【作者】 刘强；

【导师】 蔡慧娟；

【作者基本信息】 西南财经大学 ， 金融学， 2010， 硕士

【摘要】 2009年6月我国外汇储备余额为21316.06亿美元,已经成为世界第一大外汇储备国。因此,外汇储备的快速增加引起货币供给的内生性增长问题在我国尤为突出。外汇储备通过外汇占款影响我国货币供给量,而中央银行的外汇冲销政策也间接影响到我国货币政策传导机制,从而降低了货币政策有效性。本文首先阐述了货币政策的有效性理论,以及货币政策的传导机制。然后对外汇储备与我国货币政策有效性两者关系进行了理论分析。接着再运用实证分析的方法对外汇储备与货币政策有效性进行分析。最后根据分析的结果提出政策建议。本文的逻辑框架是提出问题、理论分析问题、实证分析问题、解决问题。本文认为外汇储备的快速增加使我国外汇占款增多,而外汇占款的增加又会引起基础货币投放增加,在货币乘数的作用下引起我国货币供给内生性增加,于是中央银行对货币供给的控制力下降,从而影响到我国货币政策的有效性。另外,中央银行为了冲销由于外汇增加所引起的货币供给的被动性增多,采取了多种货币政策冲销工具,而这些被动性、非独立的货币政策操作也影响到了我国货币供给和货币乘数,即对货币政策的有效性产生影响。经过实证分析证明上述结果后,本文认为我国应从控制出口、改革汇率利率形成机制和优化外汇冲销政策等方面着手,适当减少外汇储备规模,从而降低外汇储备对我国货币政策的影响。本文各章节的主要内容和观点：第一章是前言部分,主要包括研究意义和目的,以及文献综述。国外文献主要是分别研究了外汇储备和货币政策有效性问题。对外汇储备的研究集中在外汇储备的适度规模上,而对货币政策的有效性研究主要是在有效和无效的争论方面。国内研究大多是从理论角度论证了外汇储备对我国货币政策影响程度较大。第二章介绍了货币政策有效性理论。传统西方经济理论将货币政策有效性理论分为货币政策有效论和无效论。古典学派、早期凯恩斯主义学派、货币主义学派和理性预期学派认为货币政策无效。而魏克赛尔货币均衡论、凯恩斯学派、新古典综合学派和新制度经济学派认为货币政策有效。货币政策的传导途径主要有利率、资本市场、信贷市场、财富传导、汇率传导和货币供给传导途径等。第三章分析了外汇储备与我国货币政策有效性的关系。第一节分析了我国外汇储备快速增长的原因。其中贸易顺差的增大和外商直接投资的增加直接导致了外汇储备的增加。而人民币的升值和中美正利差,增加了人民币升值的预期,吸引了投机资本流入国内。我国的外汇体制也是外汇储备增加的原因之一。我国虽然实行的是浮动汇率制,但是浮动的范围却有严格的限制,因此汇率风险相对较低,这吸引了大量的投机资本流入国内。而强制银行结售汇制度使中央银行被迫吸收超过外汇银行外汇限额的部分,造成外汇储备激增。我国在出口退税等政策方面鼓励出口企业开展出口贸易,使外汇收入增加。第二节分析了外汇储备对货币供给的影响。中央银行吸收外汇储备反映在资产负债表上就是外汇占款的增加。而为了平衡资产负债表,中央银行会增加基础货币的投放,在货币乘数的作用下引起货币供给量的内生性增加。第三节分析了我国外汇冲销政策的历史实践和局限性。历史上,中央银行为了应对货币供给的被动性增加,采用了回收商业银行再贷款、债券市场回购、发行央票、调整法定存款准备金率,以及窗口指导等工具。我国外汇冲销政策中再贷款政策会限制内向型企业融资,导致产业结构失衡,引发结构型通货膨胀。公开市场操作会吸引外国资本流入,引起人民币升值,同时也会增加未来政府还本付息的压力,不利于经济的长期发展。而法定存款准备金率的调整与外汇储备的变化不是同步的,可能会与原来的货币政策目标相矛盾。而且法定存款准备金率的提高会引起预期利率上升,吸引了投机资本流入国内。第四节在上述分析的基础上分析了外汇储备对我国货币政策传导途径的影响。外汇储备增加和央行的外汇冲销政策主要在利率传导途径、汇率传导途径、资本市场传导途径、信贷市场传导途径等方面影响货币政策的独立性。第四章是从实证的角度分析了外汇储备对我国货币政策有效性的影响。第一节实证分析外汇储备对货币乘数的影响。在实证过程中选择了货币乘数、外汇储备、法定存款准备金率、超额存款准备金率和通货比率进行Granger因果检验,和误差修正模型。得出结论是外汇储备在短期和长期都是货币乘数的影响因素。第二节实证分析了外汇储备对基础货币的影响。选择变量是基础货币、外汇储备、货币发行、央行对金融性公司的负债；最后从误差修正模型中得出的结论是,外汇储备、货币发行和对金融性公司的负债都是影响基础货币的长期和短期的影响因素。第三节实证分析了外汇储备对货币政策有效性的影响。选择变量有外汇储备、广义货币供给、国内生产总值、通货膨胀率和金融机构各项贷款余额。对上述变量进行VAR建模,再进行脉冲响应分析和方差分解。最后得出结论,外汇储备对其余各变量存在稳定的长期关系,外汇储备与货币供给存在正相关关系。第五章是政策建议。本文认为从控制出口、改革利率汇率体制和优化外汇冲销政策等方面降低外汇储备对货币政策的影响。本文的研究重点是外汇储备对货币政策的影响。由于我国是世界第一外汇储备国,巨额的外汇储备与央行的货币政策独立性之间的矛盾在我国尤为突出。因此本文的研究具有较强的现实意义。国内外学者较多地从理论角度分析外汇储备影响货币政策有效性,而本文主要是在理论分析的基础上,重点运用计量模型中的误差修正模型和VAR模型分析外汇储备对各变量的影响。这也是本文研究的创新点所在。更多还原

【Abstract】 Along with the deepening of China’s reform and opening up, and developing of export-oriented economy, the foreign exchange earnings increase greatly. In June 2009 the foreign exchange reserves totaled 2.131606 trillion U.S. dollars, so China had become the largest foreign exchange reserves. Therefore, the problem that money supply grows endogenously caused by rapid increase of foreign exchange reserves, is obvious in our country. The foreign exchange reserves affect our money supply and the foreign reserves offset policy of central bank also limits monetary policy transmission mechanism indirectly, so that the effectiveness of monetary policy is reduced.Firstly, this paper describes the theories about effectiveness of monetary policy, and monetary policy transmission mechanism. Secondly, this paper analyzes the relations between the effectiveness of monetary policy and foreign exchange reserves theoretically. Then the relations are analyzed empirically. Finally, the related recommendations would be put forward according to results of above analysis. This logical framework of this paper is that bringing issues firstly, theoretical analysis secondly, empirical analysis thirdly and last solving problems.The main contents of that chapters and viewpoint:Chapter 1 is the introduction section, including the meaning and purpose of this research, as well as literature reviews. Foreign study is mainly about scale of foreign exchange reserves. And the research about effectiveness of monetary policy is that the monetary policy is valid or not. Domestic researches think that foreign exchange reserves influence our monetary policy greatly in theory.Chapter 2 introduces the theories about the effectiveness of monetary policy. The traditional economic theory divides effectiveness of monetary policy into valid and invalid. Classical School, the early Keynesian school, monetarism school and ration expectation school holds the idea that the policy is invalid. The Wicksell’s monetary equilibrium theory, Keynesian school, comprehensive classical school and the new economics school about system thinks that policy is valid. Monetary policy transmission channels mainly include interest rates, capital markets, credit markets, wealth transmit, exchange rates and money supply pathway conduction.Chapter 3 analyzes relations between foreign exchange reserves and the effectiveness of monetary policy. First section analyzes the reasons for the rapid growth of foreign exchange reserves, in which the increase of trade surplus and foreign direct investment are direct factors causing foreign exchange reserves to increase. Second section analyzes the impact of foreign exchange reserves on money supply. After foreign exchange reserves are absorbed, the RMB counterpart of foreign exchange reserves have to rise. In order to balance the balance sheet, the central bank has to increase money supply under effect of the monetary multiplier. Third section analyzes the practice in history and limitations of the foreign reserves offset policy Historically, in response to the passive money supply the central bank uses many measures like recycled commercial banks re-lending, the bond repurchase, the central bank issue tickets, adjusting the statutory deposit reserve ratio, and window guidance and so on. Fourth section analyses the impact of foreign exchange reserves on monetary policy transmission channels on the base of the above analysis. That channels include interest rate, the exchange rate, the capital market, credit markets pathway.Chapter 4 research the influence from foreign exchange reserves to the effectiveness of monetary policy by the method of empirical analysis. First section analyses the effect of foreign exchange reserves on money multiplier empirically. Second section analyses the effect of foreign exchange reserves on base currency. Third section analyses the effect of foreign exchange reserves on monetary policy effectiveness. The conclusion is that the foreign exchange reserves are stable factors of money multiplier and base currency in long-term and short-term.Chapter 5 is.the policy recommendations. This paper argues that the impact of foreign exchange reserves should be reduced by controlling export, reforming exchange rate system, optimizing foreign reserves offset policy and so on. This paper’s thesis is strong practical for our country. The innovation of this paper is to analyze the effect of foreign exchange reserves on the relevant parameters by using the method of empirical analysis.更多还原