本文關(guān)鍵詞：貨幣政策信用傳導渠道研究：實證檢驗、最優(yōu)貨幣政策及針對債券市場的擴展　出處：《中國社會科學院研究生院》2016年博士論文　論文類型：學位論文

  更多相關(guān)文章： 貨幣政策 信用傳導渠道 債券市場 利率結(jié)構(gòu) 動態(tài)隨機一般均衡

【摘要】：次貸危機對自上世紀80年代起“大緩和”時代以來形成的通過短期利率工具維持通脹目標的貨幣政策新共識提出了挑戰(zhàn):首先,單一通脹目標制是否合意受到質(zhì)疑,就業(yè)、產(chǎn)出等目標明確地出現(xiàn)在了各國中央銀行的目標清單上;其次,數(shù)量型貨幣政策的傾向再度出現(xiàn),危機后的各種貨幣政策工具創(chuàng)新大多具有數(shù)量型的特點;另外,貨幣政策與金融穩(wěn)定的關(guān)系需要被重新思考。由于危機后普遍認為信用相關(guān)的創(chuàng)新是貨幣政策轉(zhuǎn)變的主要原因,信用傳導渠道成為了目前貨幣理論與政策所關(guān)注的核心問題之一。本文基于貨幣政策的信用傳導渠道理論對以下三個主要問題進行研究:第一,金融摩擦對我國經(jīng)濟波動影響的程度究竟有多大?第二,信用傳導渠道下貨幣政策的目標、工具需要如何改進?第三,隨著債券市場對貨幣政策制定的影響逐步增強,信用傳導渠道模型需要如何改進以適應(yīng)最優(yōu)貨幣政策分析?本文首先回顧一般均衡框架下的貨幣和信用理論,主要對新貨幣主義和新凱恩斯主義理論中貨幣和信用的建模方法及最優(yōu)貨幣政策的設(shè)計進行綜述,通過對兩個理論體系的比較選擇適于對危機后貨幣政策進行分析的框架。本文隨后基于將信用傳導渠道納入動態(tài)新凱恩斯框架的金融加速器模型衡量金融風險沖擊對經(jīng)濟波動的影響程度,分別使用中、美兩國經(jīng)濟金融數(shù)據(jù)對模型中各類沖擊進行參數(shù)估計。方差分解結(jié)果表明金融風險沖擊對我國經(jīng)濟波動的影響遠低于美國,且由于估計過程使用兩國債券市場信用利差數(shù)據(jù)對應(yīng)模型中的外部融資溢價變量,上述結(jié)果說明我國信用債券市場的價格形成機制未能對信用風險進行充分的反應(yīng)。本文重點研究了信用傳導渠道下的最優(yōu)貨幣政策問題。通過回顧在僅包含消費需求的基礎(chǔ)動態(tài)新凱恩斯模型及包含資本積累和投資需求的模型中,求解最優(yōu)貨幣政策的方法、穩(wěn)定通貨膨脹和資本品相對價格的特點、以及泰勒規(guī)則的穩(wěn)健性,本文進一步在包含信用傳導渠道的模型中求解最優(yōu)貨幣政策。初步研究表明,最優(yōu)貨幣政策除具備通脹率、資本品價格相對穩(wěn)定的特點外,由于企業(yè)凈值提高可以降低外部融資溢價進而緩解金融摩擦,因此企業(yè)凈值提高幅度明顯高于泰勒規(guī)則下的提高幅度。另外,本文還對比了針對信用利差或信貸規(guī)模對傳統(tǒng)泰勒規(guī)則進行調(diào)整的貨幣政策與最優(yōu)貨幣政策響應(yīng)的差異,結(jié)果顯示針對上述局部均衡變量進行調(diào)整的利率規(guī)則并不能達到合意的政策效果。最后,本文嘗試對金融加速器模型進行擴展,使得模型更適用于分析債券市場中的貨幣政策信用傳導渠道,分別將差異化的風險偏好和債券期限因素引入模型,并將擴展的模型分別用于分析資產(chǎn)證券化產(chǎn)品及其風險自留監(jiān)管要求的宏觀效應(yīng)和債券期限對最優(yōu)貨幣政策的影響等問題。關(guān)于資產(chǎn)證券化產(chǎn)品風險自留監(jiān)管要求的宏觀效應(yīng),研究顯示,適度的風險自留要求可以在一定程度上平抑經(jīng)濟波動,但過高的風險自留要求反而會加大經(jīng)濟波動。關(guān)于債券期限對最優(yōu)貨幣政策的影響,研究顯示,在泰勒規(guī)則下,引入長期限債券降低了經(jīng)濟的波動性;而在Ramsey最優(yōu)貨幣政策下,大部分變量波動的幅度并不隨債券期限的增加而單調(diào)減小,但通脹率、長期名義利率、債券價格及債務(wù)融資規(guī)模的最優(yōu)響應(yīng)隨著債券期限的增大而顯著降低,體現(xiàn)出了隨著經(jīng)濟中債務(wù)期限的增長,穩(wěn)定債券價格和債務(wù)融資規(guī)模對投資和資本積累的重要性逐步提高。
[Abstract]:It is a challenge to maintain the inflation target by consensus of the short-term interest rate instruments of monetary policy on the formation of the subprime crisis since the last century since 80s the era of "great moderation": first, whether the desired single inflation targeting has been questioned, employment, output targets appear explicitly in the central bank's target list; secondly, tendency the number of monetary policy again, characteristics of various monetary policy tools of innovation after the crisis has quantity; in addition, the relationship between monetary policy and financial stability needs to be reconsidered. Because the crisis is widely believed that the credit related innovation is the main reason of monetary policy changes, the credit transmission channel has become one of the core issues of the current monetary the theory and policy of concern. In this paper, the theory of monetary policy credit transmission channel to research on the following three main problems: first, based on gold Financial friction on the impact of China's economic fluctuations in the level of how much? Second, the credit transmission channel of monetary policy under the target, tools need to improve? Third, with the influence of bond market on monetary policy gradually increased, the credit transmission channel model needs to adapt to the analysis of how to improve the optimal monetary policy this paper first reviews the general? Equilibrium under the framework of the theory of money and credit, the main modeling methods of monetary and credit new monetary doctrine and new in Keynes's theory and the optimal monetary policy design review, by comparison of two theoretical system framework for analyzing monetary policy after the crisis. Then, based on the credit transmission channel will be included in the financial the accelerator model dynamic new Keynes framework measure financial risk impact influence on economic fluctuation, respectively, by the United States zykin Financial data of various impact parameters in the model estimation. Variance decomposition results show that the impact of financial risk impact on China's economic fluctuation is far lower than the United States, and the estimation of the external finance premium variable process using two bond market credit spreads data corresponding to the model, the result shows that China's credit bond market price mechanism failed to carry out the full response to the credit risk. This paper focuses on the optimal monetary policy credit transmission channel. Through the review based on dynamic Keynes model contains only the consumer demand and include the accumulation of capital and investment demand model, the solution of optimal monetary policy, stable inflation and the relative price of capital goods, and the conservatism of Taylor rule, this article further includes the credit transmission channel model to solve the optimal monetary policy. A preliminary study Show that the optimal monetary policy in addition to inflation, the characteristics of capital goods prices relatively stable, because the enterprise net can reduce the external finance premium and alleviate the financial friction, therefore the enterprise value increased significantly higher than that under the Taylor rule increases. In addition, this paper also compares the differences in credit spreads or credit scale to adjust the traditional Taylor rules for monetary policy and the optimal monetary policy response, results cannot be adjusted according to the partial equilibrium variables of interest rate rules and achieve the desired effect of the policy. Finally, this paper attempts to the financial accelerator model is extended, the credit transmission channel of monetary policy makes the model more suitable for the analysis of the bond market, the difference of the risk preference and maturity factors into the model, and the extended model were used for the analysis of asset securitization products The macro risk retention effect and regulatory requirements and maturity effects on optimal monetary policy. The research showed that the macroeconomic effect on asset securitization risk retention regulatory requirements, moderate risk retention requirements to a certain extent can stabilize economic fluctuations, but the high risk retention requirements but will increase about the influence of economic fluctuations. The maturity of the bonds, on optimal monetary policy research shows that under the Taylor rule, the introduction of long-term bonds to reduce the volatility of the economy; and in the Ramsey optimal monetary policy, most of the increase of wave amplitude is not variable with the maturity of a bond decreases, but the rate of inflation, the long-term nominal interest rates, bond prices and the optimal response with the increase of the size of the debt financing maturity decreased significantly, reflecting the economy with debt growth, stable bond prices and debt The scale of financing has gradually increased the importance of investment and capital accumulation.

【學位授予單位】：中國社會科學院研究生院
【學位級別】：博士
【學位授予年份】：2016
【分類號】：F822.0
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本文編號：1383010