数量型工具还是价格型工具

【作者】 冯俊；

【导师】 袁志刚；

【作者基本信息】 复旦大学 ， 西方经济学， 2005， 博士

【副题名】货币政策、居民预期与金融市场中的名义锚作用

【摘要】 中国的金融市场和货币政策传导工具是随着中国经济一起成长的。改革开放前，我国货币政策传导从人民银行→人民银行分支机构→企业，基本没有商业银行、金融市场，传导过程简单直接，从政策手段直接到最终目标。改革开放后的80年代，随着中央银行制度的建立和金融机构的发展，货币政策形成从中央银行→金融机构→企业的传导体系，传导方式主要是通过信贷计划，货币市场尚未完全进入传导过程。90年代以后，金融宏观调控方式逐步转化，货币市场进一步发展，初步形成从中央银行→货币市场→金融机构→企业的传导体系，初步建立从政策工具→操作目标→中介目标→最终目标的间接传导机制。我们可以看出其中政策变化的轨迹，1984年之后，财政在宏观经济调控中的作用弱化，通过信贷管理、和货币供应的货币政策逐步成长成为宏观经济调控中的重要手段。其主要表现是：(1)是货币政策传导主要依靠信贷管理等方式；(2)长期实行低利率政策，利率政策具有“向上刚性，向下柔性”的特征；(3)货币市场逐步成长壮大，成为央行调控货币供应量和基础货币，影响短期利率和金融机构流动性的重要场所。货币政策中介目标和操作目标从贷款规模转向了货币供应量和基础货币，存款准备金、利率、中央银行贷款、再贴现、公开市场操作等调控工具逐步扩大。但是这套传导机制的效果如何呢?1997年以前，一个宏观调控的惯常逻辑被遵循——货币政策影响投资，从而影响经济增长。我国经济通过货币政策的操作方式步入的是“一抓就死，一放就乱”的怪圈。从1997年开始，我国连续实施了旨在防止危机影响的“稳健”的货币政策，连续八次降息。以期放松银根，启动经济。但是与97年相比较，效果截然相反，实际经济对货币政策的敏感性仿佛已经“钝化”，货币传导机制是否“阻滞”成为争论的焦点，财政政策的作用重新凸现。由于1998年以来投资和外贸轮子的启动，2002年8月开始，货币、信贷增速加快，到2003年中国出现了房地产、煤电油运等生产资料价格飞涨，固定资产资产投资增长过快等等投资过热的现象。由此引发了新一轮的以经济紧缩为特征的宏观调控。配上窗口指导及其他有力的行政性措施，央行调整存款准备金率、再贷款和再贴现的利率、人民币准备金利率等等而且通过货币市场进行公开市场操作，调控市场流动性，影响商业银行等微观主体的资金成本和支出预期，有效遏制了经济趋热和通货膨胀。从本轮的宏观调控中可以看出，传统的信贷渠道并没有象以往一样承担货币政策传导的调控任务的主渠道，中央银行开始灵活使用利率杠杆，货币政策调控方式似乎开始逐步由数量型政策工具向价格型工具转变。通过如上变化，有理由相信金融市场在中国经济中扮演着重要的角色。但对于理论研究来说，更为要紧的是理解金融市场对货币政策传导的作用机制。遗憾的是，货币政策传导的现有文献并不能提供一个现成的逻辑框架。20世纪80年代，中国货币政策一直比较重视货币需求和供给；90年代以后对政策最终目标、中介目标和政策工具的研究大量涌现；另外有些研究探讨了中国的货币政策传导机制，探讨了金融结构和货币政策传导机制的关系，以及货币政策有效性的问题；处于中国商业银行在金融体系中占据主导地位的特征，中国货币政策更多的是通过信贷政策进行调控，相应地在信贷市场方面的论述是比较多的，但是金融市场对货币政策的传导机制的研究是鲜有所见。从理论发展来看，这并非没有前人想要尝试，而是一旦到了此处，就认为“此路不通，游客止步”了。比如，(1)是在制度变化的环境中，货币需求是不稳定的，货币供应具有内生性，利率作为中介目标的相关性和可靠性降低，货币政策的效应必然降低；(2)是随着我国信贷目标的放弃，货币供应量的利率弹性较低，商业银行尚且不是独立的利益主体，无法就货币政策进行抉择，因此利率政策的低显著性表现无遗：(3)是中国企业作为微观主体的市场化行为不健全，金融市场并不完善，利率和GDP增长缺乏联系等等。上述解释的研究就货币政策传导的部分缺陷指出不足点，缺乏从金融市场来对货币政策的执行深度和广度进行考察。究其原因，是在研究与实际操作中，更多的是至上而下的宏观分析角度和思路，缺乏对微观主体，比如对企业和居民对货币政策预期机制的考察，缺乏对央行和微观主体博弈方式的研究，缺乏对金融工具在市场中的宣示作用和观测效果的研究。本文的将在货币政策造成的短期冲击基础上，研究居民预期行为的改变及其二者的博弈关系，和金融市场作为名义锚寄居所在其中所起的重要作用。在货币政策的研究道路上，继货币中性论和凯恩斯之后，弗里德曼指出调控经济社会中的货币数量(包括货币流通量和货币储存量)和价格水平成为货币政策研究的核心目标。萨金特和华莱士(1975)、基德兰德和普里斯科特(1977)、巴罗和乔登(1983)等等以理性预期和完全信息为假设条件，指出无论是何种政策工具，货币当局如果在任何阶段偏离触发策略，例如偏离既定的反通胀目标，都会触发公众的报复，即是提高通胀预期，从而为货币当局反通胀付出高昂的代价，相机抉择的政策无效。本文研究的仅仅是一个方面，那就是但是金融市场价格变化如何影响居民预期，需要什么样的金融工具来观测宏观和微观经济行为，来传导政策意图?以及货币政策如何通过居民预期调整?目前来看，在中国金融市场的传导工具研究的缺失和争议的主要集中在这些方面：(1)到底是通过货币市场渠道还是信用渠道来影响经济的?信用渠道在货币政策传导机制应该满足两个条件，其一是某些借款者倚赖银行贷款，其二是货币政策可以改变贷款相对其他信用形式的供给量。第二个条件是要求中央银行能够间接调控商业银行的信贷行为。由于我国处于转轨时期的商业银行的微观制度基础和市场结构正在变化，中央银行的间接调控影响力如何引起较大争议。(2)金融市场缺乏对微观主体—居民行为的研究和分析。在诸多渠道研究中，都是关注在渠道研究上，总体思维方式和方法是沿袭凯恩斯的方式，具体到居民和企业行为的研究十分的缺乏，必然导致货币传导机制研究是缺乏基础的。社会保障体制的不健全及居民可选择金融资产较少，使大量社会资金集聚于商业银行，既增大了央行近期的调控难度，又增大了央行远期的调控压力。(3)目前到底是采用价格性工具还是数量型工具更为重要?金融市场如何扮演这个角色?如何发挥工具的观测和宣示效应。对这些效率工具考察是十分主要的，直接扰乱了央行调控措施的实现。本文的逻辑框架是：第一章通过菲利普斯曲线检验货币政策的有效性和对中国居民预期的分析，为本文行文打下基础；第二章通过岛屿模型及其扩展，指出中国的名义价格冲击和存在的中国的名义刚性，说明价格刚性在中国货币政策中的关键作用，短期来看微观主体面临信号筛选和福利损失的问题；第三章通过信贷渠道和货币渠道的VAR值检验和因果分析，指出信贷渠道尽管在中国扮演重要角色，但是已经不适宜成为中国货币政策传导的主要渠道，通过货币供应量控制信贷投放的方式应该引起反思；第四章和第五章通过Poole等的模型和实证检验，指出中国目前总需求和货币需求利率弹性普遍较低，但是货币需求的外部冲击较大，相对于总支出的利率不敏感性，货币需求的利率弱敏感性更容易被矫正，导致利率工具成为价格型工具胜过数量型工具的次优选择，更为主要的是，金融市场的发展能够确立名义锚的作用，便于政策目标的宣示和效果的观测；第六章通过消费的CPAM模型，指出金融市场发展的制度背景和金融市场发展的必要性和方向；第七章本文指出尽管利率工具不是信贷约束的唯一条件，但是在中国股权约束的软化和银行贷款的验证成本，需要大力发展债券型品种。本文力图阐明下述问题：(1)央行货币政策目前作为一种重点调控的手段被日益强化，货币政策在居民生活中的重要性程度十分突出，利率、货币供应量、存款准备金等货币政策工具逐步的被应用和加以扩大。目前来看，在宏观调控中，价格型工具越来越起着主要的作用。(2)就信用渠道和货币渠道而言，央行货币政策的具体落实和实施取决于未来市场的诸多方面，诸多研究是信用渠道不畅，主张信用渠道的“疏畅”。但是目前银行系统是“倒逼机制”。弱化、商业银行“惜贷”、银行资本充足率不足，信贷供给受限等等诸多原因。目前银行业改革已经制约信用渠道拓展的这一空间。事实证明，银行等金融机构对货币政策的反应程度、速度和效果，在具体到微观个体往往容易变形，达不到预期效果，货币当局也不容易宣示和跟踪政策效果。(3)就数量型和价格型调控而言，价格型工具具有对金融市场的更加完善的观测和宣示功能，以及价格型工具和市场之间的相互预期效应的考察和观测等等，这是数量型工具无可替代的。(4)金融市场的欠发达，央行政策调控意图通过金融市场再传递到实体经济，其效果不甚明显。本文研究货币政策如何通过金融工具传导，货币政策如何影响居民的预期以及金融投资和储蓄资产行为，如何发展我国的金融市场和金融工具，改进目前的传导机制，达到央行调节经济的目标是本文致力解决的问题。本文认为货币传导机制的微观基础是：一个多样化而且具有流动性的货币市场和债券市场，一个引导微观主体预期的灵活的利率体系，以及一个政策和微观主体之间宣示、观测和沟通的金融市场机制，这一切在我国亟需发展。更多还原

【Abstract】 Chinese financial market and monetary policy transmitting instrument grow with the development of Chinese economy. It can be seen from this round macroscopic adjustment and control that traditional credit channel has not undertaken the adjustment and control major channel of monetary policy transmission like before. Central bank has began to flexibly use interest rate lever and monetary policy adjustment method seem to begin to gradually transfer from quantity type policy instrument to price type instrumentFrom the change above, it should be believed that financial market has played an important role in China economy. But as for the theoretic research, more crucial thing is to understand the impact that financial market has on the monetary policy transmission. It is a pity that existing literature on monetary policy transmission can not provide a ready-made logical frame. In the 20 century 80s, Chinese monetary policy always attached more importance on the money demand and supply. After 90s, the research on policy ultimate and middle objective and policy instrument largely came forth. Otherwise, some research discussed Chinese monetary policy transmission mechanism, the relationship with financial structure and monetary policy transmission mechanism and monetary policy validity as well. Because the characteristic is that Chinese Commercial banks play a leading role in financial system, Chinese monetary policy is adjusted and controlled more via credit policy and discussion on credit market is provided accordingly, but it is difficult for us to see the research on transmission mechanism between financial market and monetary policyFrom the point view of theory development , I believe that someone wants to try to research on this field though he was called a halt. For example(l) In the system environment, money demand is not stable, money supply has inner productive feature and the relativity and reliability of interest rate qua agency objective has reduced, so the effectiveness of monetary policy is sure to fall. (2) With the Chinese credit objective giving up, the interest rate flexibility of money supply quantity is very low and commercial banks have not been separate interest principle parts yet, they are not able to make choices according to monetary policy, so it is obviously shown that the interest rate policy has low distinction. (3) Marketing action of Chinese corporation qua micro-main party is not healthy, financial market is not perfect and interest rate and GDP lacks relation etc. The explanation above shows the disadvantage as to the part of monetary policy transmission’s shortcomings and it lacks review on depth and width of monetary policy implement from financial market. The reason is that in the implement of research and practice, the macro-analysis angle and way of thinking is more from the top to bottom. The explanation is short of the research on micro-unit which for example, investigate corporations and inhabitants on monetary policy anticipated mechanism, short of the research on central bank and micro-unit game method and short of the research on announcement impact that financial instruments have on market and observation results. On the basis of short-term impact caused by monetary policy, the article makes research on the change of inhabitant anticipated action and game relation between the two.On the way of the research on monetary policy, following the money neutral theory and Keynes, Friedman indicated that adjusting and controlling the money quantity which include money turnover and money storage in the economy society and price level become core objective of monetary policy research. Sargent and Wart las(1975) )、 Kydland and Prescott (1977) 、 Barro and Gordon(1983)(1983)etc. indicated that whatever policy instruments are, if money authorities deviate from beginning strategy in whatever stage ,for example which deviate from established anti-inflation aim, it will trigger public revenge , that is improving inflation anticipation in order to pay expensive price for money authorities’ anti-inflation. The article researches on only one hand, but how the change of financial market price have impact on inhabitant anticipation and what financial instruments we need to observe the macro-economy and micro-economy action and express policy meaning. From the current situation, the shortage and dispute of research on transmission instruments in china financial market focus on these aspects:Firstly, how to impact economy? Through money market channel or credit channel? Credit channel should meet two demands in money policy transmission mechanism, the first point is that some money borrowers relay on bank loans, and the second point is money policy can change the supply quantity of loans relative to other forms of credit. The second condition is to ask central bank to be able to indirectly adjust and control commercial bank credit actions. As Chinese micro-system basis of commercial bank is under transformation age and market structure is changing , how’s the influence of central bank indirect adjustment and control arouse much dispute and discuss.Secondly, the financial market is short of the research and analysis on micro-unit inhabitants action. In many channel researches, whole way of thinking follow Keynes method, embody that the lack of inhabitant and corporation action research inevitably result that money transmission mechanism research is short of foundation. Unhealthy social security system and few financial capital provided cause a quantity of social capital accumulate in commercial bank which enhance the difficulty of central bank recent adjustment and control and also increase the pressure of central bank long-term adjustmentand control.Thirdly, at present, is it more important to adopt price type instrument or quantity type instrument? How the financial market play this role? How to exert instrument observation and announcement effect? The investigation of these efficient instruments is very primary which directly disturb the realization of central bank adjustment and control. The logic frame of the article is: the chapter one will test money policy effectiveness through Philips curves and analysis on Chinese inhabitant anticipation in order to lay foundation for the article; The chapter two indicates the Chinese nominal price impact and existing Chinese nominal rigidity through islands model and its extension in order to explain that price rigidity plays a key impact on Chinese money policy. In the short-term, micro-units face the problem of signal filtration and welfare loss; Through VAR value test and cause & effect analysis of credit and money channel, the chapter three indicate that although credit channel play a very important role in china, it is not suitable to become the main channel of Chinese money policy transmission and the method of putting in credit through controlling money supply quantity should arouse thoughts. Through Poole model . Model and practical testing and examine, chapter four and chapter five point out that at present Chinese general and money demand interest rate flexibility is very low at large, but impact of money demand is very large. Relative to less sensitivity of total outlay interest rate, interest rate weak sensitivity of money demand is easier to be rectified which cause interest rate instruments will show that price type instrument is better than quan type instrument , what is more principle is that the development of financial market can establish the function of nominal anchor which is convenient to policy aim announcement and effect observation; Through consumptive CPAM model, chapter six shows that the system background of financial market development and necessity and direction of financial market development. Chapter seven indicates that though interest rate is not the only term of credit restriction, China need to vigorously develop bond type products because Chinese stock right leash intervention and the validation cost of bank loans. The article try to explain the problems hereinafter:更多还原