流动性波动影响我国货币政策传导机制的实证检验

贾丽平

国际金融研究 ›› 2015 ›› Issue (7) : 44-54.

国际金融研究 ›› 2015 ›› Issue (7) : 44-54.
金融理论与政策

流动性波动影响我国货币政策传导机制的实证检验

  • 贾丽平
作者信息 +
文章历史 +

摘要

流动性波动削弱了我国货币政策的调控效果,使经济运行风险增大。本文基于流动性波动对货币政策传导机制的影响,采用VAR模型实证检验分析了无流动性波动、有流动性波动两种情况下利率和货币供应量对贷款总量、投资、GDP、CPI的冲击和影响。结果发现,在流动性波动下,利率和货币供应量对贷款总量、投资的冲击效果较好,对GDP、CPI冲击效果欠佳,且冲击程度和方向不稳定,很难引导和稳定市场预期,反映货币政策传导机制不畅,流动性波动减弱了两种政策变量的时效性,增大了政策变量冲击和影响效果的波动性,政策风险显著,影响到金融稳定。同时,受货币政策时滞延长的影响,两个政策变量的政策效果、时效性不同。价格型政策变量的调控作用有所增强,优势逐渐凸显,数量型政策变量效果相对欠佳。

Abstract

Liquidity fluctuations have reduced the effectiveness of the monetary policy instruments and increased the operational risk of China’s economy. Based on the effect of liquidity fluctuations on the monetary policy transmission mechanism, this paper uses the VAR model to compare and analyze the effects that interest rate and money supply exerted on the total loan, investment, the Gross Domestic Product and Consumer Price Index. Empirical research shows that, against the background of liquidity fluctuations, both the interest rate and the money supply have a larger impact on total loan and investment but a smaller impact on the Gross Domestic Product and Consumer Price Index. Besides, the impact and stability have also been affected to varying degrees. That shows that the monetary policy transmission mechanism is blocked, and the liquidity fluctuations increased the fluctuations of the effect that the monetary policy exerted, weakened the effectiveness of monetary policy tools, and influenced the stability of the financial system. At the same time, the effects and the timeliness of different policy tools are different. The effectiveness of the price-based monetary policy tools has been enhanced and the effectiveness of the quantitative monetary policy tools has been relatively weakened. The combined effect of two monetary policy tools is better than that without liquidity fluctuations.

关键词

流动性波动 / 利率 / 货币供应量 / 货币政策传导机制

Key words

Liquidity Fluctuation / Interest Rate / Money Supply / Monetary Policy Transmission Mechanism

引用本文

导出引用
贾丽平. 流动性波动影响我国货币政策传导机制的实证检验[J]. 国际金融研究, 2015(7): 44-54
中图分类号: F831   

参考文献

[1] 黄宪,夏仕龙. 现金等价货币总量作为货币政策中介目标的有效性[J]. 世界经济研究,2014(11):29-35
[2] 蒋先玲. 货币金融学[M]. 北京:机械工业出版社,2013:310-311
[3] 平新乔,杨慕云. 信贷市场信息不对称的实证研究[J]. 金融研究,2009(3):1-18
[4] 孙国峰,蔡春春. 货币市场利率、流动性供求与中央银行流动性管理[J]. 经济研究,2014(12):33-44
[5] 伍戈,李斌. 货币创造渠道的变化与货币政策的应对[J]. 国际金融研究,2012(10):4-10
[6] 伍戈,刘琨. 探寻中国货币政策的规则体系:多目标与多工具[J]. 国际金融研究,2015(1):15-24
[7] 姚星垣,周劲松. 宏观调控、金融创新与流动性管理[J]. 金融教育研究,2011(6):3-9
[8] 姚余栋,李宏瑾. 中国货币政策传导信贷渠道的经验研究:总量融资结构的新证据[J]. 世界经济,2013(3):3-32
[9] 余建干,吴冲锋. 中国最优货币政策的选择、比较和影响[J]. 财经研究,2014(10):4-17
[10] 张晓慧. 从中央银行政策框架的演变看构建宏观审慎性政策体系[J]. 中国金融,2010(23):13-16
[11] 张晓慧. 走向间接调控的中国货币政策[J]. 中国金融,2000(23):44-47
[12] 张勇,李政军,龚六堂. 利率双轨制、金融改革与最优货币政策[J]. 经济研究,2014(10):19-32
[13] Bernanke,B. and Blinder,A. Credit,Money and Aggregate Demand[J]. American Economic Review,1988,78(2):435-439
[14] Bernanke,B. and Gertler,M. Inside the Black Box: The Credit Channel of Monetary Policy Transmission [J]. Journal of Economic Perspectives,1995,9(4):27-48
[15] Boivin,J. Kiley,M. and Mishkin,F. How Has the Monetary Transmission Mechanism Evolved over Time? [R]. in B. Friedman and M. Woodford,eds.,Handbook of Monetary Economics,Amsterdam:Elsevier,2010,3(8)369-422
[16] Jaffee,D. and Russell,T. Imperfect Information,Uncertainty and Credit Rationing[J]. Quarterly Journal of Economics,1976,90(4):651-666
[17] Stiglitz,J. and Weiss,A. Credit Rationing in Markets with Imperfect Information[J]. American Economic Review,1981,71(3):393-410
[18] Taylor,J. The Monetary Transmission Mechanism:An Empirical Framework[J]. Journal of Economic Perspectives,1995,9(4):11-26

基金

本文感谢国家社会科学基金重点项目(06AJY002)、国家社会科学基金项目(11BJY013)的资助

55

Accesses

0

Citation

Detail

段落导航
相关文章

/