本文關(guān)鍵詞：我國貨幣政策資產(chǎn)負(fù)債表傳導(dǎo)機(jī)制研究　出處：《西南財(cái)經(jīng)大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 貨幣政策 資產(chǎn)負(fù)債表 傳導(dǎo)機(jī)制 有效性

【摘要】：貨幣政策傳導(dǎo)機(jī)制是指中央銀行運(yùn)用貨幣政策工具實(shí)現(xiàn)既定央行的政策目標(biāo)過程中,涉及的各種中間環(huán)節(jié)相互間的有機(jī)聯(lián)系或因果關(guān)系,包括貨幣供給量等政策變動(dòng)影響名義和實(shí)際變量的途徑。事實(shí)上,對于貨幣政策傳導(dǎo)機(jī)制的分析是在貨幣政策有效性的框架下進(jìn)行,分析一種傳導(dǎo)機(jī)制最終目的是為了實(shí)現(xiàn)央行貨幣政策的有效性,能夠?qū)Ξa(chǎn)出、價(jià)格等貨幣政策目標(biāo)起到作用。具體來說,貨幣政策傳導(dǎo)機(jī)制的研究,自凱恩斯建立宏觀經(jīng)濟(jì)分析框架以來,各經(jīng)濟(jì)學(xué)派從各自不同的觀察角度和強(qiáng)調(diào)因素出發(fā),建立了關(guān)于貨幣政策傳導(dǎo)機(jī)制的許多流派的理論。包括凱恩斯學(xué)派的傳導(dǎo)機(jī)制理論和貨幣學(xué)派的傳導(dǎo)機(jī)制理論,前者是以利率為主要環(huán)節(jié)的貨幣政策傳導(dǎo)機(jī)制理論；后者則認(rèn)為貨幣供給是名義國民收入的基本決定力量,從而貨幣供給量在貨幣政策傳導(dǎo)過程中是決定性因素。在我國,自從1998年中國人民銀行取消了對商業(yè)銀行的貸款限額管理,開始運(yùn)用公開市場業(yè)務(wù)、存款準(zhǔn)備金等一系列貨幣政策工具對宏觀經(jīng)濟(jì)進(jìn)行間接調(diào)控以來,央行的貨幣政策調(diào)控機(jī)制逐漸成熟。與此同時(shí),關(guān)于我國貨幣政策傳導(dǎo)機(jī)制的研究也日漸豐富,許多國外證實(shí)過的貨幣政策傳導(dǎo)機(jī)制都有被廣泛的研究分析,特別是利率等資產(chǎn)價(jià)格傳導(dǎo)機(jī)制和信貸途徑傳導(dǎo)機(jī)制。但是作為信貸途徑傳導(dǎo)機(jī)制的一種重要形式——資產(chǎn)負(fù)債表傳導(dǎo)機(jī)制,目前國內(nèi)的研究卻比較少。 資產(chǎn)負(fù)債表傳導(dǎo)機(jī)制是伯南克和格特勒在1995年提出的。他們指出這種傳導(dǎo)機(jī)制表現(xiàn)為,在貨幣政策影響下企業(yè)的可抵押資產(chǎn)價(jià)值、現(xiàn)金流和投資預(yù)期等資產(chǎn)負(fù)債表因素會(huì)發(fā)生變化,在信息不對稱的環(huán)境下,這兩點(diǎn)的變化使得銀行對企業(yè)風(fēng)險(xiǎn)的衡量會(huì)有更顯著的改變,從而改變企業(yè)獲取銀行貸款難易程度,最終影響投資水平和貨幣政策的產(chǎn)出目標(biāo)。對于居民資產(chǎn)負(fù)債表傳導(dǎo)機(jī)制的分析,從思路上也是和企業(yè)資產(chǎn)負(fù)債表機(jī)制類似,在貨幣政策變動(dòng)沖擊下,居民的財(cái)富、可抵押資產(chǎn)價(jià)值和消費(fèi)預(yù)期等資產(chǎn)負(fù)債表因素會(huì)發(fā)生變化,引起消費(fèi)支出(包括消費(fèi)性貸款等)變動(dòng),從而最終作用于產(chǎn)出等貨幣政策目標(biāo)。1996年伯南克和格特勒二人將資產(chǎn)負(fù)債表傳導(dǎo)機(jī)制進(jìn)一步明確的分類為企業(yè)層面的投資支出效應(yīng)和家庭層面的消費(fèi)支出效應(yīng)。本文就是在伯南克和格特勒的理論基礎(chǔ)上對我國貨幣政策引起企業(yè)和居民資產(chǎn)負(fù)債表因素的變化,并最終作用于貨幣政策目標(biāo)這一資產(chǎn)負(fù)債表傳導(dǎo)機(jī)制進(jìn)行全面的分析。 伯南克和格特勒的分析表明企業(yè)資產(chǎn)負(fù)債表傳導(dǎo)機(jī)制發(fā)揮作用要借助于銀行信貸。當(dāng)前我國商業(yè)銀行的資產(chǎn)構(gòu)成是以各項(xiàng)貸款資產(chǎn)為主。這一客觀現(xiàn)狀,為企業(yè)資產(chǎn)負(fù)債表傳導(dǎo)提供了良好的金融環(huán)境。如果商業(yè)銀行資產(chǎn)構(gòu)成不是以各項(xiàng)貸款資產(chǎn)為主,當(dāng)中央銀行采取各種措施緊縮貨幣政策的時(shí)候,逼迫商業(yè)銀行減少貸款發(fā)放量,此時(shí)商業(yè)銀行就選擇可以自行調(diào)整自己的資產(chǎn)結(jié)構(gòu),將有價(jià)證券出售(同時(shí)提高了自己在中央銀行的準(zhǔn)備金額度)這樣就可以增加貸款資金發(fā)放,從而沖減緊縮性政策的影響。然而由于我國金融機(jī)構(gòu)持有的有價(jià)證券及投資比重較低,而外匯占款雖然占比重較大但是缺乏靈活性,商業(yè)銀行很難通過有價(jià)證券等資產(chǎn)調(diào)整充分平滑緊縮的貨幣政策對貸款產(chǎn)生的沖擊。因此,中央銀行就可以運(yùn)用貨幣政策有效地調(diào)控商業(yè)銀行信貸行為。同時(shí)企業(yè)資產(chǎn)負(fù)債表傳導(dǎo)機(jī)制發(fā)揮作用還需要另一個(gè)金融環(huán)境：以銀行信貸為代表的間接融資在企業(yè)的融資結(jié)構(gòu)中占絕對優(yōu)勢地位。因?yàn)橹挥性谄髽I(yè)主要是借助銀行信貸來滿足自己的融資需求的環(huán)境下。在受到貨幣政策變動(dòng)沖擊后,企業(yè)的資產(chǎn)負(fù)債表因素(可抵押資產(chǎn)價(jià)值和現(xiàn)金流等)的改變影響了企業(yè)的銀行信貸獲取量之后,企業(yè)沒有或者較少有其他的替代融資方式來滿足自己的資金需求,這樣企業(yè)才會(huì)縮減自己的投資規(guī)模,然后貨幣政策最終作用到貨幣政策目標(biāo),實(shí)現(xiàn)中央銀行貨幣政策有效性。 對于居民資產(chǎn)負(fù)債表,也是需要上一段分析的第一個(gè)金融環(huán)境條件。以消費(fèi)支出中的消費(fèi)性貸款為例,這部分屬于居民的負(fù)債,當(dāng)央行實(shí)行緊縮貨幣政策。由于商業(yè)銀行資產(chǎn)結(jié)構(gòu)是以各項(xiàng)貸款資產(chǎn)為主,她必須緊縮信貸這樣消費(fèi)信貸必然減少,央行就有可能實(shí)現(xiàn)其貨幣政策目標(biāo)。 因?yàn)槲覈邆渖鲜龅膬牲c(diǎn)客觀金融環(huán)境,我國資產(chǎn)負(fù)債表傳導(dǎo)機(jī)制從理論上講就比較明顯,基于這一點(diǎn)認(rèn)識。本文首先簡要介紹了貨幣政策框架的基本理論,主要分析了現(xiàn)有的凱恩斯和貨幣主義學(xué)派的貨幣政策傳導(dǎo)機(jī)制理論。同時(shí),在這些理論中重點(diǎn)闡述了資產(chǎn)負(fù)債表傳導(dǎo)機(jī)制的基本理論,詳細(xì)分析了該傳導(dǎo)機(jī)制作用機(jī)理。其次,在理論分析的基礎(chǔ)上,對我國企業(yè)資產(chǎn)負(fù)債表傳導(dǎo)和居民資產(chǎn)負(fù)債表及其傳導(dǎo)進(jìn)行了具體的分析,并從邏輯分析上證實(shí)了我國資產(chǎn)負(fù)債表傳導(dǎo)機(jī)制的存在。 然后,為了能夠更加準(zhǔn)確的分析我國的資產(chǎn)負(fù)債表傳導(dǎo)機(jī)制,本文在第四部分進(jìn)行了實(shí)證的分析。從貨幣政策的中間目標(biāo)開始,分析中間目標(biāo)如何影響資產(chǎn)負(fù)債表因素,再如何影響信貸量、消費(fèi)支出,最后作用于貨幣政策目標(biāo)。具體來說,在企業(yè)資產(chǎn)負(fù)債表傳導(dǎo)機(jī)制中：貨幣政策的中間目標(biāo)本文選取了貨幣供應(yīng)量MO、市場利率——七天內(nèi)銀行間同業(yè)拆借利率；企業(yè)的資產(chǎn)負(fù)債表因素指標(biāo)基于數(shù)據(jù)的可得性選取滬、深兩市上市公司季報(bào)數(shù)據(jù)：現(xiàn)金流(財(cái)務(wù)費(fèi)用、營業(yè)收入除以總資產(chǎn))、可抵押價(jià)值(流動(dòng)資產(chǎn)與固定資產(chǎn)凈額之和除以總資產(chǎn))；信貸量方面選取的是金融機(jī)構(gòu)各項(xiàng)貸款；而最終的貨幣政策目標(biāo)選取的是：國內(nèi)生產(chǎn)總值和價(jià)格水平(定基期的CPI)。居民資產(chǎn)負(fù)債表傳導(dǎo)機(jī)制方面。貨幣政策中間目標(biāo)和企業(yè)資產(chǎn)負(fù)債表傳導(dǎo)機(jī)制分析一樣,只是利率選取了一年期貸款基準(zhǔn)利率；在居民資產(chǎn)負(fù)債表因素方面。選取了：居民存款、房產(chǎn)價(jià)值以及股票價(jià)值(滬、深兩市的每日收盤價(jià)統(tǒng)計(jì)的月均股票流通市值),消費(fèi)支出方面由于沒有月度消費(fèi)支出數(shù)據(jù),選取了消費(fèi)性貸款作為衡量月度消費(fèi)支出的指標(biāo)。貨幣政策的目標(biāo)由于沒有月度GDP,同時(shí)也考慮了其他因素,就只選取了定基期的價(jià)格水平。 通過實(shí)證分析,得出我國存在企業(yè)和居民資產(chǎn)負(fù)債表傳導(dǎo)機(jī)制,但是企業(yè)資產(chǎn)負(fù)債表方面,信貸量對于企業(yè)資產(chǎn)負(fù)債表因素的變動(dòng)反應(yīng)不敏感。居民資產(chǎn)負(fù)債表方面,居民存款和房產(chǎn)價(jià)值對于中央銀行貨幣政策的變動(dòng)反應(yīng)不敏感。針對企業(yè)和居民資產(chǎn)負(fù)債表傳導(dǎo)機(jī)制過程中存在的這些阻塞,為了使中央銀行的貨幣政策更具有有效性,兩類資產(chǎn)負(fù)債表傳導(dǎo)機(jī)制更順暢、更有效率。本文在最后一部分分別對企業(yè)和居民兩類資產(chǎn)負(fù)債表傳導(dǎo)機(jī)制提出了相關(guān)的政策建議。具體來說,針對企業(yè)資產(chǎn)負(fù)債表傳導(dǎo)機(jī)制存在的阻塞,本文提出,兩個(gè)方面的建議,一是、改善社會(huì)信用及相關(guān)法律環(huán)境；二是、重構(gòu)企業(yè)與銀行關(guān)系兩個(gè)方面,國有企業(yè)要建立“產(chǎn)權(quán)清晰、權(quán)責(zé)明確、政企分開、管理科學(xué)”的現(xiàn)代企業(yè)制度。而商業(yè)銀行要繼續(xù)深化商業(yè)銀行體制改革,規(guī)范商業(yè)銀行的治理結(jié)構(gòu),建立商業(yè)銀行責(zé)權(quán)利對稱的激勵(lì)約束機(jī)制。這樣,商業(yè)銀行才會(huì)根據(jù)借款人的資產(chǎn)負(fù)債表因素進(jìn)行市場化的貸款決策與貸款管理。而針對居民資產(chǎn)負(fù)債表傳導(dǎo)機(jī)制,則從增加居民收入、減少居民間收入差距、完善社會(huì)保障體系和擴(kuò)大居民投資渠道等方面提出了相關(guān)的政策建議。
[Abstract]:The transmission mechanism of monetary policy is refers to the central bank to use monetary policy tools to achieve the goal of the central bank's policy process, involving various intermediate links between the organic connection or causal relationship, including money supply policy changes affect the way of real and nominal variables. In fact, the analysis on the transmission mechanism of monetary policy is carried out in the framework the effectiveness of monetary policy, an analysis of the conduction mechanism of the final purpose is to realize the effectiveness of monetary policy, to output, prices and other monetary policy goals play a role. Specifically, the research on the transmission mechanism of monetary policy, since Keynes established a framework for macroeconomic analysis, each economic school from different observation the angle and emphasize the elements of established many schools on the transmission mechanism of monetary policy transmission mechanism theory. Including the Keynes School of Science The theory of the transmission mechanism and monetary economics theory, the theory of monetary policy transmission mechanism with interest rates as the main part; the latter believes that the money supply is basically determined nominal income power and money supply is the decisive factor in the process of monetary policy transmission in China. Since 1998, the people's Bank of Chinese cancelled on loan quota management of commercial bank, began to use open market operations, reserve since a series of monetary policy tools to indirectly control the macro economy, the central bank monetary policy regulation mechanism gradually become ripe. At the same time, the research on the transmission mechanism of monetary policy in China is also increasingly rich, the transmission mechanism of monetary policy has many foreign confirmed by the analysis of extensive research, especially interest rates and other asset prices transmission mechanism and credit transmission mechanism. But as a way to transfer credit One of the important forms of the guide mechanism, the balance sheet transmission mechanism, is relatively small at present.
The balance sheet transmission mechanism is put forward by Bernanke and Gertler in 1995. They pointed out that the performance of the transmission mechanism for monetary policy in the enterprise, under the influence of the collateral value of assets, cash flow and investment expectations balance sheet factors will change, in the asymmetric information environment, change the measure will be more significant change of bank enterprise risk, thus changing the enterprises to obtain bank loans to the degree of difficulty, and ultimately affect the level of investment and monetary policy output target. For the analysis of resident balance sheet transmission mechanism, from the idea and also the corporate balance sheet mechanism similar to that in the shock of monetary policy, the wealth of the residents, can the collateral value of assets and consumer expectations and other factors will change the balance sheet, causing consumer spending (including consumer loans) changes, it will affect the output As the goal of monetary policy.1996 Bernanke and Gertler two will be the balance sheet transmission mechanism to further clarify the classification effect of investment expenditure effect of enterprise level and household level consumption expenditure. This paper is based on the theory of Bernanke and Gertler on China's monetary policy caused by corporate and household balance sheets and the change of the factors. The ultimate goal of monetary policy effect on the balance sheet transmission mechanism to conduct a comprehensive analysis.
The analysis of Bernanke and Gertler that enterprise balance sheet transmission mechanism with the aid of bank credit. The current our country commercial bank assets is to constitute the loan assets. This objective situation, provide a favorable financial environment for the enterprise balance sheet transmission. If the asset structure of commercial bank loans to assets not mainly, when the central bank to take various measures to tighten monetary policy, forcing commercial banks to reduce the amount of the loan, the commercial bank can choose to adjust their asset structure, the sale of securities (also raised its own central bank reserves) so they can increase the loan funds, thereby reducing effect austerity policy. However, due to China's financial institutions holding securities and investment proportion is low, although the proportion of the foreign exchange is heavy But the lack of flexibility, it is difficult to have a commercial bank by assets securities to adjust fully smooth tight monetary policy impact on loans. Therefore, the central bank can use monetary policy to effectively control the credit behavior of commercial banks. Also need another financial environment and corporate balance sheet transfer mechanism: indirect financing to bank credit represented in the financing structure of enterprises in the dominant position. Because only in the enterprise mainly rely on bank credit to meet their financing needs of the environment. Under the shock of monetary policy, the balance sheet business factors (which can be the collateral value of assets and cash flow) after the change the influence of enterprise access to bank credit, enterprises have less or no other alternative financing methods to meet their funding needs, such companies will shrink To reduce the size of its own investment, then monetary policy ultimately affects the target of monetary policy to achieve the effectiveness of the monetary policy of the central bank.
For residents of the balance sheet, but also need a financial analysis of the first environmental conditions. The consumer spending in consumer loans as an example, this part belongs to the residents of the debt, when the central bank to tighten monetary policy. Because the assets structure of commercial banks in the loan assets, she must tighten credit consumer credit so inevitable the central bank reduced, it is possible to achieve the goal of monetary policy.
Because I have the two objective financial environment, China's balance sheet transmission mechanism theoretically on the more obvious, based on this cognition. This paper briefly introduces the basic theory of monetary policy framework, the main analysis of the monetary policy transmission mechanism theory of Keynes and the monetarist school existing. At the same time, in the the theory focuses on the basic theory of the balance sheet transmission mechanism, a detailed analysis of the effect of the conduction mechanism. Secondly, on the basis of theoretical analysis, to our country enterprise balance sheet transmission and household balance sheets and the transmission is analyzed, and the logical analysis confirmed that the assets in China the balance sheet transmission mechanism.
Then, in order to our balance sheet transmission mechanism analysis more accurate, this paper makes an empirical analysis in fourth parts. Starting from the intermediate target of monetary policy, analysis of intermediate target can affect the balance sheet, then affect the credit amount, consumer spending, the last is monetary policy objectives. Specifically, in the balance sheet transmission mechanism: the intermediate target of monetary policy from the money supply MO, market interest rates -- the bank within seven days of interbank lending rates; index of balance sheet elements of enterprise data availability based on quarterly data based on the Shanghai, Shenzhen two city listed companies: (financial costs, cash flow operating income divided by total assets), mortgage value (net current assets and fixed assets and total assets); credit amount is selected and the financial institutions loans; The final goal of the monetary policy selection is: GDP and price level (fixed base CPI). The resident balance sheet transmission mechanism. As monetary policy intermediate objective and conduction mechanism analysis of corporate balance sheet, but the interest rate is selected on a one-year loan benchmark interest rate; in terms of household balance sheets. Selected: residents deposits, real estate value and stock value (Shanghai and Shenzhen two city daily closing price statistics of the average monthly stock market capitalization), consumer spending because no monthly consumption expenditure data, select the consumer loans as a measure of monthly consumption expenditure index. The goals of monetary policy with no monthly GDP, at the same time also consider other factors, we selected only the fixed base price levels.
Through empirical analysis, obtains our country enterprise and resident balance sheet transmission mechanism, but the statement of assets and liabilities, the amount of credit for the enterprise balance sheet factors were not sensitive. The residents' balance sheet, residents deposits and real estate value for central bank monetary policy change is not sensitive. In view of the existing enterprises and the resident balance sheet transmission mechanism in the process of the obstruction, in order to make monetary policy more effective, two kinds of balance sheet transmission mechanism more smooth, more efficient. In the last part of the enterprises and residents of two kinds of balance sheet transmission mechanism and put forward relevant policy suggestions. It aimed at blocking the corporate balance sheet transmission mechanism are presented in this paper, two aspects of the proposal, first, improve the social credit and legal environment; two Yes, the two aspects of reconstruction of relationship between enterprises and banks, state-owned enterprises should establish "clear property rights, clear responsibilities, separation of government and enterprise, the modern enterprise system and scientific management". Commercial banks should continue to deepen the reform of commercial banks, regulate the governance structure of commercial banks, the establishment of symmetrical incentive and constraint mechanism of responsibilities and rights of commercial banks. In this way, the commercial bank will loan decision and loan market management based on the balance sheet of the borrower. But for the residents of the balance sheet transmission mechanism, from increasing the income of residents, reduce the income gap between residents, puts forward relevant policy suggestions to improve the social security system and expand the investment channels for residents and so on.

【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F231.1;F822.0

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 邵毅;;公司的資產(chǎn)負(fù)債表渠道對我國貨幣政策傳導(dǎo)的影響[J];中國城市經(jīng)濟(jì);2011年21期

2 王家慶;高山;單卓;;我國貨幣政策信貸傳導(dǎo)機(jī)制有效性的實(shí)證研究[J];經(jīng)濟(jì)論壇;2011年03期

3 宋泓明,閆小娜,王云海;金融加速器理論述評[J];經(jīng)濟(jì)學(xué)動(dòng)態(tài);2003年10期

4 牛慕鴻;;中國居民資產(chǎn)負(fù)債表的變遷機(jī)理與優(yōu)化對策[J];金融發(fā)展評論;2010年05期

5 劉向耘;牛慕鴻;楊娉;;中國居民資產(chǎn)負(fù)債表分析[J];金融研究;2009年10期

6 閆力;劉克宮;張次蘭;;貨幣政策有效性問題研究——基于1998～2009年月度數(shù)據(jù)的分析[J];金融研究;2009年12期

7 高山;;我國貨幣政策傳導(dǎo)機(jī)制有效性的實(shí)證研究——以資產(chǎn)價(jià)格傳導(dǎo)渠道為視角[J];金融與經(jīng)濟(jì);2011年01期

8 孫晶;;我國貨幣市場的政策傳導(dǎo)渠道及其效應(yīng)觀察[J];改革;2010年11期

9 劉艷華;王家傳;;信貸配給理論述評[J];金融發(fā)展研究;2008年06期

10 石長洪;貨幣政策傳導(dǎo)過程中的企業(yè)結(jié)構(gòu)分析[J];上海金融;2005年01期

相關(guān)博士學(xué)位論文 前3條

1 劉金葉;中國貨幣政策的傳導(dǎo)機(jī)制及作用效應(yīng)研究[D];吉林大學(xué);2010年

2 孫勇;中國貨幣政策傳導(dǎo)機(jī)制研究[D];遼寧大學(xué);2010年

3 江群;我國貨幣政策信貸傳導(dǎo)渠道研究[D];湖南大學(xué);2010年

相關(guān)碩士學(xué)位論文 前9條

1 鄭冰;我國貨幣政策傳導(dǎo)機(jī)制研究[D];天津財(cái)經(jīng)大學(xué);2011年

2 郭瑛琰;中國貨幣政策傳導(dǎo)系統(tǒng)有效性研究[D];吉林財(cái)經(jīng)大學(xué);2010年

3 張薇;居民消費(fèi)儲(chǔ)蓄與我國貨幣政策的相關(guān)性研究[D];哈爾濱工業(yè)大學(xué);2010年

4 舒芳;中國貨幣政策利率傳導(dǎo)機(jī)制的有效性研究[D];廣東商學(xué)院;2011年

5 郭磊;我國貨幣政策傳導(dǎo)機(jī)制有效性的實(shí)證研究[D];北京工商大學(xué);2010年

6 石長洪;我國貨幣政策傳導(dǎo)過程中的微觀結(jié)構(gòu)研究[D];西南財(cái)經(jīng)大學(xué);2006年

7 易晶津;我國貨幣政策傳導(dǎo)的資產(chǎn)負(fù)債表渠道效應(yīng)研究[D];湖南大學(xué);2007年

8 劉俊;我國貨幣政策有效性的微觀基礎(chǔ)研究[D];山西財(cái)經(jīng)大學(xué);2009年

9 趙延申;資產(chǎn)負(fù)債表渠道對貨幣政策影響的微觀視角研究[D];浙江工商大學(xué);2010年

，

本文編號：1366031