利率市场化改革是否弱化了货币政策传导的“伯南克之谜”
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摘要
"伯南克之谜"描述的是现实货币政策传导同利率传导渠道理论预期相悖离的三大特征,这些特征来自发达经济体,而新常态下中国经济环境有自己的鲜明特色,利率市场化推进会弱化伯南克之谜的理论预期未必符合中国的经济事实。本文研究发现,利率市场化对伯南克之谜的弱化作用小于预期,机制是预期通货膨胀效应和利率期限结构效应改变了货币政策的传导效果。本研究的政策含义是,数量型和价格型工具对货币政策的实施同样重要;构建完善的货币政策利率调控体系不能仅依赖利率市场化本身,经济市场化体系的完善更为重要。
"The Bernanke's Puzzle" generally describes three characteristics that are contrary to the theoretical expectations of the transmission of real monetary policy and channels of interest rates; however,these characteristics are drawn from developed economies,and China's economic environment under the New Normality presents its own distinctive features. Thus,while advances in interest rate marketization should weaken the theoretical expectation of the Bernanke's puzzle,the conclusions may not be in line with the economic facts in China. The empirical study shows that,through the effects of expected inflation and the term structure of interest rates,the Chinese market-oriented interest rate reform effectively undermines the Bernanke's puzzle,but to a lesser extent than the theoretical expectation. The policy implication of the study is that quantitative and price-based monetary tools are equally important for the implementation of monetary policies in China. The construction of a perfect interest rate regulation system of monetary policies cannot only rely on the interest rate market reform itself; instead,the market-oriented reform of the whole economy may become a more important factor.
"The Bernanke's Puzzle" generally describes three characteristics that are contrary to the theoretical expectations of the transmission of real monetary policy and channels of interest rates; however,these characteristics are drawn from developed economies,and China's economic environment under the New Normality presents its own distinctive features. Thus,while advances in interest rate marketization should weaken the theoretical expectation of the Bernanke's puzzle,the conclusions may not be in line with the economic facts in China. The empirical study shows that,through the effects of expected inflation and the term structure of interest rates,the Chinese market-oriented interest rate reform effectively undermines the Bernanke's puzzle,but to a lesser extent than the theoretical expectation. The policy implication of the study is that quantitative and price-based monetary tools are equally important for the implementation of monetary policies in China. The construction of a perfect interest rate regulation system of monetary policies cannot only rely on the interest rate market reform itself; instead,the market-oriented reform of the whole economy may become a more important factor.
引文
蒋瑛琨、刘艳武、赵振全(2005):《货币渠道与信贷渠道传导机制有效性的实证分析—兼论货币政策中介目标的选择》,《金融研究》第5期。
李成、马文涛、王彬(2011):《通货膨胀预期、货币政策工具选择与宏观经济稳定》,《经济学(季刊)》第1期。
林仁文、杨熠(2014):《中国市场化改革与货币政策有效性演变》,《管理世界》第6期。
林毅夫(2011):《新结构经济学—重构发展经济学的框架》,《经济学(季刊)》第1期。
刘伟(2011):《经济发展的特殊性与货币政策的有效性》,《经济研究》第10期。
刘伟、张辉(2008):《中国经济增长中的产业结构变迁和技术进步》,《经济研究》第11期。
欧阳志刚、史焕平(2010):《中国经济增长与通胀的随机冲击效应》,《经济研究》第7期。
彭建刚、王舒军、关天宇(2016):《利率市场化导致商业银行利差缩窄吗?—来自中国银行业的经验证据》,《金融研究》第7期。
钱雪松、杜立、马文涛(2015):《中国货币政策利率传导有效性研究》,《管理世界》第11期。
饶品贵、姜国华(2013):《货币政策对银行信贷与商业信用互动关系影响研究》,《经济研究》第1期。
盛松成、吴培新(2008):《中国货币政策的二元传导机制—“两中介目标,两调控对象”模式研究》,《经济研究》第10期。
谭政勋、王聪(2015):《房价波动、货币政策立场识别及其反应研究》,《经济研究》第1期。
王君斌、郭新强(2011):《产业投资结构、流动性效应和中国货币政策》,《经济研究》第2期。
王湘(2014):《国际原油价格与国内成品油价格互动关联的统计检验》,《统计与决策》第4期。
徐明东、陈学彬(2011):《中国微观银行特征与银行贷款渠道检验》,《管理世界》第5期。
杨宇俊、黄卉(2011):《银行间国债市场利率期限结构研究》,《统计与决策》第8期。
姚余栋、李宏瑾(2013):《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》,《世界经济》第3期。
战明华、蒋婧梅(2013):《金融市场化改革是否弱化了银行信贷渠道的效应》,《金融研究》第10期。
张成思(2008):《通货膨胀动态路径的结构性转变及其启示》,《金融研究》第3期。
张孝岩、梁琪(2010):《中国利率市场化的效果研究——基于我国农村经济数据的实证分析》,《数量经济技术经济研究》第6期。
张雪兰、何德旭(2012):《货币政策立场与银行风险承担》,《经济研究》第5期。
张勇、李政军、龚六堂(2014):《利率双轨制、金融改革与最优货币政策》,《经济研究》第10期。
张宗益、吴恒宇、吴俊(2012):《商业银行价格竞争与风险行为关系—基于贷款利率市场化的经验研究》,《金融研究》第7期。
Afrin,S. “Monetary Policy Transmission in Bangladesh:Exploring the Lending Channel.” Journal of Asian Economics, 2017,49(4),pp.60-80.
Agénor,P. R. and Montiel,P. J. Development Macroeconomics. New Jersey: Princeton University Press,2015.
Ahmed,S. and Islam,M. E. “The Monetary Transmission Mechanism in Bangladesh Bank Lending and Exchange Rate Channels.” Bangladesh Development Studies, 2004,30(3),pp.31-87.
Aysun,U.; Brady,R. and Honig,A. “Financial Frictions and the Strength of Monetary Transmission.” Journal of International Money and Finance, 2013,32(1),pp.1097-1119.
Bean,C.; Larsen,J. and Nikolov,K. “Financial Frictions and the Monetary Transmission Mechanism:Theory,Evidence and Policy Implications.” European Central Bank working paper series,No.113,2003.
Benati,L. “Band-Pass Filtering Cointegration,and Business Cycle Analysis.” Social Science Electronic Publishing, 2001,142(9),pp.49-53.
Bernanke,B.S. “The Determinants of Investment: Another Look.” The American Economic Review, 1983,73(2),pp.71-75.
Bernanke,B. S. and Blinder,A. S. “Credit,Money,and Aggregate Demand.” The American Economic Review, 1988,78(2),pp.435-439.
Bernanke,B. S. and Blinder,A. S. “The Federal Funds Rate and the Channels of Monetary Transmission.” The American Economic Review, 1992,82(4),pp.901-921.
Bernanke,B. S. and Gertler,M. “Inside the Black Box,the Credit Channel of Monetary Policy Transmission.” Journal of Economic Perspectives, 1995,9(4),pp.27-48.
Bhattacharya,R.; Patnaik,I. and Shah,A. “Monetary Policy Transmission in an Emerging Market Setting.” IMF working papers, No.11,2011.
Bhuiyan,R. “Monetary Transmission Mechanisms in a Small Open Economy: A Bayesian Structural VAR Approach.” Canadian Journal of Economics, 2012,45(3),pp.1037-1061.
Blanchard,O. J. “Vector Autoregressive and Reality-Comment.” Journal of Business and Economic Statistics, 1987,5(4),pp.449-451.
Christiano,L. J.; Eichenbaum,M. and Evans,C. L. “Monetary Policy Shocks:What Have We Learned and to What End?” Handbook of Macroeconomics, 1999,78(1),pp.65-148.
Demirel,U. D. “Optimal Monetary Policy in a Financially Fragile Economy.” The B.E. Journal of Macroeconomics: Contributions to Macroeconomics, 2009,9(1),pp.1-35.
Disyatat,P. and Vongsinsirikul,P. “Monetary Policy and the Transmission Mechanism in Thailand.” Journal of Asian Economics, 2003,14(3),pp.389-418.
Fiore,F. D. and Tristani,O. “Optimal Monetary Policy in a Model of the Credit Channel.” Economic Journal, 2013,123(4),pp.906-931.
Friedman,M.; Fisher,D. and Schwartz,A. J. “Monetary Statistics of the United States,New York.” Economic Journal, 1971,81(6),pp.405.
Kashyap,A. K.; Stein,J. C. and Wilcox,D. W. “Monetary Policy and Credit Conditions: Evidence from the Composition of External Finance.” The American Economic Review, 1993,83(1),pp.78-98.
Kim,S. and Roubini,N. “Exchange Rate Anomalies in the Industrial Countries: A Solution with a Structural VAR Approach.” Journal of Monetary Economics, 2000,45(3),pp.561-586.
Ramey,V. “How Important Is the Credit Channel in the Transmission of Monetary Policy.” Carnegie-Rochester Conference Series on Public Policy, 1993,39(12),pp.1-45.
Romer,C. D. and Romer,D. H. “Does Monetary Policy Matter? A New Test in the Spirit of Friedman and Schwart.” NBER Macroeconomics Annual, 1989,34(1),pp.121-170.
Romer,C. D. and Romer,D. H. “New Evidence on the Monetary Transmission Mechanism.” Brookings Papers on Economic Activity, 1990,1990(1),pp.149-198.
Romer,D. Advanced Macroeconomic. Berkeley: McGraw-Hill Series in Economics,2012.
Sargent,T. J. The End of Four Big Inflations. Chicago: University of Chicago Press,1982.
Sun,R. “Does Monetary Policy Matter in China? A Narrative Approach.” China Economic Reviews, 2013,26(3),pp.56-74.
Walsh,C. E. Monetary Theory and Policy. Cambridge Massachusetts: The MIT Press,2010.
Xavier,F. and Jean,C. R. “Fair Pricing of Deposit Insurance. Is It Possible? Yes. Is It Desirable?” Research in Economics, 1998,52(3),pp.217-232.
(1)分为两种情形的原因是,在有管理的浮动汇率条件下,汇率变动既可能是企业等微观主体对本币需求的结果,也可能是货币当局通过改变本币实现汇率目标的结果。
(2)限于篇幅,表1未列出引入货币政策变量前后,产出关于利率长期弹性系数的缩减值,即放大效应的具体测算过程,仅直接给出了控制利率市场化前后放大效应变化的具体结果,放大效应的相关测算过程备索。
(3)长期弹性系数的计算方式为:各交叉项RM×SR滞后项的系数之和/(1-各通胀滞后项的系数之和)。后文相关长期弹性系数计算方式与之类似。
(4)指名义利率上升在短期内首先引起货币需求减少,在货币供给不能发生跳跃性变化的条件下,导致价格升高。
(5)篇幅所限且相关估计结果差距较小,因而表2未报告控制ln M2滞后1期项后,控制ln outc前后的回归结果,备索。
李成、马文涛、王彬(2011):《通货膨胀预期、货币政策工具选择与宏观经济稳定》,《经济学(季刊)》第1期。
林仁文、杨熠(2014):《中国市场化改革与货币政策有效性演变》,《管理世界》第6期。
林毅夫(2011):《新结构经济学—重构发展经济学的框架》,《经济学(季刊)》第1期。
刘伟(2011):《经济发展的特殊性与货币政策的有效性》,《经济研究》第10期。
刘伟、张辉(2008):《中国经济增长中的产业结构变迁和技术进步》,《经济研究》第11期。
欧阳志刚、史焕平(2010):《中国经济增长与通胀的随机冲击效应》,《经济研究》第7期。
彭建刚、王舒军、关天宇(2016):《利率市场化导致商业银行利差缩窄吗?—来自中国银行业的经验证据》,《金融研究》第7期。
钱雪松、杜立、马文涛(2015):《中国货币政策利率传导有效性研究》,《管理世界》第11期。
饶品贵、姜国华(2013):《货币政策对银行信贷与商业信用互动关系影响研究》,《经济研究》第1期。
盛松成、吴培新(2008):《中国货币政策的二元传导机制—“两中介目标,两调控对象”模式研究》,《经济研究》第10期。
谭政勋、王聪(2015):《房价波动、货币政策立场识别及其反应研究》,《经济研究》第1期。
王君斌、郭新强(2011):《产业投资结构、流动性效应和中国货币政策》,《经济研究》第2期。
王湘(2014):《国际原油价格与国内成品油价格互动关联的统计检验》,《统计与决策》第4期。
徐明东、陈学彬(2011):《中国微观银行特征与银行贷款渠道检验》,《管理世界》第5期。
杨宇俊、黄卉(2011):《银行间国债市场利率期限结构研究》,《统计与决策》第8期。
姚余栋、李宏瑾(2013):《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》,《世界经济》第3期。
战明华、蒋婧梅(2013):《金融市场化改革是否弱化了银行信贷渠道的效应》,《金融研究》第10期。
张成思(2008):《通货膨胀动态路径的结构性转变及其启示》,《金融研究》第3期。
张孝岩、梁琪(2010):《中国利率市场化的效果研究——基于我国农村经济数据的实证分析》,《数量经济技术经济研究》第6期。
张雪兰、何德旭(2012):《货币政策立场与银行风险承担》,《经济研究》第5期。
张勇、李政军、龚六堂(2014):《利率双轨制、金融改革与最优货币政策》,《经济研究》第10期。
张宗益、吴恒宇、吴俊(2012):《商业银行价格竞争与风险行为关系—基于贷款利率市场化的经验研究》,《金融研究》第7期。
Afrin,S. “Monetary Policy Transmission in Bangladesh:Exploring the Lending Channel.” Journal of Asian Economics, 2017,49(4),pp.60-80.
Agénor,P. R. and Montiel,P. J. Development Macroeconomics. New Jersey: Princeton University Press,2015.
Ahmed,S. and Islam,M. E. “The Monetary Transmission Mechanism in Bangladesh Bank Lending and Exchange Rate Channels.” Bangladesh Development Studies, 2004,30(3),pp.31-87.
Aysun,U.; Brady,R. and Honig,A. “Financial Frictions and the Strength of Monetary Transmission.” Journal of International Money and Finance, 2013,32(1),pp.1097-1119.
Bean,C.; Larsen,J. and Nikolov,K. “Financial Frictions and the Monetary Transmission Mechanism:Theory,Evidence and Policy Implications.” European Central Bank working paper series,No.113,2003.
Benati,L. “Band-Pass Filtering Cointegration,and Business Cycle Analysis.” Social Science Electronic Publishing, 2001,142(9),pp.49-53.
Bernanke,B.S. “The Determinants of Investment: Another Look.” The American Economic Review, 1983,73(2),pp.71-75.
Bernanke,B. S. and Blinder,A. S. “Credit,Money,and Aggregate Demand.” The American Economic Review, 1988,78(2),pp.435-439.
Bernanke,B. S. and Blinder,A. S. “The Federal Funds Rate and the Channels of Monetary Transmission.” The American Economic Review, 1992,82(4),pp.901-921.
Bernanke,B. S. and Gertler,M. “Inside the Black Box,the Credit Channel of Monetary Policy Transmission.” Journal of Economic Perspectives, 1995,9(4),pp.27-48.
Bhattacharya,R.; Patnaik,I. and Shah,A. “Monetary Policy Transmission in an Emerging Market Setting.” IMF working papers, No.11,2011.
Bhuiyan,R. “Monetary Transmission Mechanisms in a Small Open Economy: A Bayesian Structural VAR Approach.” Canadian Journal of Economics, 2012,45(3),pp.1037-1061.
Blanchard,O. J. “Vector Autoregressive and Reality-Comment.” Journal of Business and Economic Statistics, 1987,5(4),pp.449-451.
Christiano,L. J.; Eichenbaum,M. and Evans,C. L. “Monetary Policy Shocks:What Have We Learned and to What End?” Handbook of Macroeconomics, 1999,78(1),pp.65-148.
Demirel,U. D. “Optimal Monetary Policy in a Financially Fragile Economy.” The B.E. Journal of Macroeconomics: Contributions to Macroeconomics, 2009,9(1),pp.1-35.
Disyatat,P. and Vongsinsirikul,P. “Monetary Policy and the Transmission Mechanism in Thailand.” Journal of Asian Economics, 2003,14(3),pp.389-418.
Fiore,F. D. and Tristani,O. “Optimal Monetary Policy in a Model of the Credit Channel.” Economic Journal, 2013,123(4),pp.906-931.
Friedman,M.; Fisher,D. and Schwartz,A. J. “Monetary Statistics of the United States,New York.” Economic Journal, 1971,81(6),pp.405.
Kashyap,A. K.; Stein,J. C. and Wilcox,D. W. “Monetary Policy and Credit Conditions: Evidence from the Composition of External Finance.” The American Economic Review, 1993,83(1),pp.78-98.
Kim,S. and Roubini,N. “Exchange Rate Anomalies in the Industrial Countries: A Solution with a Structural VAR Approach.” Journal of Monetary Economics, 2000,45(3),pp.561-586.
Ramey,V. “How Important Is the Credit Channel in the Transmission of Monetary Policy.” Carnegie-Rochester Conference Series on Public Policy, 1993,39(12),pp.1-45.
Romer,C. D. and Romer,D. H. “Does Monetary Policy Matter? A New Test in the Spirit of Friedman and Schwart.” NBER Macroeconomics Annual, 1989,34(1),pp.121-170.
Romer,C. D. and Romer,D. H. “New Evidence on the Monetary Transmission Mechanism.” Brookings Papers on Economic Activity, 1990,1990(1),pp.149-198.
Romer,D. Advanced Macroeconomic. Berkeley: McGraw-Hill Series in Economics,2012.
Sargent,T. J. The End of Four Big Inflations. Chicago: University of Chicago Press,1982.
Sun,R. “Does Monetary Policy Matter in China? A Narrative Approach.” China Economic Reviews, 2013,26(3),pp.56-74.
Walsh,C. E. Monetary Theory and Policy. Cambridge Massachusetts: The MIT Press,2010.
Xavier,F. and Jean,C. R. “Fair Pricing of Deposit Insurance. Is It Possible? Yes. Is It Desirable?” Research in Economics, 1998,52(3),pp.217-232.
(1)分为两种情形的原因是,在有管理的浮动汇率条件下,汇率变动既可能是企业等微观主体对本币需求的结果,也可能是货币当局通过改变本币实现汇率目标的结果。
(2)限于篇幅,表1未列出引入货币政策变量前后,产出关于利率长期弹性系数的缩减值,即放大效应的具体测算过程,仅直接给出了控制利率市场化前后放大效应变化的具体结果,放大效应的相关测算过程备索。
(3)长期弹性系数的计算方式为:各交叉项RM×SR滞后项的系数之和/(1-各通胀滞后项的系数之和)。后文相关长期弹性系数计算方式与之类似。
(4)指名义利率上升在短期内首先引起货币需求减少,在货币供给不能发生跳跃性变化的条件下,导致价格升高。
(5)篇幅所限且相关估计结果差距较小,因而表2未报告控制ln M2滞后1期项后,控制ln outc前后的回归结果,备索。