经济转轨中的资本市场与货币政策传导机制

【作者】 金戈；

【导师】 蒋振声；

【作者基本信息】 浙江大学 ， 管理学， 2002， 博士

【摘要】 20世纪90年代以来，资本市场的深化发展使得货币调控的微观基础发生了深刻变化，资本市场对经济增长和其他经济变量的作用凸显，从而资本市场与货币政策的关系引起了理论界与政策当局的关注。我国资本市场发展迅速，占宏观经济的比重不断提高，股票市场成为货币政策传导的“旁路”，货币政策的货币传导机制成为与以往信贷传导机制并行的传导渠道。那么，在我国，资本市场传导货币政策的效率如何?在经济转轨的特定条件下，资本市场传导货币政策有何特点?决定于哪些因素?有何政策含义?文章在第一章提出这一问题之后，对本文所涉及的两个核心概念作了界定，然后简要阐述了本文的框架结构。经济转轨是指计划经济国家放弃以计划作为组织经济的主要模式，而转向由市场作为资源配置的主要方式。其目标是提高经济效率，促进经济增长。改革的内容包括宏观经济稳定、物价和市场自由化、改组国有企业、转变政府职能，以及相应的政治变革。资本市场的概念并不确定，在本文中资本市场主要是指股票市场和债券市场，在实证分析中以股票市场作为主要分析对象。以上构成本文的第一部分。第二、三、四共三章构成第二部分。 西方货币政策传导理论对资本市场在货币政策传导中的作用早有论述。货币政策传导理论主要包括货币机制观和信贷机制观。凯恩斯主义者和货币主义者都强调了金融市场在货币政策传导中的重要意义，二者的分歧在于分析的方法和侧重点，凯恩斯主义者更强调货币的价格——利率，货币主义者更强调货币数量—货币供应量，从而得出相异的结论。不过，两个学派关于货币政策对价格水平与产出的影响的观点分歧逐步缩小。货币机制观主要包括早期的纯粹利率机制观和后期的广义利率机制观。货币机制观以完善金融市场为前提假设，而后凯恩斯主义者对此表示异议，并提出了基于不完善市场假设的货币政策传导的信贷机制观。信贷机制观以信贷配给理论为理论基础，认为金融机构的资产业务也能够传导货币政策。这一理论主要包括信用可得性理论、银行信贷理论、非对称信息效应论和流动性效应论等观点。但是，无论是货币机制观，还是信用机制观，资本市场都包含在货币政策传导的过程当中，资产价格也包含在广义的价格概念中。资产价格变动会产生财富效应、Q效应、流动性效应、非对称效应等而作用于实际产出。 近年来，资本市场已经构成了我国货币政策传导的“信贷旁路”，货币渠道已成为与信贷渠道并行的货币政策传导渠道。我国货币政策的最大问题在于货币政策传导效率。货币渠道上游的扩展和疏浚、下游的梗阻和扭曲，信贷渠道的下游梗阻，是我国货币政策传导机制的主要特征。由于在转轨过程中，追求利益最大化的产权制度安排在国有部门并不存在，使得货币政策传导具有资金供给制的痕迹，表现出转轨特征货币。货币政策传导的主要问题表现在：1．中央银行公开市场操作的市场基础薄弱，利率传导机制受阻；2．资本市场的扭曲使得货币政策难以产生Q效应、财富效应和流动性效应；3．风险约束和无利润约束导致国有商业银行对货币政策反应不充分，货币政策传导缺乏有力的中介机构； 浙江大学博土学位谊文 经济转轨中的资本市躺货币政策传导椰钟一蒜舵冲国资本市场的功8刨心旧 一 4．消费风险减弱了消费支出，公众预期构成货币政策传导的约束因素；5．中小企业融资 难成为货币政策影响投资的屏障。 由于在经济发展早期，资本市场尚不发达，对经济的作用尚有限，资本市场在货币政 策传导中的独特地位还不突出，因而货币政策传导理论对资本市场的作用没有给予充分关 注。不过，20世纪90年代以来，由于金融市场的迅速发展，资本市场在货币政策传导中 的作用逐渐为政策当局所重视，为众多国家所确定为货币政策目标的价格水平是否应该包 括资产价格也受到广泛讨论。从理论上来看，货币政策应该关注资本市场的理由在于： 1．资本市场的发展降低了货市需求的稳定性。资本市场对货币需求的影响包括财富 效应、交易效应、资产组合效应和替代效应。财富效应、资产组合效应和交易效应增加货 币需求，而替代效应减少货币需求。资产价格波动对货币需求的最终效应取决于四种效应 的综合作用结果。资本市场的发展拓宽了微观主体的选择范围，使货币需求变动不居，增 加了需求性货币调控的难度。 2．资本市场发展使货币的内生性增强，弱化了货币供给与产出之间的稳定联系，加 大了货币乘数，降低了基础货币的可控性，从而降低了中央银行控制货币供给的能力。 3．资本市场发展使货币政策调控目标发生变化。资产价格与一般价格水平紧密相 关，股票价格膨胀通过财富效应和Q效应而扩大投资与消费，使总需求超过总供给，推 动一般价格水平上涨。另一方面，股票市场泡沫破灭能迅速恶化银行、居民和企业的资产 负债表，使经济急剧陷入严重的通货紧缩之中。因此，即使经济中没有通货膨胀压力，也 应关注股票价格波动对一般价格水平和实体经济的影响。不过，对于中央银行是否应该把 股票价格波动作为货币政策独立的调控目标?更多还原

【Abstract】 Since 1990s, the deepening in capital markets has made the foundation of money regulation a profoundly change, and increasingly influenced some economic parameters as economic growth and others, which attracted the attention of the authorities and economics. Capital markets in China developed rapidly and became a side road of monetary policy conduction. However, how about the conduction efficiency and influential factors? After putting forward the issues in Chapter 1, the dissertation explained two key words, economic transformation and capital markets, then presented the dissertation framework.Capital markets as a channel of monetary policy conduction has got the theoretical discuss for long. The theory of monetary policy conduction includes money views and credit views. No matter in which one, capital markets are contained and assets price are contained in the concept of generalized price. In forepart, capital markets relatively less developed and had limited effects, and therefore got less attention. In china, capital markets had become a side road of monetary policy conduction; money channel has been a collateral trench with credit ones which was the only one before. The less effective conduction is the most serious matter in Chinese monetary policies, and the money channel should be expanded and dredged up in upriver, existed blocks and twists in downriver, at the same time credit channel is blocked at downriver, which is the main character of monetary policy conduction mechanism in China. Since it is not in existence in the state-owned sections of the property right pursuing maximum returns during the institution transformation, monetary policies conduction displays the feature of financing supply system. The major problems in monetary policies conduction consist: 1. The blocked channel of interest rate; 2. Absence of some effects as Q effect, wealth effect for the twist in capital markets; 3. The weak impacts of agencies; 4. The restriction of mass expectation; 5. The financial constrains in the mid- and small scale of enterprises.Theoretically, capital markets lower the steadiness, and leads to an infirm affiliation between money supply and output. The reasons include that capital markets enlarges conduction main bodies and make more complex conduction channels, and become more important in monetary policies conduction relative to banks. Assets price is a key variable in the conduction of monetary policies through capital markets, for it has a close relation to flat price and its fluctuation would impact the aggregate demand including investment , consumption and imp- and export. The capital markets channel in monetary policies conduction involves two techs, the first one is assets prices are influenced by monetary polices in access of interest rate and inflation, the second one is assets prices have further impacts on real output by Q effect, wealth effect and liquidity effect.So, macro polices should pay more attention to the development in capita markets in monetary polices conduction.As financial capitals are provided with virtual feature, the efficiency of capital markets in monetary polices conduction depends on whether assets prices reflect the inner value or not, namely, whether bubbles are comprised in assets price and whether assets price are stochastic. Besides capital markets efficiency, rational behavior of the markets participators and the institutional environment can also contribute to the being of assets bubbles. Capital markets efficiency is a system consisting pricing efficiency, operation efficiency, efficiency information, insurance efficiency, and functional efficiency. This system is with the pricing efficiency at the core, with the functional efficiency at the end, and just is the resource allocation efficiency in substance. Only in an effective market, assets prices are dynamically able to hasten to its value, capital markets can exert the functions of price mechanisms, take-over mechanisms, and corporation monitor mechanisms, and allocate the finance resource onto th更多还原