人民幣發(fā)行方式與利率市場(chǎng)化的關(guān)系研究
發(fā)布時(shí)間：2018-08-14 11:29
【摘要】：自2002年以來,購買外匯成為我國(guó)央行發(fā)行基礎(chǔ)貨幣的主要方式。在2004年11月至2012年5月的七年多時(shí)間里,金融機(jī)構(gòu)存貸款利率的市場(chǎng)化沒有取得任何進(jìn)展,而在這期間,人民銀行的外匯占款從43490.01億元增加到235159.32億元,我國(guó)通過購買外匯發(fā)行貨幣的方式對(duì)利率市場(chǎng)化產(chǎn)生了什么樣的影響呢?隨著存款利率市場(chǎng)化的進(jìn)一步推進(jìn),人民幣發(fā)行機(jī)制和貨幣政策調(diào)控框架會(huì)受到什么影響呢?人民幣發(fā)行方式如何適應(yīng)利率完全市場(chǎng)化的要求呢?這是本論文要系統(tǒng)研究的問題。本文采用邏輯推理的理論分析、關(guān)系等式的數(shù)學(xué)推導(dǎo)、時(shí)間序列數(shù)據(jù)的計(jì)量分析[具體包括:ADF單位根檢驗(yàn)、Johansen協(xié)整檢驗(yàn)以及基于向量自回歸(VAR)模型和向量誤差修正(VEC)模型的格蘭杰因果檢驗(yàn)、脈沖響應(yīng)函數(shù)和方差分解等計(jì)量分析]等方法,系統(tǒng)研究人民幣發(fā)行方式與利率市場(chǎng)化之間相互影響的內(nèi)在機(jī)制,在此基礎(chǔ)上,本文基于利率完全市場(chǎng)化對(duì)貨幣政策框架的要求,提出了人民幣發(fā)行方式的改革措施,并分析了利率完全市場(chǎng)化改革的條件和時(shí)機(jī),提出了利率完全市場(chǎng)化改革的步驟和措施。本文主要工作包括以下幾個(gè)方面:一、研究了貨幣發(fā)行方式。貨幣發(fā)行方式表現(xiàn)為中央銀行資產(chǎn)負(fù)債的變動(dòng);購買國(guó)債、購買外匯和央行貸款是三大主要貨幣發(fā)行方式,其中買賣國(guó)債可以有效地穩(wěn)定市場(chǎng)利率,買賣外匯更多地是為了穩(wěn)定本幣匯率,央行貸款可以有效地防止市場(chǎng)利率過度上升;基于央行損益的視角,國(guó)外中央銀行十分重視自身的資產(chǎn)風(fēng)險(xiǎn)管理。境外基礎(chǔ)貨幣的發(fā)行方式呈現(xiàn)“買賣國(guó)債為主、央行貸款為輔”的特點(diǎn)。購買外匯發(fā)行人民幣的匯率形成機(jī)制是我國(guó)貨幣發(fā)行方式的主要特點(diǎn)。法定存款準(zhǔn)備金率、銀行外匯頭寸管理和存貸比管理規(guī)定等貨幣供應(yīng)方式影響商業(yè)銀行的資金使用方向。在利率管制時(shí)期,央行更多地通過調(diào)整法定存款準(zhǔn)備金率來影響貨幣乘數(shù)和貨幣供應(yīng)方式;而在利率完全市場(chǎng)化時(shí)期,央行只能通過調(diào)整超額準(zhǔn)備金利率來影響貨幣乘數(shù)和貨幣供應(yīng)方式。人民幣發(fā)行方式和我國(guó)貨幣供應(yīng)方式相互影響、相互制約,兩者緊密聯(lián)系共同決定人民幣匯率、貨幣市場(chǎng)利率、中長(zhǎng)期利率和利率期限結(jié)構(gòu)。二、研究了利率市場(chǎng)化。從狹義上看,我國(guó)利率市場(chǎng)化只剩下關(guān)鍵的最后一步:完全放開銀行存款利率的限制,從廣義上看,還包括央行對(duì)利率管理方式轉(zhuǎn)變:央行利率市場(chǎng)化、利率穩(wěn)定機(jī)制、利率期限傳導(dǎo)機(jī)制以及貨幣政策傳導(dǎo)渠道的完善等;上海銀行間同業(yè)拆放利率(SHIBOR)已經(jīng)成為我國(guó)貨幣市場(chǎng)基準(zhǔn)利率;國(guó)債收益率初步成為中長(zhǎng)期利率的基準(zhǔn)利率;準(zhǔn)備金利率相對(duì)過低且長(zhǎng)期不變;央行票據(jù)利率高于同期限國(guó)債收益率。中央行票據(jù)利率、公開市場(chǎng)短期流動(dòng)性調(diào)節(jié)工具(SLO)利率、常設(shè)借貸便利(SLF)利率等央行利率與貨幣市場(chǎng)利率保持高度同步一致性,而法定準(zhǔn)備金利率、超額準(zhǔn)備金利率、再貸款利率、再貼現(xiàn)利率等央行利率則與貨幣市場(chǎng)利率相差很大,不具同步性。央行利率應(yīng)該與貨幣市場(chǎng)利率保持同步調(diào)整,逐步接近貨幣市場(chǎng)利率水平,最終按貨幣市場(chǎng)利率計(jì)價(jià),實(shí)現(xiàn)央行利率市場(chǎng)化。三、研究了貨幣供給方式與市場(chǎng)利率的關(guān)系。公開市場(chǎng)操作發(fā)行基礎(chǔ)貨幣和調(diào)整法定存款準(zhǔn)備金率共同作用決定了貨幣市場(chǎng)利率,貨幣供求和債券供求共同決定中長(zhǎng)期利率;國(guó)外主要通過公開市場(chǎng)操作而不是調(diào)整法定準(zhǔn)備金率來影響短期利率,國(guó)外不對(duì)商業(yè)銀行的資金流向進(jìn)行限制,因此利率期限傳導(dǎo)是暢通的、有效的;我國(guó)既通過公開市場(chǎng)操作,又通過調(diào)整法定存款準(zhǔn)備金率來影響短期利率,其中法定存款準(zhǔn)備金率調(diào)整影響更大;我國(guó)規(guī)定商業(yè)銀行的存貸比不得超過75%,這影響利率期限傳導(dǎo),影響著中長(zhǎng)期利率。存款性金融機(jī)構(gòu)與央行共同決定國(guó)債的主要需求,決定我國(guó)中長(zhǎng)期利率,存款性金融機(jī)構(gòu)起到的作用相對(duì)更大。四、研究了人民幣發(fā)行方式對(duì)利率市場(chǎng)化的制約。購買外匯發(fā)行人民幣扭曲貨幣供求平衡,降低了存款準(zhǔn)備金利率,助長(zhǎng)了影子銀行和熱錢流入,既不利于存款利率市場(chǎng)化,又不利于貸款利率市場(chǎng)化;購買外匯的人民幣發(fā)行方式和商業(yè)銀行存貸比管理規(guī)定造成“短期利率長(zhǎng)期遠(yuǎn)高于長(zhǎng)期利率”的不正�，F(xiàn)象并阻礙短期利率向中期利率的傳導(dǎo)。央行購買外匯發(fā)行人民幣的匯率形成機(jī)制、央行在資產(chǎn)負(fù)債表內(nèi)代理國(guó)庫、法定準(zhǔn)備金的計(jì)算期和持有期都采用時(shí)點(diǎn)法、銀行存貸比規(guī)定、M2增長(zhǎng)率以月末數(shù)據(jù)統(tǒng)計(jì)、影子銀行和熱錢流入等是造成我國(guó)貨幣市場(chǎng)即時(shí)利率劇烈波動(dòng)的根本原因;央行票據(jù)利率招標(biāo)和國(guó)庫現(xiàn)金管理利率招標(biāo)對(duì)穩(wěn)定貨幣市場(chǎng)即時(shí)交易利率不但無效,反而起到推波助瀾的負(fù)面作用;常備借貸便利(SLF)和公開市場(chǎng)短期流動(dòng)性調(diào)節(jié)工具(SLO)不能有效地平抑在一天以內(nèi)乃至一周以內(nèi)貨幣市場(chǎng)利率的過度上升;長(zhǎng)期過低的超額存款準(zhǔn)備金利率加劇貨幣市場(chǎng)利率的上下波動(dòng)范圍。五、研究了利率完全市場(chǎng)化對(duì)人民幣發(fā)行方式的要求。存貸利率管制催生購買外匯發(fā)行人民幣。從改革發(fā)展的角度看,以全國(guó)銀行間同業(yè)拆借隔夜利率作為貨幣政策利率進(jìn)行培養(yǎng)是必然選擇。我國(guó)貨幣政策傳導(dǎo)渠道主要以匯率和信貸為主,利率作用很小,其原因是央行購買外匯發(fā)行人民幣的匯率形成機(jī)制,央行購買外匯使人民幣匯率的貨幣政策傳導(dǎo)效應(yīng)特別放大;并且,央行購買外匯發(fā)行基礎(chǔ)貨幣使貨幣供應(yīng)快速增長(zhǎng),促使人民幣信貸快速增加,因此,信貸在貨幣政策傳導(dǎo)效應(yīng)突現(xiàn);加上利率期限傳導(dǎo)不暢通,短期利率難以傳導(dǎo)到中長(zhǎng)期利率,造成短期市場(chǎng)利率在貨幣政策傳導(dǎo)效應(yīng)中的作用降低。隔夜交易利率是利率完全市場(chǎng)化下貨幣政策利率的必要條件;基于穩(wěn)定貨幣市場(chǎng)利率、疏通利率期限傳導(dǎo)、提高利率在貨幣政策傳導(dǎo)渠道中的作用、央行利率市場(chǎng)化和央行的資產(chǎn)風(fēng)險(xiǎn)管理及其資本金約束等方面的考慮,人民幣發(fā)行方式必須改革到“以購買國(guó)債為主、央行貸款為輔”的軌道上來。
[Abstract]:Since 2002, the purchase of foreign exchange has become the main way for the central bank to issue the basic currency. During the seven years from November 2004 to May 2012, no progress has been made in the marketization of the deposit and loan interest rates of financial institutions. During this period, the foreign exchange share of the People's Bank of China has increased from 4349.01 billion yuan to 2351.532 billion yuan. How does the way of issuing foreign exchange affect the marketization of interest rates? With the further promotion of the marketization of deposit interest rates, how will the mechanism of issuing RMB and the framework of monetary policy be affected? How does the way of issuing RMB adapt to the requirement of full marketization of interest rates? This is a systematic question to be studied in this paper. In this paper, theoretical analysis of logical reasoning, mathematical deduction of relational equations, quantitative analysis of time series data [including: ADF unit root test, Johansen cointegration test, Granger causality test based on vector autoregressive (VAR) model and vector error correction (VEC) model, impulse response function and variance decomposition, etc.] This paper systematically studies the intrinsic mechanism of the interaction between the issuing mode of RMB and the marketization of interest rate. On this basis, based on the requirement of the complete marketization of interest rate on the framework of monetary policy, this paper puts forward the reform measures of the issuing mode of RMB, analyzes the conditions and timing of the full Marketization of interest rate, and puts forward the interest rate. The main work of this paper includes the following aspects: First, the mode of currency issuance is studied. The mode of currency issuance is represented by the change of assets and liabilities of the central bank; Purchasing Treasury bonds, foreign exchange and central bank loans are the three major modes of currency issuance, in which buying and selling Treasury bonds can effectively stabilize market profits. The foreign exchange rate is more to stabilize the exchange rate of the local currency. Central bank loans can effectively prevent excessive rise of market interest rates. From the perspective of central bank profits and losses, foreign central banks attach great importance to their own asset risk management. The exchange rate formation mechanism of RMB issuing by foreign exchange is the main feature of the currency issuing mode in China. Currency multiplier and money supply mode; and in the period of full market-oriented interest rate, the central bank can only influence the currency multiplier and money supply mode by adjusting the excess reserve rate. In a narrow sense, there is only one crucial last step left in the liberalization of interest rate in China: completely liberalizing the restriction of bank deposit interest rate, and broadly speaking, including the change of the management mode of interest rate by the central bank: the liberalization of interest rate, the stabilization mechanism of interest rate, and the transmission mechanism of interest rate term. Shanghai Interbank Offered Rate (SHIBOR) has become the benchmark interest rate of China's money market; the yield of treasury bonds has initially become the benchmark interest rate of medium and long-term interest rates; the reserve rate is relatively low and unchanged for a long time; the central bank bill rate is higher than the yield of treasury bonds of the same period. The interest rates of the central bank such as the open market short-term liquidity regulator (SLO), the permanent lending facility (SLF) and other central bank interest rates keep a high degree of synchronization with the money market interest rates, while the interest rates of the central bank such as the statutory reserve rate, the excess reserve rate, the refinancing rate and the rediscount rate differ greatly from the money market interest rates and do not have synchronization. We should keep pace with the interest rate of the money market, gradually approach the interest rate of the money market, and finally realize the marketization of the interest rate of the central bank according to the interest rate of the money market. Market interest rate, money supply and demand and bond supply and demand determine the medium and long-term interest rate together; foreign countries mainly through open market operation rather than adjusting the statutory reserve ratio to affect short-term interest rate, foreign banks do not restrict the flow of funds, so the term transmission of interest rate is smooth and effective; China is through open market operation, but also smooth. The adjustment of statutory reserve ratio has a greater impact on short-term interest rate, and the adjustment of statutory reserve ratio has a greater impact; China stipulates that the deposit-loan ratio of commercial banks should not exceed 75%, which affects the term transmission of interest rates and affects the medium-term and long-term interest rates. Fourth, the paper studies the restriction of RMB issuance on interest rate liberalization. Purchasing foreign exchange issuing RMB distorts the balance of money supply and demand, reduces the interest rate of deposit reserve, promotes the inflow of shadow banks and hot money, which is not conducive to the marketization of deposit interest rate, but also to the market of loan interest rate. The abnormal phenomenon of "short-term interest rate is far higher than long-term interest rate" caused by the way of issuing RMB for foreign exchange purchase and the regulation of deposit-loan ratio of commercial banks and hindered the transmission of short-term interest rate to medium-term interest rate. The calculation period and holding period of gold are both time-point method, bank deposit-loan ratio stipulates, M2 growth rate is calculated by month-end data, shadow bank and hot money inflow are the basic reasons for the sharp fluctuation of real-time interest rate in China's money market; the tender of central bank bill interest rate and the tender of treasury cash management interest rate will not stabilize the real-time transaction interest rate in the money market. But ineffectiveness, but play a negative role in fueling the waves; standing lending facilities (SLF) and open market short-term liquidity adjustment tools (SLO) can not effectively suppress the excessive rise of money market interest rates within a day or even a week; long-term excess deposit reserve interest rate is too low to aggravate the fluctuation range of money market interest rates. From the point of view of reform and development, it is an inevitable choice to cultivate the national interbank lending overnight rate as the monetary policy interest rate. Interest rate plays a very small role, because the central bank purchases foreign exchange to issue RMB exchange rate formation mechanism, the central bank purchases foreign exchange to make the monetary policy transmission effect of RMB exchange rate particularly enlarged; moreover, the central bank purchases foreign exchange to issue the basic currency to make the money supply grow rapidly, prompting the rapid increase of RMB credit, therefore, credit in monetary policy transmission. The overnight trading interest rate is the necessary condition for the monetary policy interest rate under the complete market-oriented interest rate. Based on stabilizing the interest rate in the money market, the term transmission of interest rate is smoothed. Considering the role of interest rate in monetary policy transmission channel, interest rate marketization of central bank, asset risk management and capital constraints of central bank, the issuing mode of Renminbi must be reformed to the track of "purchasing treasury bonds primarily and central bank loans supplemented".
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2015
【分類號(hào)】：F822.2;F832.5
本文編號(hào)：2182713
[Abstract]:Since 2002, the purchase of foreign exchange has become the main way for the central bank to issue the basic currency. During the seven years from November 2004 to May 2012, no progress has been made in the marketization of the deposit and loan interest rates of financial institutions. During this period, the foreign exchange share of the People's Bank of China has increased from 4349.01 billion yuan to 2351.532 billion yuan. How does the way of issuing foreign exchange affect the marketization of interest rates? With the further promotion of the marketization of deposit interest rates, how will the mechanism of issuing RMB and the framework of monetary policy be affected? How does the way of issuing RMB adapt to the requirement of full marketization of interest rates? This is a systematic question to be studied in this paper. In this paper, theoretical analysis of logical reasoning, mathematical deduction of relational equations, quantitative analysis of time series data [including: ADF unit root test, Johansen cointegration test, Granger causality test based on vector autoregressive (VAR) model and vector error correction (VEC) model, impulse response function and variance decomposition, etc.] This paper systematically studies the intrinsic mechanism of the interaction between the issuing mode of RMB and the marketization of interest rate. On this basis, based on the requirement of the complete marketization of interest rate on the framework of monetary policy, this paper puts forward the reform measures of the issuing mode of RMB, analyzes the conditions and timing of the full Marketization of interest rate, and puts forward the interest rate. The main work of this paper includes the following aspects: First, the mode of currency issuance is studied. The mode of currency issuance is represented by the change of assets and liabilities of the central bank; Purchasing Treasury bonds, foreign exchange and central bank loans are the three major modes of currency issuance, in which buying and selling Treasury bonds can effectively stabilize market profits. The foreign exchange rate is more to stabilize the exchange rate of the local currency. Central bank loans can effectively prevent excessive rise of market interest rates. From the perspective of central bank profits and losses, foreign central banks attach great importance to their own asset risk management. The exchange rate formation mechanism of RMB issuing by foreign exchange is the main feature of the currency issuing mode in China. Currency multiplier and money supply mode; and in the period of full market-oriented interest rate, the central bank can only influence the currency multiplier and money supply mode by adjusting the excess reserve rate. In a narrow sense, there is only one crucial last step left in the liberalization of interest rate in China: completely liberalizing the restriction of bank deposit interest rate, and broadly speaking, including the change of the management mode of interest rate by the central bank: the liberalization of interest rate, the stabilization mechanism of interest rate, and the transmission mechanism of interest rate term. Shanghai Interbank Offered Rate (SHIBOR) has become the benchmark interest rate of China's money market; the yield of treasury bonds has initially become the benchmark interest rate of medium and long-term interest rates; the reserve rate is relatively low and unchanged for a long time; the central bank bill rate is higher than the yield of treasury bonds of the same period. The interest rates of the central bank such as the open market short-term liquidity regulator (SLO), the permanent lending facility (SLF) and other central bank interest rates keep a high degree of synchronization with the money market interest rates, while the interest rates of the central bank such as the statutory reserve rate, the excess reserve rate, the refinancing rate and the rediscount rate differ greatly from the money market interest rates and do not have synchronization. We should keep pace with the interest rate of the money market, gradually approach the interest rate of the money market, and finally realize the marketization of the interest rate of the central bank according to the interest rate of the money market. Market interest rate, money supply and demand and bond supply and demand determine the medium and long-term interest rate together; foreign countries mainly through open market operation rather than adjusting the statutory reserve ratio to affect short-term interest rate, foreign banks do not restrict the flow of funds, so the term transmission of interest rate is smooth and effective; China is through open market operation, but also smooth. The adjustment of statutory reserve ratio has a greater impact on short-term interest rate, and the adjustment of statutory reserve ratio has a greater impact; China stipulates that the deposit-loan ratio of commercial banks should not exceed 75%, which affects the term transmission of interest rates and affects the medium-term and long-term interest rates. Fourth, the paper studies the restriction of RMB issuance on interest rate liberalization. Purchasing foreign exchange issuing RMB distorts the balance of money supply and demand, reduces the interest rate of deposit reserve, promotes the inflow of shadow banks and hot money, which is not conducive to the marketization of deposit interest rate, but also to the market of loan interest rate. The abnormal phenomenon of "short-term interest rate is far higher than long-term interest rate" caused by the way of issuing RMB for foreign exchange purchase and the regulation of deposit-loan ratio of commercial banks and hindered the transmission of short-term interest rate to medium-term interest rate. The calculation period and holding period of gold are both time-point method, bank deposit-loan ratio stipulates, M2 growth rate is calculated by month-end data, shadow bank and hot money inflow are the basic reasons for the sharp fluctuation of real-time interest rate in China's money market; the tender of central bank bill interest rate and the tender of treasury cash management interest rate will not stabilize the real-time transaction interest rate in the money market. But ineffectiveness, but play a negative role in fueling the waves; standing lending facilities (SLF) and open market short-term liquidity adjustment tools (SLO) can not effectively suppress the excessive rise of money market interest rates within a day or even a week; long-term excess deposit reserve interest rate is too low to aggravate the fluctuation range of money market interest rates. From the point of view of reform and development, it is an inevitable choice to cultivate the national interbank lending overnight rate as the monetary policy interest rate. Interest rate plays a very small role, because the central bank purchases foreign exchange to issue RMB exchange rate formation mechanism, the central bank purchases foreign exchange to make the monetary policy transmission effect of RMB exchange rate particularly enlarged; moreover, the central bank purchases foreign exchange to issue the basic currency to make the money supply grow rapidly, prompting the rapid increase of RMB credit, therefore, credit in monetary policy transmission. The overnight trading interest rate is the necessary condition for the monetary policy interest rate under the complete market-oriented interest rate. Based on stabilizing the interest rate in the money market, the term transmission of interest rate is smoothed. Considering the role of interest rate in monetary policy transmission channel, interest rate marketization of central bank, asset risk management and capital constraints of central bank, the issuing mode of Renminbi must be reformed to the track of "purchasing treasury bonds primarily and central bank loans supplemented".
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2015
【分類號(hào)】：F822.2;F832.5
【參考文獻(xiàn)】
相關(guān)期刊論文 前5條
1 王國(guó)剛;;中國(guó)貨幣政策調(diào)控工具的操作機(jī)理:2001—2010[J];中國(guó)社會(huì)科學(xué);2012年04期
2 黃志剛;;貨幣政策與貿(mào)易不平衡的調(diào)整[J];經(jīng)濟(jì)研究;2011年03期
3 易綱;;中國(guó)改革開放三十年的利率市場(chǎng)化進(jìn)程[J];金融研究;2009年01期
4 徐爽;李宏瑾;;一個(gè)利率市場(chǎng)化的理論模型[J];世界經(jīng)濟(jì);2006年06期
5 謝平,羅雄;泰勒規(guī)則及其在中國(guó)貨幣政策中的檢驗(yàn)[J];經(jīng)濟(jì)研究;2002年03期
，本文編號(hào)：2182713
本文鏈接：http://sikaile.net/guanlilunwen/zhqtouz/2182713.html
最近更新
教材專著
