本文關(guān)鍵詞：資產(chǎn)價格、通貨膨脹與貨幣政策反應　出處：《華東師范大學》2012年博士論文　論文類型：學位論文

  更多相關(guān)文章： 資產(chǎn)價格 通貨膨脹 信貸螺旋 金融窖藏 貨幣政策

【摘要】：資產(chǎn)價格劇烈波動是20世紀90年代至今世界經(jīng)濟的一個顯著特征。金融體系和資產(chǎn)市場發(fā)展迅速,貨幣供給增長過快帶來了充裕的流動性,與之相伴的是資產(chǎn)價格的大幅波動,給實體經(jīng)濟和貨幣政策帶來了巨大挑戰(zhàn)。本文從探討資產(chǎn)價格與通貨膨脹之間關(guān)系入手,梳理文獻、理論分析與實證分析相結(jié)合,研究資產(chǎn)價格與實體經(jīng)濟、信貸投放和貨幣需求之間的關(guān)系,提出資產(chǎn)價格與通貨膨脹不同演繹路徑的理論解釋,反思貨幣政策針對資產(chǎn)價格做出反應的傳統(tǒng)認識,提出新的完善的中央銀行應對資產(chǎn)價格的政策框架。 理論研究認為,資產(chǎn)價格變動可以通過財富效應、流動性效應對居民消費產(chǎn)生影響,資產(chǎn)價格上漲增加居民財富現(xiàn)值、改善居民流動性,使得居民增加消費需求；資產(chǎn)價格變動可以通過托賓q效應、資產(chǎn)負債表效應和信心效應對企業(yè)投資產(chǎn)生影響,資產(chǎn)價格上漲使得企業(yè)市場價值與資本重置成本的比率上升、使得企業(yè)資產(chǎn)負債表改善、使得充當借貸抵押物的資產(chǎn)價值上升,刺激企業(yè)增加投資。隨著資本市場直接融資比重不斷上升,不動產(chǎn)市場的不斷發(fā)展完善,證券、不動產(chǎn)占社會總資產(chǎn)的比重越來越高,資產(chǎn)價格對消費和投資的影響理應越來越大。但是,根據(jù)對中國近年數(shù)據(jù)的實證檢驗,發(fā)現(xiàn)短期內(nèi)資產(chǎn)價格變動對全社會消費、投資沒有顯著影響,長期內(nèi)資產(chǎn)價格與消費、投資也不存在均衡關(guān)系。意味著資產(chǎn)價格變動影響消費和投資的傳導機制不明顯,同時也意味著資產(chǎn)價格通過影響總需求進而影響通貨膨脹的傳導機制不明顯。通過實證分析又發(fā)現(xiàn),資產(chǎn)價格的波動先行于通貨膨脹變化,但這種相關(guān)性沒有規(guī)律性,二者之間也不存在長期均衡關(guān)系。 資產(chǎn)價格上漲與信貸擴張存在緊密聯(lián)系,既有居民、企業(yè)和銀行之間由于資產(chǎn)價格膨脹帶來的信貸需求和供給的聯(lián)動,又有在信息不對稱、風險分擔機制不合理的情形下,杠桿投資導致的資產(chǎn)價格與信貸擴張的互動。從居民角度看,資產(chǎn)價格上漲意味著居民財富增加,居民借貸的意愿更強；資產(chǎn)價格上漲通過抵押物效應,提高了居民的信貸可得性。從企業(yè)角度看,資產(chǎn)價格上漲意味著企業(yè)市場價值提高,借貸意愿增強；資產(chǎn)價格上漲也改善了企業(yè)資產(chǎn)負債表,提高了企業(yè)的信貸可得性。從銀行角度看,資產(chǎn)價格上漲時期,銀行可以較容易地通過資本市場融資,提高資本充足率,提升風險承受能力和放貸能力；資產(chǎn)價格上漲使得銀行對企業(yè)和自身的盈利預期更加看好,認為信貸風險更加可控,會增加信貸供給。傳統(tǒng)渠道之外,還存在一條投資者通過提高杠桿比率、借貸投資、推動資產(chǎn)價格膨脹,進而獲取投資收益的渠道。在這一渠道中,由于信息不對稱,風險分擔機制設(shè)計存在問題,資產(chǎn)價格上漲得越高越吸引投資者充分利用杠桿率,獲得更多的借貸資金投入資產(chǎn)市場,推動資產(chǎn)價格膨脹,投資者獲取的資本利得也就越高。 將上述各種渠道中資產(chǎn)價格上漲帶來信貸擴張、信貸擴張推動資產(chǎn)價格膨脹的機制綜合起來看,就會發(fā)現(xiàn)兩種機制交替作用構(gòu)成了循環(huán)往復的信貸螺旋。資產(chǎn)價格上漲改善企業(yè)資產(chǎn)負債表,增強居民財富效應,企業(yè)與居民的信貸需求和可得性上升,銀行由于資產(chǎn)價格上漲放貸意愿和能力提高。同時,投資者可以充分利用杠桿率,借貸投資于資產(chǎn)市場,在承擔有限風險的情況下獲取資產(chǎn)價格上漲帶來的好處,資產(chǎn)價格越上漲,杠桿率帶來的收益越高,投資者越有借貸投資的動力,推動資產(chǎn)價格膨脹,循環(huán)往復的作用構(gòu)成了信貸擴張的螺旋。如若信貸難以為繼或資產(chǎn)價格下跌,反過來就演變成資產(chǎn)價格崩潰、信貸緊縮的螺旋,釀成危機。在日本泡沫經(jīng)濟時期、北歐國家銀行危機和美國次債危機之前,都有過這種信貸擴張與資產(chǎn)價格膨脹的典型特征。根據(jù)對近年數(shù)據(jù)的實證分析,發(fā)現(xiàn)中國存在著資產(chǎn)價格與信貸的互動。但是本文已經(jīng)分析得出,資產(chǎn)價格波動通過財富效應、資產(chǎn)負債表效應影響消費、投資的機制不明顯,那么中國資產(chǎn)價格膨脹與信貸擴張就成為游離于實體經(jīng)濟之外的的互動,主要成為投資者通過發(fā)揮杠桿率效應利用借貸資金投資資產(chǎn)市場的結(jié)果。由于金融體系發(fā)展滯后,金融抑制依然嚴重,金融資本投資實體經(jīng)濟渠道不暢,實體經(jīng)濟企業(yè)生存發(fā)展環(huán)境不理想,以及金融體系監(jiān)管制度不健全,加劇了金融資本與資產(chǎn)價格游離于實體經(jīng)濟之外的互動。 經(jīng)驗檢驗發(fā)現(xiàn),貨幣供給增加并沒有馬上反映在通貨膨脹率上升上,貨幣供給增加與通貨膨脹之間的關(guān)系不如理論分析的那么穩(wěn)定。這也啟發(fā)我們將商品市場、資產(chǎn)市場統(tǒng)一納入貨幣需求框架范疇內(nèi)考慮。企業(yè)、金融部門、居民之間會通過儲蓄、投資、利潤、工資、消費構(gòu)筑一個實體經(jīng)濟貨幣循環(huán)。貨幣循環(huán)之外,始終會有部分貨幣滯留在金融系統(tǒng),為資產(chǎn)投資、交易服務,構(gòu)成了金融窖藏的貨幣需求。正因為貨幣循環(huán)和金融窖藏的存在,貨幣供給增加不一定馬上表現(xiàn)為通貨膨脹,貨幣供給增加壓力也不一定均衡地反映在各個市場。但是,貨幣供給與通貨膨脹的關(guān)聯(lián)并未因此隔絕,現(xiàn)實的貨幣存量是貨幣循環(huán)和金融窖藏綜合作用的均衡結(jié)果。在貨幣供給增加的情況下,資產(chǎn)價格與通貨膨脹存在多種演繹路徑的組合。往往由于一般物價水平存在粘性、資產(chǎn)價格對貨幣供給反應更靈敏、實際利率下降等原因,加劇了貨幣需求結(jié)構(gòu)的非均衡性,金融窖藏貨幣需求超過實體經(jīng)濟貨幣循環(huán),資產(chǎn)價格膨脹快于一般物價水平上漲,外在表現(xiàn)就是通貨膨脹低而穩(wěn)定時期資產(chǎn)價格膨脹。等到資產(chǎn)價格與通貨膨脹全面上漲,已是流動性十分“泛濫”的地步了。對于中國實證分析的結(jié)果是,資產(chǎn)價格是影響貨幣需求的重要變量之一,股票價格對貨幣需求的彈性超過了一般物價水平,說明貨幣供給增加、資產(chǎn)價格上漲的現(xiàn)象更容易出現(xiàn)。 不少傳統(tǒng)觀點認為資產(chǎn)價格膨脹是經(jīng)濟過熱的表現(xiàn)、資產(chǎn)價格是通貨膨脹的先行指標、資產(chǎn)價格波動會導致金融不穩(wěn)定,這些成為貨幣政策應對資產(chǎn)價格做出反應的理由。傳統(tǒng)觀點提出了貨幣政策如何對資產(chǎn)價格做出反應的模型,如將資產(chǎn)價格像通貨膨脹缺口一樣納入利率反應方程的政策規(guī)則。但是,根據(jù)本文的研究,資產(chǎn)價格影響總需求的傳導機制不明顯,資產(chǎn)價格穩(wěn)定與通貨膨脹穩(wěn)定不存在必然聯(lián)系,資產(chǎn)價格影響金融穩(wěn)定有其特殊的傳導機制,貨幣政策工具能成功平抑資產(chǎn)價格的一系列前提假設(shè)難以滿足。因此,本文對經(jīng)典理論提出了質(zhì)疑。貨幣政策應對資產(chǎn)價格還存在種種困境和局限：小幅度提高利率難以抑制大幅度資產(chǎn)價格上漲、長期利率對短期利率不敏感、金融窖藏存在“緩沖”存款準備金率提高的機制、開放經(jīng)濟條件下資本流入削弱了貨幣政策效力。由于時機難以把握、政策力度難以掌握、投機性金融交易影響了“經(jīng)濟的真實條件”等原因,貨幣政策應對資產(chǎn)價格甚至會給實體經(jīng)濟帶來更大的負面效應。 考慮到貨幣政策的不足,本文突破資產(chǎn)價格泡沫及其控制的問題本身來探索和完善新的中央銀行應對資產(chǎn)價格的政策框架。針對中國當前的實際情況,貨幣政策不應直接針對資產(chǎn)價格做出反應,不必將資產(chǎn)價格納入通貨膨脹計量指標,應保持穩(wěn)健的貨幣供應量增長規(guī)則,注重搜集和解讀資產(chǎn)價格波動的相關(guān)信息,提高中央銀行獨立性和貨幣政策前瞻性。同時注重金融穩(wěn)定政策與貨幣政策的協(xié)調(diào)配合,加強信貸監(jiān)管,確保信貸流向?qū)嶓w經(jīng)濟,建立和完善逆周期資本緩沖、商業(yè)銀行貸款損失準備動態(tài)調(diào)整制度,加強對資本與金融項目下的審慎監(jiān)管。最后,對全文的研究進行了總結(jié)歸納,提出今后進一步研究的方向。
[Abstract]:The volatility of asset prices is a prominent feature of the world economy since 1990s. The financial system and capital market is developing rapidly, the money supply growth has brought ample liquidity, and are accompanied by sharp fluctuations in asset prices, which brings a great challenge to the real economy and monetary policy. This paper discusses the relationship between assets the price and the inflation of the literature review, theoretical analysis and empirical analysis, the research on asset prices and the real economy, the relationship between credit and currency demand, interpretation of asset prices and inflation in different interpretation path theory, the traditional understanding of monetary policy on asset prices reflect the response, put forward a new perfect framework the central bank to respond to asset price policy.
Theoretical studies suggest that asset price changes can influence through the wealth effect, the liquidity effect on consumption, asset prices increase in household wealth value, improve their liquidity, the residents to increase consumption demand; asset price changes can be obtained through the Tobin q effect, balance sheet effect and confidence effect on investment assets. The ratio of prices makes the enterprise market value and capital replacement cost rise, the enterprise balance sheet improvement, making as borrowing collateral asset price rises, stimulate enterprises to increase investment in the capital market. With the rising proportion of direct financing, the development of real estate market, securities, real estate accounted for an increasing proportion of the society the total assets is higher, the impact of asset prices on consumption and investment should be more and more. However, according to the empirical data of China in recent years, That asset prices in the short term changes in the consumption of the whole society, the investment has no significant impact on asset prices and consumption in the long term, investment does not exist equilibrium relationship. Means that the transmission mechanism of asset price changes affect the consumption and investment is not obvious, but also means that asset prices through affecting the total demand and affect the transmission mechanism of inflation is not obvious through the empirical analysis. It was found that the fluctuation of asset price inflation prior to the change, but this correlation has no regularity, two does not exist between the long-term equilibrium relationship.
There is a close relationship between asset price and credit expansion, both residents, due to the linkage between the enterprise and the bank asset price inflation brought credit demand and supply, and the information asymmetry, risk sharing mechanism is not reasonable under the condition that the interaction between asset price and credit expansion to leverage investment. From the Perspective of residents. Asset prices mean increased household wealth, household borrowing willingness stronger; asset prices through collateral effect, improve their credit availability. From the perspective of enterprises, asset prices means that the enterprise market value increase, borrowing will increase; asset prices also improved the corporate balance sheet, improve the enterprise credit availability. From the point of view of the bank, the asset price rises, banks can more easily through the capital market financing, improve the capital adequacy ratio, improve risk Bearing capacity and lending ability; asset prices allow banks to enterprises and their profit is expected to more optimistic, that the credit risk is more controllable, will increase the supply of credit. The traditional channel, there is a investors by increasing the leverage ratio, loan investment, pushing asset price inflation, and obtain investment returns in this channel. A channel, because of the information asymmetry, the problems of risk sharing mechanism, asset prices higher to attract investors to make full use of leverage, get more borrowing money into assets market, promote asset price inflation, investors get capital gains is higher.
The various channels in asset prices brought about credit expansion mechanism, promote the expansion of credit asset price inflation together, you will find two alternate mechanism functions of the spiral cycle. Credit asset prices improve corporate balance sheets, enhance residents' wealth effect, the credit needs of enterprises and residents and to rise the bank due to rising asset prices willingness and ability to increase lending. At the same time, investors can make full use of leverage, borrowing to invest in asset markets, to obtain the benefits of rising asset prices in bear limited risk, asset prices rose more, leverage the benefits of the higher power of investors more lending and investment, promote asset price inflation, cyclical effect constitutes a spiral of credit expansion. If credit is difficult to continue or fall in asset prices, in turn, evolution As asset prices collapse, spiral, the credit crunch crisis. In Japan's bubble economy period, before the Nordic banking crisis and the U.S. subprime crisis, are typical of this credit expansion and asset price inflation. According to the analysis of the empirical data in recent years, there are Chinese interaction between asset price and credit but. This paper has analyzed the fluctuation of asset prices through the wealth effect, balance sheet effect consumption, investment mechanism is not obvious, so Chinese asset price inflation and credit expansion will become free from outside the economic entity through interaction, mainly through the leverage effect as investors play by borrowing funds to invest in asset markets due to the financial results. System development lags behind, financial repression is still serious, the financial capital investment in the real economy channel is not smooth, the real economy of enterprise survival and development environment is not ideal As well as the unsound regulatory system of the financial system, the interaction of financial capital and asset prices beyond the real economy is exacerbated.
Empirical research show that the increase in the money supply is not immediately reflected in the rise in inflation, the increase in the money supply analysis and the relationship between the theory of inflation not so stable. It also inspired us to the commodity market, capital market into a unified framework of the money demand category. Enterprises, the financial sector, between residents through savings and investment, profits, wages, consumption and build a real economy. Monetary circulation of money circulation, there will always be some money stranded in the financial system, for investment, trading services, a financial hoarding money demand. Because of currency circulation and financial hoarding exists, the money supply increases not immediately for inflation, currency increase the supply pressure is not necessarily well balanced in each market. However, between money supply and inflation is not so isolated, real money Stock is the equilibrium result of the comprehensive effect of monetary circulation and financial hoarding. The increase in money supply, asset prices and inflation are a variety of combinations. Often deductive path due to the general price level stickiness, the reaction of asset prices on monetary supply is more sensitive, because the real interest rate decline, exacerbated by the disequilibrium of the money demand structure the financial hoarding of money demand exceeds the real economy monetary cycle, asset price inflation is faster than the general price level rose, external performance is low and stable inflation in asset price inflation. When asset prices and inflation is rising overall, liquidity is flood stage. For the China empirical analysis, asset price is one of the important variables that influence money demand elasticity, the stock price on the demand for money than the general price level, the currency The increase in supply and the rise in asset prices are more likely to occur.
Many of the traditional view that asset price inflation is a symptom of overheating, the asset price is a leading indicator of inflation, asset price volatility will lead to financial instability, these reasons become the monetary policy to deal with asset prices make the reaction. The traditional view of the monetary policy to respond to asset price model, such as the interest rate will be incorporated into the reaction equation the policy rules like asset price inflation gap. However, according to this study, the asset price transmission mechanism of total demand is not obvious, asset price stability and inflation stability is not the inevitable connection, has its special effect on asset prices transmission mechanism of financial stability, monetary policy tools to a series of assumptions of success to stabilize asset prices it is difficult to meet. Therefore, this paper raised the question of the classical theory. To deal with asset price monetary policy still exist in various Difficulties and limitations: a small increase in interest rates is difficult to suppress a substantial rise in asset prices, long-term interest rates are not sensitive to short-term interest rates, financial hoarding has a "buffer" deposit reserve rate increase mechanism, under the condition of open economy capital inflows weakened the effectiveness of monetary policy. As the time difficult to grasp, it is difficult to grasp the policy, speculative financial transactions affected "the real economic conditions and other reasons, to deal with asset price monetary policy even more will bring negative effect to the real economy.
Considering the lack of monetary policy, the asset price bubble break itself and its control to explore and improve the central bank to respond to asset price of the new policy framework. According to the actual situation of the current Chinese, monetary policy should not respond directly to asset prices, asset price inflation will not included in the measurement index, should maintain a prudent monetary supply growth rules, pay attention to the relevant information collection and interpretation of the volatility of asset prices, improve the independence of the central bank and monetary policy prospective. At the same time pay attention to the coordination of financial stability policy and monetary policy coordination, strengthen the credit supervision, to ensure the flow of credit to the real economy, establish and improve the counter cyclical capital, commercial bank loan loss reserve dynamic the adjustment of the system, strengthen the prudential supervision of capital and financial projects. Finally, a summary of the full text of the study, provided The future direction of further research.

【學位授予單位】：華東師范大學
【學位級別】：博士
【學位授予年份】：2012
【分類號】：F822;F832;F224

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1 中國金融40人論壇成員 中國銀行公司金融總部客戶關(guān)系總監(jiān) 黃金老;[N];21世紀經(jīng)濟報道;2009年

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