本文選題：匯率波動 + 金融穩(wěn)定�。� 參考：《浙江大學》2014年博士論文

【摘要】：當前我國實行的有管理的浮動匯率制度并不是最終的匯率選擇,未來我國的匯率可能實現(xiàn)完全浮動,匯率制度的變更會導致匯率波動更加頻繁和劇烈。我國利率市場化進程并沒有完成,利率依舊存在管制,這也影響了匯率制度的完善。同時,我國的資本賬戶開放已經(jīng)逐漸深入,最終趨勢是實現(xiàn)資本賬戶下人民幣可完全兌換。但是結(jié)合國外的相關經(jīng)驗來看,資本賬戶開放速度的快慢、利率的快速市場化會對匯率波動產(chǎn)生不可預知的影響,進而不利于中國金融體系穩(wěn)定。如果不加關注,將會重現(xiàn)日本“失去十年”的悲劇。因此,研究匯率波動與金融穩(wěn)定的關系,對于我國而言十分有必要。而貨幣政策作為中國人民銀行的主要政策工具,有義務維護金融穩(wěn)定和幣值穩(wěn)定,促進經(jīng)濟增長。基于維護中國金融體系穩(wěn)定的目標,貨幣政策如何實現(xiàn)中國幣值穩(wěn)定和金融穩(wěn)定的雙重目標,也就具有重大的理論和現(xiàn)實意義。 本文首先對貨幣危機理論進行回顧,之后借鑒Diamond和Dybvig(1983)和Chang和Velasco(1999,2000,2001)構(gòu)建的金融危機模型,在一個開放經(jīng)濟體中嵌入商業(yè)銀行,建立一個匯率波動與金融穩(wěn)定的理論模型。通過分析外國債權人、短期債務、資本流入的規(guī)模、金融自由化和脆弱性以及資產(chǎn)價格,繁榮和蕭條對匯率波動以及一國商業(yè)銀行擠兌的影響,可以發(fā)現(xiàn)匯率波動可以通過諸多渠道對一國金融穩(wěn)定產(chǎn)生影響,金融自由化以及外國資本流入的增加,尤其當短期資本流入該國,可能加劇銀行的流動性不足,并且增加銀行體系脆弱性。此后,本文利用PVAR方法實證檢驗了匯率波動通過國際收支、資本流動以及資產(chǎn)價格波動渠道對金融穩(wěn)定的影響。結(jié)論顯示匯率波動與金融穩(wěn)定之間存在不十分明顯的互動關系；匯率波動需要通過貿(mào)易渠道、資本流動渠道以及資產(chǎn)價格渠道傳導沖擊各國的金融穩(wěn)定,所產(chǎn)生的影響均大于它們的直接聯(lián)系。最后分析了匯率波動與金融不穩(wěn)定對宏觀經(jīng)濟帶來的不利影響,實證結(jié)果顯示,匯率波動與金融不穩(wěn)定可以導致貨幣政策偏離,極大地削弱央行貨幣政策的有效性,而貨幣政策偏離與金融不穩(wěn)定十分容易誤導社會公眾的預期,導致政策不確定性出現(xiàn),政策不確定性又會反過來促進金融不穩(wěn)定和匯率波動。 貨幣政策作為中國人民銀行的主要政策調(diào)控工具,有義務維護金融穩(wěn)定和幣值穩(wěn)定。此后本文的研究基于中國人民銀行實現(xiàn)人民幣匯率合理波動以及維護金融穩(wěn)定的貨幣政策而展開分析。本文首先建立一個關于匯率波動來源和貨幣政策反應的理論模型,我們發(fā)現(xiàn)匯率變動主要源自兩個方面：來自貿(mào)易變化的沖擊以及來自金融市場的沖擊。然后我們使用兩階段最小二乘法實證檢驗貨幣政策對兩種類型的人民幣匯率波動沖擊的最優(yōu)反應。經(jīng)驗結(jié)果表明：貨幣政策最優(yōu)反應取決于匯率波動來源；當?shù)谝活悈R率波動來源沖擊導致人民幣匯率升值,最優(yōu)貨幣政策反應是提高利率;當?shù)诙悈R率波動來源沖擊導致人民幣匯率升值,最優(yōu)貨幣政策反應是降低利率。其后則探討了在一個新的貨幣政策框架——彈性通貨膨脹目標制下,中央銀行維護金融穩(wěn)定目標的作用機制。其后我們構(gòu)建了一個在彈性通貨膨脹目標制框架下的最優(yōu)貨幣政策模型,得出一個包含金融穩(wěn)定指標的拓展型泰勒規(guī)則模型,并且通過這個拓展型泰勒規(guī)則模型,我們得出結(jié)論,在彈性通貨膨脹目標制框架下,中央銀行需要對金融不穩(wěn)定做出反應。最后,利用時變系數(shù)模型實證檢驗了包含金融穩(wěn)定指標的泰勒規(guī)則模型實現(xiàn)金融穩(wěn)定目標的效果。我們實證估計時變貨幣政策規(guī)則的結(jié)論顯示,中國人民銀行面對金融不穩(wěn)定,尤其在金融危機時期,往往會采取寬松的貨幣政策,降低政策利率來應對金融不穩(wěn)定。 第7章為全文的結(jié)論與建議部分。中國人民銀行要實現(xiàn)維護幣值穩(wěn)定和金融穩(wěn)定的貨幣政策目標,需要進一步完善維護幣值穩(wěn)定和金融穩(wěn)定的貨幣政策框架。一方面,一方面要進一步推進中國人民幣匯率形成機制改革,適當擴大人民幣匯率的浮動區(qū)間;加強對跨境資本流動尤其是對短期資本流動的監(jiān)管,注重資本賬戶開放的節(jié)奏；并且準確識別引起人民幣匯率波動的來源因素,有針對性的實施不同的政策來維護幣值穩(wěn)定。另一方面,我國貨幣政策框架需要盡快向彈性通貨膨脹目標制轉(zhuǎn)變,實現(xiàn)貨幣政策由“相機抉擇型”轉(zhuǎn)向“貨幣規(guī)則型”利率調(diào)控；提高中國人民銀行的獨立性,賦予中國人民銀行獨立執(zhí)行貨幣政策的權利；并且構(gòu)建宏觀審慎政策框架,實行貨幣政策與金融監(jiān)管政策相結(jié)合,切實維護金融體系穩(wěn)定。
[Abstract]:The current management floating exchange rate system in China is not the final exchange rate choice. In the future, the exchange rate of our country may be completely floating, the change of the exchange rate system will lead to more frequent and violent exchange rate fluctuations. The process of the interest rate marketization in China is not completed, the interest rate is still regulated, which also affects the perfection of the exchange rate system. At the same time, the opening of China's capital account has gradually deepened, and the final trend is to realize the complete exchange of RMB under the capital account. However, with the experience of foreign capital account, the speed of capital account opening is fast, the rapid marketization of interest rate will have an uncertain influence on the exchange rate fluctuations, which is not conducive to the stability of the Chinese financial system. If no attention is paid to the tragedy of "losing ten years" in Japan, it is necessary for us to study the relationship between exchange rate fluctuations and financial stability. As the main policy tool of the people's Bank of China, monetary policy is obliged to maintain financial stability and currency stability and promote economic growth. Based on the maintenance of China's financial body, the monetary policy is based on the maintenance of China's financial body. It is of great theoretical and practical significance to achieve stable goals and how to achieve the dual goal of China's currency stability and financial stability.
This paper first reviews the monetary crisis theory, and then uses the financial crisis model constructed by Diamond and Dybvig (1983) and Chang and Velasco (199920002001) to embed commercial banks in an open economy and establish a theoretical model of exchange rate fluctuations and financial stability. By analyzing foreign creditors, short-term debt, capital inflow. Scale, financial liberalization and vulnerability, and the impact of asset prices, prosperity and depression on exchange rate fluctuations and commercial bank runs of a country can find that exchange rate fluctuations can affect a country's financial stability through many channels, financial liberalization and the increase in foreign capital inflows, especially when short-term capital flows into the country. The liquidity of the bank is inadequate and increases the fragility of the banking system. After that, this paper empirically examines the impact of exchange rate fluctuations on financial stability through the balance of payments, capital flows and asset price fluctuations by the PVAR method. The conclusion shows that there is an insignificant interaction relationship between exchange rate fluctuations and financial stability; exchange rate waves are not obvious. The impact of dynamic needs through trade channels, capital flow channels and asset price channels is greater than their direct links. Finally, the adverse effects of exchange rate fluctuations and financial instability on the macro-economy are analyzed. The empirical results show that exchange rate fluctuations and financial instability can lead to goods. The deviation of currency policy greatly weakens the effectiveness of the monetary policy of the central bank, and the deviation of monetary policy and financial instability is very easy to mislead the public's expectations, which leads to the emergence of policy uncertainty, and the policy uncertainty will in turn promote financial instability and exchange rate fluctuations.
As the main policy and control tool of the people's Bank of China, monetary policy has an obligation to maintain financial stability and currency stability. After that, the research is based on the analysis of the monetary policy of the people's Bank of China to realize the reasonable fluctuation of the RMB exchange rate and to maintain the financial stability. This paper first establishes a source and currency of exchange rate fluctuations. The theoretical model of policy response shows that the exchange rate changes mainly come from two aspects: the impact of trade change and the impact of the financial market. Then we use the two stage least square method to test the optimal response of monetary policy to the impact of two types of RMB exchange rate fluctuations. The optimal reaction depends on the source of exchange rate fluctuation; the best monetary policy response is to increase the interest rate when the source impact of the first kind of exchange rate fluctuations leads to the appreciation of the RMB exchange rate; the best monetary policy response is to reduce the interest rate when the second kind of exchange rate fluctuations leads to the appreciation of the RMB exchange rate. Then the new monetary policy is discussed. Frame - the role mechanism of the central bank to maintain financial stability under the target of elastic inflation. After that, we construct an optimal monetary policy model under the framework of elastic inflation target, and obtain an extended Taylor rule model containing the financial stability index, and through this extended Taylor rule model. We conclude that under the framework of elastic inflation target, the central bank needs to respond to financial instability. Finally, the effect of the Taylor rule model, including the financial stability index, to achieve the goal of financial stability is empirically tested by the time-varying coefficient model. The people's Bank of China, in the face of financial instability, especially during the financial crisis, tends to adopt a loose monetary policy and reduce policy interest rates to deal with financial instability.
The seventh chapter is the conclusion and suggestion of the full text. In order to achieve the monetary policy goal of maintaining currency stability and financial stability, the people's Bank of China needs to further improve the monetary policy framework to maintain currency stability and financial stability. On the one hand, it is necessary to further promote the reform of the RMB exchange rate formation mechanism in China and to expand the RMB appropriately. The floating range of the exchange rate; strengthening the regulation of cross-border capital flows, especially for short-term capital flows, paying attention to the pace of the opening of the capital account; and identifying the sources of the fluctuations in the RMB exchange rate accurately, and implementing different policies to maintain the stability of the currency value. On the other hand, the monetary policy framework of China needs to be shot as soon as possible. The change of the target system of sexual inflation, the realization of monetary policy from "discretion" to "monetary rule" interest rate regulation, the improvement of the independence of the people's Bank of China, the right to the independent implementation of monetary policy by the people's Bank of China, and the construction of a macro Prudential policy framework, and the combination of monetary policy and financial regulatory policy. To maintain the stability of the financial system.

【學位授予單位】：浙江大學
【學位級別】：博士
【學位授予年份】：2014
【分類號】：F822.0;F832.5;F832.6

【引證文獻】

相關碩士學位論文 前1條

1 張磊;匯率制度安排與反通脹績效研究[D];山西財經(jīng)大學;2015年

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本文編號：1832057