本文選題：三大貨幣政策　切入點(diǎn)：向量自回歸　出處：《復(fù)旦大學(xué)》2013年碩士論文

【摘要】：貨幣政策工具是一國央行調(diào)控宏觀經(jīng)濟(jì)的重要手段。研究各種政策工具的有效性,對(duì)于央行制定貨幣政策具有重要意義。本文試圖依據(jù)我國的實(shí)際國情,系統(tǒng)分析并檢驗(yàn)我國央行的三大貨幣政策工具的有效性,并對(duì)比分析不同貨幣政策工具的作用效力。 本文首先簡要闡述了西方貨幣金融學(xué)的相關(guān)理論,包括貨幣政策目標(biāo),貨幣政策傳導(dǎo)機(jī)制,以及貨幣政策工具。在此基礎(chǔ)上,重點(diǎn)分析了我國央行的三大貨幣政策工具——存貸款基準(zhǔn)利率、法定準(zhǔn)備金率、公開市場操作,梳理了央行自1984年以來的貨幣政策發(fā)展,討論了我國央行的貨幣政策目標(biāo),并結(jié)合我國歷史發(fā)展情形,對(duì)我國的貨幣政策工具重點(diǎn)進(jìn)行了描述性分析。 實(shí)證檢驗(yàn)方面,本文采用向量自回歸模型(VAR模型),基于實(shí)際數(shù)據(jù)的可得性,本文對(duì)2004年1月至2012年12月的月度數(shù)據(jù)進(jìn)行分析,采用脈沖響應(yīng)和方差分解的分析方法,研究了各個(gè)貨幣政策工具對(duì)三大貨幣政策中介目標(biāo)、兩大貨幣政策最終目標(biāo)的作用效力,結(jié)果發(fā)現(xiàn),基準(zhǔn)利率的調(diào)整對(duì)于各個(gè)目標(biāo)變量的作用效果最為顯著,銀行間拆借利率對(duì)于公開市場操作較為敏感,法定準(zhǔn)備金率調(diào)整的作用效果不十分突出。 最后,結(jié)合相關(guān)研究結(jié)果,本文提出了兩項(xiàng)政策建議：在推進(jìn)利率市場化改革的同時(shí),積極推進(jìn)金融市場體系的完善,逐步擺脫對(duì)于存貸款利率調(diào)整的依賴,確保法定準(zhǔn)備金率和公開市場操作的傳導(dǎo)渠道暢通；在推進(jìn)貨幣政策轉(zhuǎn)向價(jià)格型目標(biāo)時(shí),積極發(fā)展建設(shè)債券交易市場,提升公開市場操作的可執(zhí)行性。
[Abstract]:Monetary policy tool is an important means for a country's central bank to adjust and control the macro-economy. It is of great significance to study the effectiveness of various policy instruments for the central bank to formulate monetary policy. The effectiveness of the three monetary policy instruments of the central bank is systematically analyzed and tested, and the effectiveness of different monetary policy instruments is compared and analyzed. This paper first briefly describes the relevant theories of western monetary finance, including monetary policy objectives, monetary policy transmission mechanism, and monetary policy tools. This paper mainly analyzes the three major monetary policy tools of the central bank of China-the benchmark interest rate of deposit and loan, the legal reserve ratio, the open market operation, combs the monetary policy development of the central bank since 1984, and discusses the monetary policy objectives of the central bank. Combined with the historical development of our country, this paper makes a descriptive analysis of the monetary policy tools in China. Based on the availability of actual data, this paper analyzes the monthly data from January 2004 to December 2012, and adopts the methods of impulse response and variance decomposition. This paper studies the effect of each monetary policy instrument on the three monetary policy intermediate objectives and the two monetary policy ultimate objectives. The results show that the adjustment of the benchmark interest rate has the most significant effect on each target variable. Interbank lending rate is more sensitive to open market operation, and the effect of legal reserve ratio adjustment is not very prominent. Finally, combined with the relevant research results, this paper puts forward two policy recommendations: to promote the reform of interest rate marketization, to actively promote the improvement of the financial market system, and to gradually get rid of the dependence on the adjustment of deposit and loan interest rates. To ensure that the legal reserve ratio and the transmission channels of open market operation are clear, and to actively develop the bond trading market and enhance the executability of the open market operation when pushing the monetary policy to the price-oriented target.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F224;F822.0

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本文編號(hào)：1688217