中国反周期货币政策调控问题研究
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摘要
近年来,中国的货币政策体现出明显的反周期性特征,但也存在不少值得研究的问题。本文在经济活动的复杂性、不确定性大大增加的背景下,系统地研究货币政策反经济周期调控的相关理论和实践问题,探讨如何做好货币政策反经济周期的动态调控和优化,以实现经济的平稳发展。
本文在整理归纳国内外学者关于反周期调控和反周期货币政策等方面研究现状的基础上,首先探讨中国经济周期问题的形成机制和变化趋势,探讨货币政策对经济周期形成机制的影响。然后,分析金融加速器效应、金融体系的顺周期性对经济周期波动的放大作用,阐释货币政策反周期调控的必要性和可行性问题。在此基础上,分析构建了反周期货币政策的基本架构。在这个架构下,本文通过构建力图使产出缺口和通货膨胀波动最小化的二次损失函数模型分析反周期货币政策调控手段。然后基于状态空问模型,分析了中国货币政策乘数及其方差的变化,用以确定反周期货币政策的调控时机和力度,并运用脉冲响应函数分析了各种货币政策工具与货币政策最终目标的动态关系。最后,本文提出了完善中国反周期货币政策操作的若干建议。
通过研究得出以下主要结论：(1)实证结果表明,金融体系具有顺周期性；金融加速器效应、金融体系顺周期性会扩大经济周期性的波动程度；货币政策具有反周期性,货币政策有进行反经济周期操作的必要性和可行性。(2)在反周期货币政策工具中,存款准备金制度的主动性、时效性和信号功能都比较好,政策效果较大；再贴现政策的时效性和信号功能较好,但主动性较差；公开市场操作主动性、时效性、可操作性较强,但信号功能较弱。(3)实证结论表明,中国的反周期货币政策的有效性正逐步增强,但还有待进一步提高。(4)实证研究表明,货币政策的效果存在非对称性,紧缩性货币政策对GDP、CPI影响比扩张性货币政策更显著。(5)实证结果表明,资产价格可以作为经济运行先行指标。(6)实证研究显示,在实行严格通货膨胀目标制的情况下,反周期货币政策比既考虑通货膨胀、又考虑产出缺口时更有效；通货膨胀目标制是我国未来的选择。(7)实证结果表明,可以根据货币政策乘数方差的变化及其在经济运行中收集到的反馈信息对经济运行状况进行动态调控。(8)在治理通货膨胀方面,数量型货币政策工具和价格型货币政策工具的总体作用效果差别不大；但在拉动经济增长方面,价格型货币政策工具的作用效果明显优于数量型货币政策工具。(9)数量型货币政策工具能在短期内对经济产生影响,但长期效果不明显；价格型货币政策工具发挥作用存在一定的时滞,但在长期内能对产出和通货膨胀产生明显的影响。
Recently, China's monetary policy has manifested the obvious counter-cycle characteristic, but still had some problems. Under the background of increasingly economic complexity and uncertainty, the paper has systematically studied the theoretical and practical issues related to the counter-economic cycle regulation, and how to complete the dynamic regulation and the optimization of monetary policy, in order to realizes the economical steady development.
Based on the reorganization of the domestic and foreign scholars'research of counter-cyclical regulation and counter-cyclical monetary policy, the paper firstly has discussed the formation mechanism and the change tendency of Chinese economic cycle, and discussed the influence from monetary policy to the mechanism of formation of economic cycle. Then, it has analyzed the amplification of financial accelerator effect and the cycle of financial system to the pro-cycle fluctuations of financial system. And on this basis, it has constructed the basic structure of counter-cyclical monetary policy. In this framework, this paper has managed to construct the minimized quadratic loss function model of output gap and inflation volatility to study the means of counter-cyclical monetary policy. Then, based on state space model, the analysis of variance of China's monetary policy multiplier and its changes has determined the timing and intensity of regulation of counter-cyclical monetary policies. With impulse response function, it has analyzed dynamic relations between the ultimate goal of monetary policy and various monetary policy tools, and also improved the counter-cyclical monetary policy framework. Last, the paper has made some suggestions about improving counter-cyclical monetary policy in China.
From the paper, we ca get the conclusion as below:(1) The empirical results show that:Firstly, the financial system has pro-cyclical; Secondly, financial accelerator effect and the financial system will expand the cyclical volatility of cyclical; Thirdly, monetary policy actions to implement the need for counter-cyclical and feasibility. (2) In the counter cycle monetary policy tool, the deposit reserve system's initiative, effectiveness and the signal function are quite good, the policy effect is strong; Rediscount policy's effectiveness and the signal function are good, but the initiative is bad; The open market operation's initiative, effectiveness, and feasibility are strong, but the signal function is weak. (3) China's counter cycle monetary policy's validity is strengthening gradually, but also waits for further enhancing. (4) The empirical results show that the effect of monetary policy is asymmetry, and the impact of tightening monetary policy on GDP, CPI is more significant than expansionary monetary policy. (5) The empirical results show that asset prices are leading indicators of economic performance. (6) In the situation of strict inflation goal system, the counter cycle monetary policy is more effective than both the consideration of inflation and output gap; The inflation goal system will be our country future choice. (7) The empirical results show that according to the change of monetary policy multiplier variance and the feedback information which collected in the economical movement it may conduct dynamic regulation of economic operation. (8) In the government of inflation aspect, the quantitative monetary policy instruments and price-based monetary policy instruments in the overall effect are not very different; But in stimulating economic growth, price-based monetary policy tool is better than quantity-oriented monetary policy Tool. (9)The quantitative monetary policy instruments impact on the economy in the short term, but the long-term effect is not obvious; price-based monetary policy instruments to play a role there is a certain delay, but in the long it has the obvious influence with the output and inflation.
本文在整理归纳国内外学者关于反周期调控和反周期货币政策等方面研究现状的基础上,首先探讨中国经济周期问题的形成机制和变化趋势,探讨货币政策对经济周期形成机制的影响。然后,分析金融加速器效应、金融体系的顺周期性对经济周期波动的放大作用,阐释货币政策反周期调控的必要性和可行性问题。在此基础上,分析构建了反周期货币政策的基本架构。在这个架构下,本文通过构建力图使产出缺口和通货膨胀波动最小化的二次损失函数模型分析反周期货币政策调控手段。然后基于状态空问模型,分析了中国货币政策乘数及其方差的变化,用以确定反周期货币政策的调控时机和力度,并运用脉冲响应函数分析了各种货币政策工具与货币政策最终目标的动态关系。最后,本文提出了完善中国反周期货币政策操作的若干建议。
通过研究得出以下主要结论：(1)实证结果表明,金融体系具有顺周期性；金融加速器效应、金融体系顺周期性会扩大经济周期性的波动程度；货币政策具有反周期性,货币政策有进行反经济周期操作的必要性和可行性。(2)在反周期货币政策工具中,存款准备金制度的主动性、时效性和信号功能都比较好,政策效果较大；再贴现政策的时效性和信号功能较好,但主动性较差；公开市场操作主动性、时效性、可操作性较强,但信号功能较弱。(3)实证结论表明,中国的反周期货币政策的有效性正逐步增强,但还有待进一步提高。(4)实证研究表明,货币政策的效果存在非对称性,紧缩性货币政策对GDP、CPI影响比扩张性货币政策更显著。(5)实证结果表明,资产价格可以作为经济运行先行指标。(6)实证研究显示,在实行严格通货膨胀目标制的情况下,反周期货币政策比既考虑通货膨胀、又考虑产出缺口时更有效；通货膨胀目标制是我国未来的选择。(7)实证结果表明,可以根据货币政策乘数方差的变化及其在经济运行中收集到的反馈信息对经济运行状况进行动态调控。(8)在治理通货膨胀方面,数量型货币政策工具和价格型货币政策工具的总体作用效果差别不大；但在拉动经济增长方面,价格型货币政策工具的作用效果明显优于数量型货币政策工具。(9)数量型货币政策工具能在短期内对经济产生影响,但长期效果不明显；价格型货币政策工具发挥作用存在一定的时滞,但在长期内能对产出和通货膨胀产生明显的影响。
Recently, China's monetary policy has manifested the obvious counter-cycle characteristic, but still had some problems. Under the background of increasingly economic complexity and uncertainty, the paper has systematically studied the theoretical and practical issues related to the counter-economic cycle regulation, and how to complete the dynamic regulation and the optimization of monetary policy, in order to realizes the economical steady development.
Based on the reorganization of the domestic and foreign scholars'research of counter-cyclical regulation and counter-cyclical monetary policy, the paper firstly has discussed the formation mechanism and the change tendency of Chinese economic cycle, and discussed the influence from monetary policy to the mechanism of formation of economic cycle. Then, it has analyzed the amplification of financial accelerator effect and the cycle of financial system to the pro-cycle fluctuations of financial system. And on this basis, it has constructed the basic structure of counter-cyclical monetary policy. In this framework, this paper has managed to construct the minimized quadratic loss function model of output gap and inflation volatility to study the means of counter-cyclical monetary policy. Then, based on state space model, the analysis of variance of China's monetary policy multiplier and its changes has determined the timing and intensity of regulation of counter-cyclical monetary policies. With impulse response function, it has analyzed dynamic relations between the ultimate goal of monetary policy and various monetary policy tools, and also improved the counter-cyclical monetary policy framework. Last, the paper has made some suggestions about improving counter-cyclical monetary policy in China.
From the paper, we ca get the conclusion as below:(1) The empirical results show that:Firstly, the financial system has pro-cyclical; Secondly, financial accelerator effect and the financial system will expand the cyclical volatility of cyclical; Thirdly, monetary policy actions to implement the need for counter-cyclical and feasibility. (2) In the counter cycle monetary policy tool, the deposit reserve system's initiative, effectiveness and the signal function are quite good, the policy effect is strong; Rediscount policy's effectiveness and the signal function are good, but the initiative is bad; The open market operation's initiative, effectiveness, and feasibility are strong, but the signal function is weak. (3) China's counter cycle monetary policy's validity is strengthening gradually, but also waits for further enhancing. (4) The empirical results show that the effect of monetary policy is asymmetry, and the impact of tightening monetary policy on GDP, CPI is more significant than expansionary monetary policy. (5) The empirical results show that asset prices are leading indicators of economic performance. (6) In the situation of strict inflation goal system, the counter cycle monetary policy is more effective than both the consideration of inflation and output gap; The inflation goal system will be our country future choice. (7) The empirical results show that according to the change of monetary policy multiplier variance and the feedback information which collected in the economical movement it may conduct dynamic regulation of economic operation. (8) In the government of inflation aspect, the quantitative monetary policy instruments and price-based monetary policy instruments in the overall effect are not very different; But in stimulating economic growth, price-based monetary policy tool is better than quantity-oriented monetary policy Tool. (9)The quantitative monetary policy instruments impact on the economy in the short term, but the long-term effect is not obvious; price-based monetary policy instruments to play a role there is a certain delay, but in the long it has the obvious influence with the output and inflation.
引文
1. 引自《中华人民共和国中国人民银行法》。
2. 引自《中共中央关于制定国民经济和社会发展第十二个五年规划的建议》。
3. 在众多关于经济周期的定义中,Mitchell和Buns对经济周期所下的定义得到了经济学界的广泛认可,并被大量引用。
4. “增长型经济周期”是指在经济周期的下降阶段,产出总量并不表现为绝对下降,仅仪表现为经济增长速度减缓。
5. 中国从1992年才开始公布GDP等统计数据的季度数据,为了全面地反映改革开放以来我国经济周期的变化趋势,本章笔者采用1978—2010年的年度数据进行分析。
6. 部分学者将1985-1988年的经济周期作为副周期并入1978-1985年的经济周期。
7. 参见徐海俊,徐德云,赵少扬. 《中国经济周期形成机制及反周期宏观经济政策分析》, 河北经贸大学学报,2003,24(6)：24-32。
8. 经济周期的内在传导机制主要包括乘数—加速数机制、产业关联机制和上限—下限缓冲机制等。但限于本文的研究目的,笔者仅从乘数—加速数原理的角度进行分析。
9. 经济周期的内生性,是指经济周期产生于经济运行中的内部结构特点所导致的一种经济变量间相互作用的机制,这种内生性指的是经济周期波动是自我推动的。
10. 张立群认为经济周期的“微波化”趋势,是指经济周期有起伏剧烈、峰谷落差大的波动轨迹,向着起伏平缓、峰谷落差小的波动轨迹转变。参见刘树成主编.经济周期研究报告[M].北京：社会科学文献出版社,2006。
11. 参见张金清主编的教材《金融风险管理》,复旦大学出版社,2009年版。
12. 《中共中央关于制定国民经济和社会发展“九五”计划和2010年远景目标建议》提出把汽车工业作为支柱产业、房地产产业作为新的经济增长点。
13. 自然利率是使储蓄和投资相等的利率,即总产品的价格水平与各生产要素的收入完全相等的利率；市场利率是市场上的真实利率,它围绕着自然利率而上下波动。
14. AIC准则鼓励数据拟合的优良性但是尽量避免出现过度拟合(也就是不要估计太多的参数)的情况,所以优先考虑的模型应是AIC值最小的那一个。SC准则思想与AIC相同,只是计算公式略有差别。FPE主要用于计算预测精度,是对预测效果进行评价的指标,其值越低表明预测效果越好。
15. 参见崔光灿.资产价格、金融加速器与经济稳定[J].世界经济,2006(11)：59-69.
16. 实际上,巴塞尔委员会的第一个“巴塞尔协议”是1975年颁布的《银行海外分支机构监管原则》,目的是界定银行国际业务的监管责任,使监管网络中不出现缺口。而我们现在通常所说的“巴塞尔协议’’是指这项1988年颁布的协议,也称“巴塞尔资本协议”
17. 由国际会计准则委员会制定发布的国际会计准则,连同由美国金融会计标准委员会、会计师协会以及美国证监会共同制定发布公认会计准则,均提供了分层次的公允价值计量方法。其中,层次1是特指在活跃市场有可观察的价格,为此,可采用市价对资产和负债进行价值计量,也被称盯市原则；层次2是特指没有活跃市场时,采用模型来估值,但同时需要输入可观察的参数,也被称为按模型定价；层次3是特指类似盯住模型的方法,但是用不可观察的输入参数以及模型假设进行。
18. 该临界值来自Pesaran et al. (2001, p.300) Table CI(iii) Case III:Unrestricted intercept and no trend.
19. 本章大部分表述引自笔者论文,《论宏观审慎管理框架下反周期货币政策基本架构的优化》,《南方金融》,2011,(5)：15-20。
20. 参见《中共中央关于制定国民经济和社会发展第十二个五年规划的建议》。
21. 国内大部分人将‘'Intermediate Target"翻译为中介目标,在货币政策的执行过程中,货币当局需要可以观测到的指标进行调控,进而对货币政策的最终目标产生影响,而且在经济运行的动态变化过程中,这种影响将面临不断的变化。因此,本文认为将"Intermediate Target"翻译为中介指标,能更好地抵御经济系统中的变化、反映中介指标本身的性质。
22. 国内通常将"monetary policy objective"翻译为操作目标,但笔者认为这些指标是中央银行直接可以操作并控制的变量,将其翻译为操作对象更合适。
23. 参见方先明,熊鹏.《中国利率政策调控的时滞效应研究——基于交叉数据的实证检验》,财经研究,2005,(8)：7-19。
24.1984年中国人民银行专门行使中央银行职能以来,中国人民银行使用过14种货币政策工具：法定准备金率、备付金率、再贴现、金融机构存贷款利率、中央银行存贷款利率、公开市场操作(国债与外汇)、中央银行票据、中央银行债券、特种存款、商业银行存贷比例、中央银行贷款、综合信贷计划(贷款规模)、综合现金计划和备用便利。
25. 学界对货币政策操作程序有不同的理解和定义(Bofio,1997; Walsh,2001;易定红,2004)。本文上述文献的基础上,认为货币政策操作程序是指中央银行运用操作工具实现既定的中介中间目标的过程中,所采用的日常性操作技术以及对各类扰动所形成的冲击作出反应的方式、规制的总和。
26. 存款准备金制度作为货币政策工具,其基本内容和作用形式不仅包括通常意义上的调整法定存款准备金率,还包括需缴存准备金的金融机构、不同类型存款(资产)的存款准备金率、可以作为存款准备金的资产类型、存款准备金的计提方式、存款准备金是否付息与利率，以及违反这一制度的相关罚则的确定和调整等,这些内容的规定性和调整构成中央银行货币政策操作的基础,因而是一项制度性货币政策工具。
27. Svensson (2003)指出,在开放度不高的国家,产出与通胀是最重要的宏观经济变量。此时,产出缺口与通胀水平是导致社会福利损失的最重要的影响因素。因此,如果以最小化 产出缺口和通胀水平的二次损失函数形式来刻画在封闭条件情况下的宏观经济目标,是具有较强的合理性。
28. λ介于0和1之间,且λ越大说明公众对产出缺口的厌恶程度越高。
29. Svensson(1997)认为,通货膨胀目标有两种：一是严格的通胀目标,这种通胀目标对于产出稳定的权重为零,此时中央银行运用货币政策工具,促使预期通胀与通胀目标相等；二是灵活的通胀目标,这种通胀目标给予产出一个稳定的正的权重,从而促使预期通胀逐步向通胀目标靠拢。所谓的纯粹的目标规则指的是一种基于过去通胀目标产生的灵活通胀规则。
30. 参见刘玉红,高铁梅.《中国动态货币政策乘数和总需求曲线分析》,金融研究,2006(12)：4-16。
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2. 引自《中共中央关于制定国民经济和社会发展第十二个五年规划的建议》。
3. 在众多关于经济周期的定义中,Mitchell和Buns对经济周期所下的定义得到了经济学界的广泛认可,并被大量引用。
4. “增长型经济周期”是指在经济周期的下降阶段,产出总量并不表现为绝对下降,仅仪表现为经济增长速度减缓。
5. 中国从1992年才开始公布GDP等统计数据的季度数据,为了全面地反映改革开放以来我国经济周期的变化趋势,本章笔者采用1978—2010年的年度数据进行分析。
6. 部分学者将1985-1988年的经济周期作为副周期并入1978-1985年的经济周期。
7. 参见徐海俊,徐德云,赵少扬. 《中国经济周期形成机制及反周期宏观经济政策分析》, 河北经贸大学学报,2003,24(6)：24-32。
8. 经济周期的内在传导机制主要包括乘数—加速数机制、产业关联机制和上限—下限缓冲机制等。但限于本文的研究目的,笔者仅从乘数—加速数原理的角度进行分析。
9. 经济周期的内生性,是指经济周期产生于经济运行中的内部结构特点所导致的一种经济变量间相互作用的机制,这种内生性指的是经济周期波动是自我推动的。
10. 张立群认为经济周期的“微波化”趋势,是指经济周期有起伏剧烈、峰谷落差大的波动轨迹,向着起伏平缓、峰谷落差小的波动轨迹转变。参见刘树成主编.经济周期研究报告[M].北京：社会科学文献出版社,2006。
11. 参见张金清主编的教材《金融风险管理》,复旦大学出版社,2009年版。
12. 《中共中央关于制定国民经济和社会发展“九五”计划和2010年远景目标建议》提出把汽车工业作为支柱产业、房地产产业作为新的经济增长点。
13. 自然利率是使储蓄和投资相等的利率,即总产品的价格水平与各生产要素的收入完全相等的利率；市场利率是市场上的真实利率,它围绕着自然利率而上下波动。
14. AIC准则鼓励数据拟合的优良性但是尽量避免出现过度拟合(也就是不要估计太多的参数)的情况,所以优先考虑的模型应是AIC值最小的那一个。SC准则思想与AIC相同,只是计算公式略有差别。FPE主要用于计算预测精度,是对预测效果进行评价的指标,其值越低表明预测效果越好。
15. 参见崔光灿.资产价格、金融加速器与经济稳定[J].世界经济,2006(11)：59-69.
16. 实际上,巴塞尔委员会的第一个“巴塞尔协议”是1975年颁布的《银行海外分支机构监管原则》,目的是界定银行国际业务的监管责任,使监管网络中不出现缺口。而我们现在通常所说的“巴塞尔协议’’是指这项1988年颁布的协议,也称“巴塞尔资本协议”
17. 由国际会计准则委员会制定发布的国际会计准则,连同由美国金融会计标准委员会、会计师协会以及美国证监会共同制定发布公认会计准则,均提供了分层次的公允价值计量方法。其中,层次1是特指在活跃市场有可观察的价格,为此,可采用市价对资产和负债进行价值计量,也被称盯市原则；层次2是特指没有活跃市场时,采用模型来估值,但同时需要输入可观察的参数,也被称为按模型定价；层次3是特指类似盯住模型的方法,但是用不可观察的输入参数以及模型假设进行。
18. 该临界值来自Pesaran et al. (2001, p.300) Table CI(iii) Case III:Unrestricted intercept and no trend.
19. 本章大部分表述引自笔者论文,《论宏观审慎管理框架下反周期货币政策基本架构的优化》,《南方金融》,2011,(5)：15-20。
20. 参见《中共中央关于制定国民经济和社会发展第十二个五年规划的建议》。
21. 国内大部分人将‘'Intermediate Target"翻译为中介目标,在货币政策的执行过程中,货币当局需要可以观测到的指标进行调控,进而对货币政策的最终目标产生影响,而且在经济运行的动态变化过程中,这种影响将面临不断的变化。因此,本文认为将"Intermediate Target"翻译为中介指标,能更好地抵御经济系统中的变化、反映中介指标本身的性质。
22. 国内通常将"monetary policy objective"翻译为操作目标,但笔者认为这些指标是中央银行直接可以操作并控制的变量,将其翻译为操作对象更合适。
23. 参见方先明,熊鹏.《中国利率政策调控的时滞效应研究——基于交叉数据的实证检验》,财经研究,2005,(8)：7-19。
24.1984年中国人民银行专门行使中央银行职能以来,中国人民银行使用过14种货币政策工具：法定准备金率、备付金率、再贴现、金融机构存贷款利率、中央银行存贷款利率、公开市场操作(国债与外汇)、中央银行票据、中央银行债券、特种存款、商业银行存贷比例、中央银行贷款、综合信贷计划(贷款规模)、综合现金计划和备用便利。
25. 学界对货币政策操作程序有不同的理解和定义(Bofio,1997; Walsh,2001;易定红,2004)。本文上述文献的基础上,认为货币政策操作程序是指中央银行运用操作工具实现既定的中介中间目标的过程中,所采用的日常性操作技术以及对各类扰动所形成的冲击作出反应的方式、规制的总和。
26. 存款准备金制度作为货币政策工具,其基本内容和作用形式不仅包括通常意义上的调整法定存款准备金率,还包括需缴存准备金的金融机构、不同类型存款(资产)的存款准备金率、可以作为存款准备金的资产类型、存款准备金的计提方式、存款准备金是否付息与利率，以及违反这一制度的相关罚则的确定和调整等,这些内容的规定性和调整构成中央银行货币政策操作的基础,因而是一项制度性货币政策工具。
27. Svensson (2003)指出,在开放度不高的国家,产出与通胀是最重要的宏观经济变量。此时,产出缺口与通胀水平是导致社会福利损失的最重要的影响因素。因此,如果以最小化 产出缺口和通胀水平的二次损失函数形式来刻画在封闭条件情况下的宏观经济目标,是具有较强的合理性。
28. λ介于0和1之间,且λ越大说明公众对产出缺口的厌恶程度越高。
29. Svensson(1997)认为,通货膨胀目标有两种：一是严格的通胀目标,这种通胀目标对于产出稳定的权重为零,此时中央银行运用货币政策工具,促使预期通胀与通胀目标相等；二是灵活的通胀目标,这种通胀目标给予产出一个稳定的正的权重,从而促使预期通胀逐步向通胀目标靠拢。所谓的纯粹的目标规则指的是一种基于过去通胀目标产生的灵活通胀规则。
30. 参见刘玉红,高铁梅.《中国动态货币政策乘数和总需求曲线分析》,金融研究,2006(12)：4-16。
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