本文選題：DSGE模型 + 貨幣政策�。� 參考：《天津財(cái)經(jīng)大學(xué)》2014年碩士論文

【摘要】：2008年以來(lái),中國(guó)的影子銀行規(guī)模迅速膨脹,形成了影子銀行系統(tǒng)與傳統(tǒng)銀行體系的雙重運(yùn)行結(jié)構(gòu),對(duì)金融市場(chǎng)和實(shí)體經(jīng)濟(jì)運(yùn)行產(chǎn)生了越來(lái)越深刻的影響。盡管我國(guó)的影子銀行體系與發(fā)達(dá)國(guó)家相比存在較大差異,但它的產(chǎn)生模糊了中央銀行貨幣政策的窗口指導(dǎo)口徑,放大了市場(chǎng)的貨幣供給量或改變了貨幣供給渠道,影響了貨幣政策的實(shí)施效果。在雙重金融結(jié)構(gòu)下如何完善貨幣政策操作目標(biāo)體系和優(yōu)化各種貨幣政策工具,使得包含影子銀行在內(nèi)的社會(huì)融資總量和結(jié)構(gòu)處于合理水平,有效引導(dǎo)其流量和方向與貨幣政策目標(biāo)一致,切實(shí)推動(dòng)經(jīng)濟(jì)結(jié)構(gòu)的戰(zhàn)略性調(diào)整和經(jīng)濟(jì)增長(zhǎng)方式的轉(zhuǎn)變,自然成為當(dāng)前迫切需要解決的問(wèn)題。文章的研究主要分為兩部分。其一,對(duì)影子銀行與傳統(tǒng)銀行體系雙重結(jié)構(gòu)下價(jià)格型與數(shù)量型貨幣政策工具的實(shí)施效果進(jìn)行比較分析。文章將影子銀行體系納入經(jīng)濟(jì)運(yùn)行系統(tǒng)中,構(gòu)建了包含家庭、商業(yè)銀行、影子銀行、廠商、中央銀行的完整DSGE模型,并依據(jù)2010-2012年的數(shù)據(jù),比較分析了影子銀行貸款額、影子銀行貸款利率、國(guó)內(nèi)產(chǎn)出、通貨膨脹對(duì)價(jià)格型貨幣政策工具與數(shù)量型貨幣政策工具的沖擊響應(yīng)；其二,對(duì)雙重金融結(jié)構(gòu)與利率市場(chǎng)化下價(jià)格型貨幣政策工具的實(shí)施效果進(jìn)行比較分析。在該部分的研究中,文章對(duì)模型進(jìn)行了擴(kuò)展,將廠商部門(mén)分解為中間廠商、最終廠商及資本生產(chǎn)商,比較分析了雙重金融結(jié)構(gòu)與利率市場(chǎng)化下產(chǎn)出、消費(fèi)、資本累積、通脹對(duì)價(jià)格型貨幣政策工具的沖擊響應(yīng)。研究結(jié)果表明,對(duì)于價(jià)格型貨幣政策工具,其對(duì)影子銀行貸款額的影響最大,對(duì)其他變量的影響程度依次是通貨膨脹、影子銀行貸款利率和國(guó)內(nèi)產(chǎn)出；對(duì)于數(shù)量型貨幣政策工具,其對(duì)影子銀行貸款額的影響最大,對(duì)其他變量的影響程度依次是影子銀行貸款利率、國(guó)內(nèi)產(chǎn)出和通貨膨脹。就數(shù)量型與價(jià)格型貨幣政策工具比較而言,數(shù)量型貨幣政策工具對(duì)產(chǎn)出和影子銀行貸款額的沖擊強(qiáng)于價(jià)格型,對(duì)影子銀行貸款利率的沖擊弱于價(jià)格型,二者對(duì)通貨膨脹的沖擊基本相同。雙重金融結(jié)構(gòu)下的主要經(jīng)濟(jì)變量如產(chǎn)出、消費(fèi)、通脹、資本累積等對(duì)價(jià)格型貨幣政策沖擊具有與利率市場(chǎng)下相似的響應(yīng)模式,但響應(yīng)幅度弱于后者。雙重金融結(jié)構(gòu)下的價(jià)格型貨幣政策沖擊響應(yīng)在一定程度上被削弱。
[Abstract]:Since 2008, the size of the shadow banking in China has expanded rapidly, forming the dual operation structure of the shadow banking system and the traditional banking system, which has produced more and more profound influence on the financial market and the real economy. Although the shadow banking system in China has a large difference compared with the developed country, its production blurs the central part. The window guidance of bank monetary policy amplifies the supply of money in the market or changes the channel of money supply, which affects the effect of monetary policy implementation. Under the dual financial structure, how to improve the target system of monetary policy and optimize various monetary policy tools and make the total amount of social financing including the shadow Bank and the sum of the social financing. The research on the dual structure of the shadow bank and the traditional banking system is mainly divided into two parts: the rational level, the effective guidance of its flow and direction and the monetary policy objectives, the practical promotion of the strategic adjustment of the economic structure and the transformation of the mode of economic growth. A comparative analysis is made between the implementation effect of the monetary policy tool and the quantitative monetary policy tool. The article puts the shadow banking system into the economic operation system, and constructs a complete DSGE model including the family, commercial bank, shadow bank, manufacturer and central bank. Based on the data of 2010-2012 years, the shadow bank loan amount and the shadow bank loan are compared and analyzed. The impact of interest rate, domestic output, inflation on the price type monetary policy tool and the quantitative monetary policy tool; secondly, to compare the implementation effect of the dual financial structure and the price type monetary policy tool under the interest rate marketization. In this part, the article expands the model and decomposes the manufacturer's Department. For intermediate manufacturers, final manufacturers and capital producers, the impact of dual financial structure and interest rate marketization on output, consumption, capital accumulation and inflation to price monetary policy tools is compared. The results show that the price type monetary policy tools have the greatest impact on the amount of the shadow bank loans and the shadow of other variables. The degree of ringing is in turn inflation, the interest rate of the shadow bank and the domestic output; for the quantitative monetary policy tool, it has the greatest impact on the amount of the shadow bank loan, and the degree of influence on the other variables is the shadow bank loan interest rate, the domestic output and the inflation. The impact of quantitative monetary policy tools on output and shadow bank loans is stronger than the price type. The impact on the loan interest rate of shadow bank is weaker than the price type. The impact of the two parties on inflation is basically the same. The main economic variables under the dual financial structure, such as output, consumption, inflation and capital accumulation, have the impact on the price type monetary policy. The response model is similar to the interest rate market, but the response amplitude is weaker than the latter. The impact response of the price monetary policy under the dual financial structure is weakened to a certain extent.
【學(xué)位授予單位】：天津財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.3;F822.0

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