【摘要】：當前我國宏觀經(jīng)濟形勢良好，但我國貨幣政策調(diào)節(jié)經(jīng)濟運行在促進經(jīng)濟增長和保持物價穩(wěn)定兩個目標之間處于兩難：既要為刺激經(jīng)濟提供貨幣保障，又要預防通貨膨脹。在貨幣政策中利率的運用舉足輕重。隨著我國利率市場化進程的推進，其作用將更加突出。西方發(fā)達市場經(jīng)濟國家有成功的貨幣政策利率傳導機制實踐，并進行了相對成熟的理論研究，，而我國目前的情況是管制利率和市場利率并存，有其特殊性。在上述背景下，本文選擇我國貨幣政策利率傳導機制有效性實證分析作為題目展開研究分析。 研究分析具有重要的理論意義和現(xiàn)實意義。理論意義：對此題目的研究無疑對貨幣政策利率傳導機制理論的豐富很有意義�，F(xiàn)實意義：本文從實證的角度對我國的貨幣政策利率傳導機制的有效性進行分析，能夠定量的展現(xiàn)我國貨幣政策利率傳導機制的有效性狀況及各環(huán)節(jié)的情況，并分析原因、提出對策建議。 本文共分五章。 第一章緒論部分。其中對貨幣政策利率傳導機制實證分析方面的國內(nèi)外相關(guān)文獻進行了綜述。 第二章闡述了貨幣政策相關(guān)理論。包括貨幣政策總述，利率作為中間目標相關(guān)理論，貨幣政策利率傳導機制理論。貨幣政策利率傳導機制理論部分闡述了利率傳導機制相關(guān)的威克賽爾利率傳導機制理論、凱恩斯的利率傳導機制理論、�？怂购蜐h森的利率傳導機制理論、托賓的利率傳導機制理論和泰勒規(guī)則及貨幣政策利率傳導機制理論。 第三章介紹了我國的貨幣政策利率傳導機制狀況。其中介紹了我國的貨幣政策傳導機制和中國的管制利率和市場利率傳導路徑。評述了我國的貨幣政策傳導機制，分析了我國的管制利率和市場利率并存，貨幣政策利率傳導機制的現(xiàn)狀。 第四章是中國貨幣政策利率傳導機制的有效性實證分析。首先介紹了相關(guān)的計量理論及計量模型說明。接著陳述了變量的選取，并對數(shù)據(jù)進行了說明。本文選取的變量指標有貨幣供應量指標，利率指標，消費指標，投資指標，產(chǎn)出指標和物價指標。并進行了數(shù)據(jù)的處理和平穩(wěn)性檢驗。最后運用VAR、VEC模型，和協(xié)整檢驗、格蘭杰因果檢驗、脈沖響應分析、方差分解分析等計量研究方法，從如下五個方面進行了實證分析：貨幣政策市場利率傳導路徑的實證分析、貨幣政策管制利率傳導路徑的實證分析、市場利率和管制利率作用于消費的傳導效應比較研究、市場利率和管制利率作用于投資的傳導效應比較研究、市場利率和管制利率作用于總產(chǎn)出和物價的傳導效應比較研究。這也是本文的創(chuàng)新之處：多角度、全面的對我國市場利率和管制利率并存的貨幣政策利率傳導機制有效性進行了實證分析研究。得出結(jié)論：管制利率和市場利率的利率傳導機制傳導效應都不顯著；管制利率和市場利率的利率傳導機制傳導效應中有些環(huán)節(jié)與理論不一致，甚至相反；管制利率和市場利率的利率傳導機制傳導效應中有些環(huán)節(jié)傳導效應出現(xiàn)滯后的情況。 第五章分析了制約我國利率傳導機制的因素并提出相應的對策建議。制約我國利率傳導機制的因素有：（1）利率非完全市場化制約貨幣政策利率傳導機制有效性。（2）居民的儲蓄和消費對利率變動不敏感。（3）我國企業(yè)投資對利率不敏感。（4）商業(yè)銀行缺乏足夠的利率敏感性。（5）金融市場有待進一步完善，提高資本市場和貨幣市場的效率。（6）仍需提高中央銀行貨幣政策操作的獨立性。對策建議是：我國應進一步推進利率市場化改革，提高金融機構(gòu)、企業(yè)和居民利率敏感性，進一步推進企業(yè)、銀行改革，完善金融市場建設(shè)，增加中央銀行貨幣操作獨立性、完善中央銀行宏觀調(diào)控、加強金融監(jiān)管。使我國的利率傳導機制更加通暢，滿足應對宏觀經(jīng)濟對貨幣政策提出的需求。
[Abstract]:At present, China's macroeconomic situation is good, but China's monetary policy to regulate economic operation is in a dilemma between promoting economic growth and maintaining price stability: both to provide monetary protection to stimulate the economy, but also to prevent inflation. Western developed market economy countries have successfully practiced the interest rate transmission mechanism of monetary policy, and have conducted relatively mature theoretical research. However, China's current situation is the coexistence of controlled interest rate and market interest rate, which has its particularity. Empirical analysis of effectiveness is carried out as a topic.
The research and analysis have important theoretical and practical significance. Theoretical significance: The research on this topic is undoubtedly of great significance to enrich the theory of monetary policy interest rate transmission mechanism. The effectiveness of the policy interest rate transmission mechanism and the situation of each link are analyzed, and the reasons are put forward, and countermeasures and suggestions are put forward.
This article is divided into five chapters.
The first chapter is the introduction, which summarizes the related literatures on empirical analysis of interest rate transmission mechanism of monetary policy at home and abroad.
The second chapter elaborates the relevant theory of monetary policy, including the general introduction of monetary policy, the theory of interest rate as an intermediate target, the theory of interest rate transmission mechanism of monetary policy. Cox and Hansen's theory of interest rate transmission mechanism, Tobin's theory of interest rate transmission mechanism, Taylor's rule and monetary policy theory of interest rate transmission mechanism.
Chapter 3 introduces the transmission mechanism of monetary policy interest rate in China, including the transmission mechanism of monetary policy in China, the transmission path of controlled interest rate and market interest rate in China, the transmission mechanism of monetary policy in China, the coexistence of controlled interest rate and market interest rate, and the transmission mechanism of monetary policy interest rate.
The fourth chapter is the empirical analysis of the effectiveness of the transmission mechanism of interest rate in China's monetary policy.Firstly, it introduces the relevant econometric theories and models.Secondly, it states the selection of variables and explains the data.The variables selected in this paper are money supply index, interest rate index, consumption index, investment index, output index and material index. Finally, using VAR, VEC model, co-integration test, Granger causality test, impulse response analysis, variance decomposition analysis and other econometric methods, we make an empirical analysis from the following five aspects: the empirical analysis of interest rate transmission path in the monetary policy market, monetary policy control profits. The empirical analysis of the transmission path of the rate, the comparative study of the transmission effect of the market interest rate and the regulated interest rate on consumption, the comparative study of the transmission effect of the market interest rate and the regulated interest rate on investment, and the comparative study of the transmission effect of the market interest rate and the regulated interest rate on the total output and the price are the innovations of this paper. It is concluded that the transmission effect of the interest rate transmission mechanism of the controlled interest rate and the market interest rate is not significant, and there are some links and theories in the transmission effect of the interest rate transmission mechanism of the controlled interest rate and the market interest rate. As a result, or even the contrary, some links in the transmission effect of the interest rate transmission mechanism of the regulated interest rate and market interest rate lag behind.
The fifth chapter analyzes the factors that restrict the transmission mechanism of interest rate in China and puts forward corresponding countermeasures and suggestions. The factors that restrict the transmission mechanism of interest rate in China are: (1) imperfect marketization of interest rate restricts the effectiveness of the transmission mechanism of interest rate in monetary policy. (2) Residents'savings and consumption are insensitive to changes in interest rate. (3) Chinese enterprises' investment is insensitive to interest rate. 4) Commercial banks lack sufficient interest rate sensitivity. (5) Financial markets need to be further improved to improve the efficiency of capital markets and money markets. (6) The independence of the central bank's monetary policy operation needs to be improved. We should further promote the reform of enterprises and banks, improve the construction of financial markets, increase the independence of monetary operations of the central bank, improve the macro-control of the central bank, and strengthen financial supervision, so as to make the transmission mechanism of interest rates more smooth and meet the needs of macro-economic policies.
【學位授予單位】：河南大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F822.0;F224

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