【摘要】：貨幣供應量作為中央銀行貨幣政策的中介變量,其可測性、可控性和相關性對中央銀行的科學決策具有重要影響。目前實行的貨幣供應量指標體系難以真實、準確地反映經(jīng)濟運行中的貨幣總量,因此基于貨幣供給內(nèi)生性的視角重新審視貨幣供應量作為中介目標的理論基礎,為今后判斷一個金融工具是否應該納入指標體系以及貨幣當局調(diào)整貨幣政策調(diào)控方向提供依據(jù)具有重要的理論意義和實踐意義。首先對我國基礎貨幣可控性和貨幣乘數(shù)可控性進行了研究,證明我國貨幣供給內(nèi)外生性共存的特征。通過貨幣供給可測性理論分析、貨幣政策工具對中介變量的傳導分析以及貨幣供應量與經(jīng)濟運行狀態(tài)的相關性分析,得出結論:在當前貨幣供應量具備一定可控性且利率傳導機制不暢通的條件下,貨幣供給量在我國貨幣政策制定和實施過程中仍然具有重要參考價值,需要不斷完善以提高貨幣政策有效性。在對貨幣定義梳理的基礎上,選取債券回購余額、短期利率債、商業(yè)銀行理財產(chǎn)品、離岸人民幣、電子貨幣、民間借貸作為貨幣供應的拓展因素,對我國貨幣供應量指標體系進行新的統(tǒng)計和層次劃分,使用Divisia指數(shù)方法構建出加權的貨幣供應量指標。為驗證修正后的貨幣供應量指標DM2的適用性,本文使用2005-2015年的數(shù)據(jù),構建了以實際產(chǎn)出、物價水平和利率水平為自變量的貨幣需求函數(shù),運用HP濾波將經(jīng)濟周期沖擊的非對稱性引入其中,運用最小二乘法對DM2和M2的需求函數(shù)進行估計,得出結論:DM2相比M2對經(jīng)濟周期更加敏感,貨幣需求函數(shù)更加穩(wěn)健。使用2007-2015年的季度數(shù)據(jù)構建貨幣政策工具沖擊方程,并利用STR模型考察經(jīng)濟變量的非對稱性,結果顯示:DM2與貨幣政策工具之間的非線性關系更加顯著。最后建立VAR模型對DM2和經(jīng)濟運行狀態(tài)的相關性進行實證研究,并對比包含M2的VAR模型,得出結論:DM2與經(jīng)濟增長、經(jīng)濟增長動力因素的相關關系較強,且含有DM2的VAR模型預測國內(nèi)生產(chǎn)總值和物價指數(shù)更加準確。最后根據(jù)實證結果及我國實際情況提出相應的政策建議:完善貨幣統(tǒng)計框架;正確發(fā)揮貨幣乘數(shù)的作用;控制外來因素對我國貨幣供給的沖擊;建立數(shù)量、價格和宏觀審慎政策相結合的調(diào)控框架;注重穩(wěn)定預期在政策調(diào)控中的作用;微調(diào)貨幣政策以配合經(jīng)濟結構調(diào)整。
[Abstract]:As the intermediate variable of central bank's monetary policy, the measurability, controllability and relativity of money supply play an important role in the scientific decision of central bank. The current money supply index system is difficult to reflect the total amount of money in the economic operation accurately. Therefore, based on the endogenous perspective of money supply, the paper re-examines the theoretical basis of money supply as the intermediary target. It is of great theoretical and practical significance for judging whether a financial instrument should be included in the index system and for the monetary authorities to adjust the direction of monetary policy regulation in the future. Firstly, this paper studies the controllability of the basic money and the controllability of the money multiplier, and proves the characteristics of the coexistence of the internal and external nature of the money supply in our country. Through the theory analysis of the testability of money supply, the transmission analysis of monetary policy tools to intermediary variables and the correlation analysis between money supply and economic operation state, It is concluded that under the condition that the money supply is controllable and the transmission mechanism of interest rate is not smooth, the amount of money supply still has important reference value in the process of monetary policy formulation and implementation in our country. Continuous improvement is needed to improve the effectiveness of monetary policy. On the basis of combing the definition of currency, we select bond repurchase balance, short-term interest rate debt, commercial bank financial products, offshore RMB, electronic currency, private lending as the expansion factors of money supply. Based on the new statistics and hierarchical division of the money supply index system in China, the weighted money supply index is constructed by using the Divisia index method. In order to verify the applicability of the revised money supply index (DM2), this paper uses the data from 2005 to 2015 to construct the money demand function, which takes real output, price level and interest rate level as independent variables. The HP filter is used to introduce the asymmetry of economic cycle shock, and the least square method is used to estimate the demand function of DM2 and M2. It is concluded that DM2 is more sensitive to business cycle than M2, and the money demand function is more robust. Using the quarterly data from 2007-2015 to construct the shock equation of monetary policy instruments, and using STR model to investigate the asymmetry of economic variables, the results show that the nonlinear relationship between DM2 and monetary policy instruments is more significant. Finally, the VAR model is established to study the correlation between DM2 and economic running state, and the VAR model including M2 is compared. It is concluded that DM2 has a strong correlation with economic growth and economic growth driving factors. And the VAR model with DM2 is more accurate in predicting GDP and price index. Finally, according to the empirical results and the actual situation in China, the corresponding policy recommendations are put forward: to perfect the framework of monetary statistics, to give full play to the role of monetary multiplier, to control the impact of external factors on China's money supply, to establish the quantity, A regulatory framework combining price and macroprudential policies; focusing on the role of stabilizing expectations in policy regulation; fine-tuning monetary policy to match economic restructuring.
【學位授予單位】：中國礦業(yè)大學
【學位級別】：碩士
【學位授予年份】：2016
【分類號】：F822.2

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本文編號：2269193