanable fund and credit expansion substantially. Comparing with large state-owned banks, the small and medium-sized banks respond more sensitively to the impact of monetary policy. Next, in the text, an intertemporal equilibrium model is used to describe the product effect of the expansion mechanism of commercial banks' credit. The conclusion of empirical test shows that unsatisfactory effect of monetary policy may attribute to the different commercial bank credit behaviors in boom and recession time. Chinese commercial banks mostly are state-owned to a certain extent, and their credit decision usually has preference to property and scale of enterprises. Comparing with large state-owned enterprises, non-state-owned enterprises and SMEs undergo more serious credit rationing once credit markets tighten. Finally, the function of bank capital regulation to amplify credit channels has been analyzed by building a mathematical model about the money and credit expansion. The function of bank capital regulation to constraint commercial bank credit behaviors in China has strengthened gradually since 2004.
Fourthly, balance-sheet effects of monetary policy transmission are researched on both firms and households levels. First, this paper reviews the relative theories and literatures about the relationship between investment and financing of enterprises. The empirical analysis shows that there is significant positive relationship between loans and new investment of Chinese enterprises. Second, a theoretical model is established to analyze the relations among monetary policy shock, enterprise's balance sheet features and credit availability. The dissertation uses the covariance model and financial database of the companies in Shanghai and Shenzhen stock markets, and tests the balance-sheet effects of enterprises. The empirical result shows that firms with small scale, low collateral value, low profitability and poor internal financing capability are more reliant on bank loans, and their credit availability are more significantly affected by monetary policy. Third, this paper empirically analyses the primary influence factors of consumer behavior and balance sheet effect in household level in the housing market. The conclusions are reached as follows:At present, revenue is the critical factor to determine the resident consumption level in China, at the same time, uncertainty and liquidity constraints are also important influence factors of consumer spending. Although monetary policy can regulate real estate price in China, the increase of housing wealth still can't drive dramatically household consumption. So, household balance-sheet effect is not significant.
Finally, based on a summary of the conclusions of the chapters above, some policy proposals are given as follows:In the short term, the central bank should take full advantage of credit channel, but in the long term, the interest rate transmission mechanism should be established as the key channel of the monetary policy thansmission. To encourage the commercial hank give more credit support to small and medium enterprises, and increase the available supply of credit. Strive to develop consumer credit, and construct a new path for monetary policy to control the consumption of the residents. To deepen reform the economic and financial systems, clear the channels of monetary transmission.
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