發(fā)布時(shí)間：2018-01-14 15:24

  本文關(guān)鍵詞：金融穩(wěn)定、通貨膨脹與經(jīng)濟(jì)增長(zhǎng)　出處：《吉林大學(xué)》2014年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 金融穩(wěn)定 通貨膨脹 經(jīng)濟(jì)增長(zhǎng) 貨幣政策

【摘要】：世界金融危機(jī)以來(lái)，世界各國(guó)的中央銀行意識(shí)到通過(guò)控制通貨膨脹實(shí)現(xiàn)的經(jīng)濟(jì)增長(zhǎng)和價(jià)格穩(wěn)定不足以保證整個(gè)宏觀經(jīng)濟(jì)的穩(wěn)定。作為金融系統(tǒng)關(guān)鍵功能有效執(zhí)行，金融市場(chǎng)與實(shí)體經(jīng)濟(jì)協(xié)調(diào)發(fā)展，資源配置、風(fēng)險(xiǎn)管理、支付結(jié)算等重要功能在金融市場(chǎng)以及各個(gè)機(jī)構(gòu)中能夠平穩(wěn)運(yùn)行，具有應(yīng)對(duì)沖擊的能力且在外部沖擊的干擾下不受影響的一種平穩(wěn)狀態(tài)，維護(hù)和促進(jìn)金融穩(wěn)定已經(jīng)逐漸成為各國(guó)央行的首要政策目標(biāo)。 在加入世界貿(mào)易組織之后，我國(guó)金融體系面臨巨大的風(fēng)險(xiǎn)與挑戰(zhàn)，維護(hù)金融穩(wěn)定已經(jīng)成為維持物價(jià)穩(wěn)定、保持經(jīng)濟(jì)增長(zhǎng)的關(guān)鍵因素，加強(qiáng)我國(guó)金融穩(wěn)定性建設(shè)已經(jīng)刻不容緩�！妒舜髨�(bào)告》明確指出：“完善金融監(jiān)管，推進(jìn)金融創(chuàng)新，提高銀行、證券、保險(xiǎn)等行業(yè)競(jìng)爭(zhēng)力，維護(hù)金融穩(wěn)定。”當(dāng)前，我國(guó)經(jīng)濟(jì)正處于經(jīng)濟(jì)轉(zhuǎn)型的關(guān)鍵時(shí)期，面對(duì)嚴(yán)峻復(fù)雜的國(guó)際經(jīng)濟(jì)環(huán)境，開(kāi)展對(duì)我國(guó)金融穩(wěn)定、通貨膨脹和經(jīng)濟(jì)增長(zhǎng)的研究將為我國(guó)經(jīng)濟(jì)平衡、協(xié)調(diào)和可持續(xù)發(fā)展提供有利的參考。另外，在當(dāng)前形勢(shì)下，我國(guó)“金融穩(wěn)定”理論體系的構(gòu)建剛剛起步，許多領(lǐng)域有待探索，尚未形成完善的框架結(jié)構(gòu)。因此，開(kāi)展基于金融穩(wěn)定的理論與實(shí)證研究，是對(duì)我國(guó)金融穩(wěn)定理論體系的有益補(bǔ)充，，具有重要的理論和現(xiàn)實(shí)意義。 本文梳理了金融穩(wěn)定的基本理論，在IMF金融穩(wěn)健性指數(shù)評(píng)價(jià)體系及國(guó)內(nèi)外相關(guān)研究的基礎(chǔ)上，構(gòu)建了中國(guó)金融穩(wěn)定性指數(shù)，并基于這一合成指數(shù)，對(duì)金融穩(wěn)定與物價(jià)穩(wěn)定的關(guān)聯(lián)性、包含金融穩(wěn)定因素的貨幣政策規(guī)則、金融穩(wěn)定與宏觀經(jīng)濟(jì)運(yùn)行的關(guān)聯(lián)性以及金融穩(wěn)定與經(jīng)濟(jì)增長(zhǎng)的關(guān)聯(lián)性等方面，采用計(jì)量經(jīng)濟(jì)學(xué)方法進(jìn)行了深入探究。 第一，本文結(jié)合中國(guó)的實(shí)際情況，構(gòu)建了中國(guó)金融穩(wěn)定性評(píng)價(jià)指標(biāo)體系，并運(yùn)用主成分分析法合成了中國(guó)金融穩(wěn)定性指數(shù)FSI，分析了中國(guó)金融體系穩(wěn)定性狀況與走勢(shì)。從整體趨勢(shì)來(lái)看，中國(guó)的金融體系的穩(wěn)定性呈平穩(wěn)改善的趨勢(shì)，從2004年開(kāi)始逐漸上升的狀態(tài)；從波動(dòng)性來(lái)看，在2005年至2006年中期期間以及2007年至2009年末期期間，中國(guó)金融穩(wěn)定性的波動(dòng)幅度很大；從水平值來(lái)看，中國(guó)金融體系的穩(wěn)定狀態(tài)分為如下三個(gè)階段：第一階段從2004年初期至2007年中期，中國(guó)金融穩(wěn)定性呈現(xiàn)整體向好的趨勢(shì)；第二階段從2007年中期至2010年初期，中國(guó)金融穩(wěn)定狀況出現(xiàn)了劇烈的波動(dòng)，出現(xiàn)了2007年底的波谷和2009年中期的波峰；第三階段從2010年至2013年末期間，中國(guó)金融穩(wěn)定性持續(xù)平穩(wěn)的提高，波動(dòng)率較小。 第二，本文基于中國(guó)金融穩(wěn)定性指數(shù)，運(yùn)用馬爾科夫區(qū)制轉(zhuǎn)移模型分析了中國(guó)金融穩(wěn)定與物價(jià)穩(wěn)定的關(guān)聯(lián)性。研究表明，我國(guó)金融穩(wěn)定不僅有助于物價(jià)穩(wěn)定，金融穩(wěn)定也可以解釋物價(jià)穩(wěn)定，而金融穩(wěn)定和物價(jià)穩(wěn)定的適度負(fù)相關(guān)是一種常態(tài)，即通貨膨脹的較低的水平，金融穩(wěn)定容易發(fā)生；與此同時(shí)，我國(guó)金融穩(wěn)定對(duì)物價(jià)影響具有顯著地降低作用，不僅有助于通貨膨脹水平值的降低，還有助于其波動(dòng)的下降。 第三，本文在線性利率規(guī)則模型的基礎(chǔ)上，引入了金融穩(wěn)定缺口項(xiàng)，用以考察我國(guó)中央銀行在執(zhí)行貨幣政策時(shí)是否關(guān)注金融穩(wěn)定因素。通過(guò)對(duì)引入金融穩(wěn)定因素的利率規(guī)則模型進(jìn)行了參數(shù)估計(jì)，結(jié)果發(fā)現(xiàn)利率對(duì)金融穩(wěn)定缺口的調(diào)整參數(shù)不顯著，這表明我國(guó)中央銀行在執(zhí)行貨幣政策時(shí)對(duì)金融穩(wěn)定缺口的關(guān)注度不高，這主要是由于我國(guó)利率市場(chǎng)化程度還不高，貨幣政策對(duì)金融市場(chǎng)影響的傳導(dǎo)渠道還不夠暢通，因此在對(duì)金融市場(chǎng)進(jìn)行調(diào)控時(shí)，中央銀行更多地是采取行政手段進(jìn)行干預(yù)，市場(chǎng)化利率對(duì)金融市場(chǎng)的調(diào)控機(jī)制還不健全，是今后需要加強(qiáng)和改進(jìn)的重點(diǎn)所在。隨著我國(guó)利率市場(chǎng)化進(jìn)程的不斷加快，采用市場(chǎng)化的手段對(duì)金融市場(chǎng)進(jìn)行調(diào)控和監(jiān)管是未來(lái)金融市場(chǎng)穩(wěn)定機(jī)制的關(guān)鍵。 第四，本文運(yùn)用VAR模型和TVP-VAR模型對(duì)包含金融穩(wěn)定，通貨膨脹率和廣義貨幣供給的簡(jiǎn)單經(jīng)濟(jì)系統(tǒng)進(jìn)行了估計(jì)，用以分析金融穩(wěn)定與通貨膨脹率和廣義貨幣供給之間的關(guān)聯(lián)性。研究表明，在對(duì)經(jīng)濟(jì)系統(tǒng)進(jìn)行估計(jì)時(shí)，TVP-VAR模型相對(duì)于VAR模型更具穩(wěn)健性；在樣本期間內(nèi)，通貨膨脹與貨幣供給的沖擊雖然并沒(méi)有對(duì)金融穩(wěn)定的影響機(jī)制產(chǎn)生結(jié)構(gòu)性變化，但在金融危機(jī)過(guò)后，貨幣供給正向沖擊對(duì)金融穩(wěn)定指數(shù)的負(fù)向影響期間顯著縮短，金融穩(wěn)定與通貨膨脹的依存性也在不斷減弱，這有利于政府和貨幣當(dāng)局在宏觀調(diào)控時(shí)把二者區(qū)分對(duì)待，以便實(shí)現(xiàn)多重宏觀調(diào)控目標(biāo)。 第五，本文運(yùn)用固定參數(shù)模型和時(shí)變參數(shù)狀態(tài)空間模型分析了經(jīng)濟(jì)增長(zhǎng)對(duì)金融穩(wěn)定的影響機(jī)制，并結(jié)合馬爾科夫區(qū)制轉(zhuǎn)移模型，對(duì)估計(jì)結(jié)果進(jìn)行穩(wěn)健性檢驗(yàn)。固定參數(shù)模型的結(jié)果表明，經(jīng)濟(jì)增長(zhǎng)對(duì)金融穩(wěn)定有顯著地抑制效應(yīng)；而時(shí)變系數(shù)模型提高了模型的擬合效果，并指出，經(jīng)濟(jì)增長(zhǎng)對(duì)金融穩(wěn)定的影響存在明顯的時(shí)變特質(zhì)。在樣本期間內(nèi)，經(jīng)濟(jì)增長(zhǎng)對(duì)金融穩(wěn)定的影響呈現(xiàn)出逐步上升的態(tài)勢(shì)，在2004年至2007年期間，這種影響體現(xiàn)為抑制效應(yīng)的不斷減小，而在2007年至2012年前后，經(jīng)濟(jì)增長(zhǎng)對(duì)金融穩(wěn)定的影響首次由負(fù)轉(zhuǎn)正，而后又迅速變?yōu)樨?fù)向影響；在進(jìn)入2012年后，隨著我國(guó)經(jīng)濟(jì)增長(zhǎng)率開(kāi)始降低，經(jīng)濟(jì)增長(zhǎng)對(duì)金融穩(wěn)定開(kāi)始體現(xiàn)出明顯的拉動(dòng)效應(yīng)。穩(wěn)健性檢驗(yàn)的結(jié)果進(jìn)一步證實(shí)了之前得到的結(jié)論。
[Abstract]:Since the world financial crisis, central banks around the world have realized by controlling inflation to achieve economic growth and price stability is not enough to guarantee the macroeconomic stability. As the key function of the financial system and effective implementation, coordinated development of financial markets and the real economy, resource allocation, risk management, run smoothly the important function of payment and settlement in the financial market and all institutions, a steady state has the ability to deal with the impact and interference of external shocks are not affected, maintain and promote financial stability has gradually become the primary policy goal of each country's central bank.
After joining the world trade organization, China's financial system is facing huge challenges and risks, maintain financial stability has become a key factor to maintain price stability, maintaining economic growth, strengthening China's financial stability. Eighteen construction has been urgent report "clearly pointed out:" the perfect financial supervision, promote financial innovation, improve the banking, securities, the competitiveness of insurance industry, maintain financial stability. At present, China's economy is in a critical period of economic transformation, in the face of severe and complicated international economic environment, development of China's financial stability, the inflation and economic growth for the balance of the economy of our country, provide a favorable reference for coordinated and sustainable development. In addition, in the current under the situation of construction of China's "financial stability" theory system has just started, many areas need to be explored, has not yet formed the framework of perfect. Therefore, to carry out radical The theoretical and empirical research on financial stability is a useful supplement to the theoretical system of financial stability in China, which has important theoretical and practical significance.
This article reviews the basic theory of financial stability, financial stability index based on IMF evaluation system and related study at home and abroad, the construction of China financial stability index, and based on the synthetic index of correlation between financial stability and price stability, including monetary policy rules of financial stability, as well as the relevance of financial stability and the relevance of economic growth and financial stability and macroeconomic operation, using econometric methods have been studied.
First, this paper combined with the actual situation of Chinese, constructs the evaluation index system of financial stability Chinese, and using principal component analysis China financial stability index FSI was synthesized and the stability analysis of the status and trend of the financial system China. From the overall trend, steadily improve the stability of the financial system Chinese trend gradually since 2004 the rise of state; from the view of fluctuation, during the period from 2005 to 2006 and mid 2007 to the end of the 2009, volatility of financial stability Chinese greatly; from the level of value, the steady state Chinese financial system is divided into three stages as follows: the first stage is from early 2004 to mid 2007, China showed good overall financial stability the trend; second stage from mid 2010 to early 2007, China financial stability condition and drastic fluctuation, appeared at the end of 2007 In the third stage from 2010 to the end of 2013, China's financial stability has been steadily increasing, with less volatility.
Second, this paper China financial stability index based on the application model for the transfer of Markoff region analyses the relationship between China financial stability and price stability. The results show that China's financial stability is not only helpful to price stability, financial stability can also explain the price stability and financial stability and price stability and moderate negative correlation is the norm that is, the lower the level of inflation, financial stability is easy to occur; at the same time, China's financial stability has significantly reduced the role of the price impact, not only helps to reduce the level of inflation value, also contribute to the decline in its volatility.
Third, based on the linear model of the interest rate rule, introduced the financial stability gap, to examine whether the Central Bank of China on financial stability factors in the implementation of monetary policy. Through the introduction of financial instability in the interest rate rule model of parameter estimation, parameter adjustment of interest rates found on the financial stability gap is not significant this shows that, the Central Bank of China in the implementation of monetary policy to financial stability gap is not high degree of concern, this is mainly due to the extent of China's interest rate market is not high, the impact of monetary policy on financial market transmission channel is not smooth, so in the financial market regulation, the central bank is more take administrative measures to intervene, the regulation mechanism of the market interest rate of financial market is not perfect, need to be further strengthened and improved. With the interest rate marketization in our country The key to the stability mechanism of the financial market in the future is to adjust and regulate the financial market by means of market-oriented means.
Fourth, this paper uses VAR model and TVP-VAR model to include financial stability, simple economic system of inflation and money supply have been estimated by correlation between analysis to financial stability and the rate of inflation and the broad money supply. The results show that in the economic system when estimating TVP-VAR model to VAR model is more robust; in the sample period, inflation and money supply shocks while there is no change on the influence mechanism of financial stability, but in the aftermath of the financial crisis, money supply positive impact on financial stability index negative influence period significantly shortened, financial stability and the dependence of inflation has also been reduced, which is conducive to the government and the monetary authorities to distinguish between the two in the macro-control, in order to achieve multiple objectives of macroeconomic regulation and control.
Fifth, this paper uses fixed parameter model and time-varying parameter state space model to analyze the impact of economic growth on financial stability mechanism, combined with Markov regime switching model for the robustness test on the estimation results. The results show that the fixed parameter model, economic growth and stability has significant inhibitory effect on finance; and time-varying coefficient model the model fitting effect, and pointed out that the impact of economic growth on financial stability has obvious time-varying characteristics. In the sample period, the economic growth effect on financial stability, showing a gradual upward trend in the period from 2004 to 2007, this effect reflects the inhibitory effect of decreasing, and in 2007 to 2012 and the impact of economic growth on financial stability for the first time from negative to positive, and then quickly become a negative impact; in 2012, with China's economic growth rate began to Down, economic growth has shown a clear pulling effect on financial stability. The results of the robustness test further confirmed the previous conclusions.

【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2014
【分類號(hào)】：F224;F822.5;F832;F124.1

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