【作者】 谈正达；

【导师】 胡海鸥；

【作者基本信息】 上海交通大学 ， 金融学， 2012， 博士

【摘要】 近年来，随着我国外汇储备的迅速增加，外汇占款过多已经成为我国宏观金融的一个重要问题，并且严重干扰了央行货币政策的有效实施。本文从我国外汇占款形成的历史原因和货币政策调控机制改革的背景出发，就外汇占款和我国的货币供给，货币政策传导渠道和操作过程之间的关系做了深入研究，并在开放经济条件下分析了我国货币需求函数的稳定性。本文目的在于通过构建一个外汇占款方式下我国货币政策有效性的分析框架，解释在日益增加的外汇占款情形下我国货币政策有效性为何不断下降的原因，并从货币发行的角度提出相应的政策建议。本文的主要工作包括以下几个方面：首先，论文分析了外汇占款对货币政策中介目标--货币供给的影响。自2002年以来，国际收支双顺差使得我国外汇资产迅速累积，外汇占款成为了我国基础货币投放的主要来源，也构成了广义货币投放的重要组成部分。由于广义货币M2和实体经济的联系最为紧密，所以论文从银行体系资产负债表和央行资产负债表出发，通过分析央票对基础货币的回笼和存款准备金对货币乘数的控制等货币冲销手段，经验研究了2002~2010年间外汇占款对我国广义货币M2的动态影响。随后使用MS-VAR、广义脉冲响应、方差分解和格兰杰因果检验等计量分析方法，实证研究了2007年金融危机前后M2的增长来源及其与M2变动的动态关系。实证结果表明，金融危机前，央行对基础货币和广义货币积极有效的对冲，直接限制了信贷规模的增长，使得外汇占款成为了M2增长的直接驱动因素；而金融危机后，央行宽松的货币政策实施和大规模的银行信贷投放使得国内信贷推动了M2的急速增长，但从根本上看，外汇占款为国内信贷投放提供了有效支撑，所以实际上外汇占款通过支持国内信贷扩张间接促进了M2的增长。这说明，外汇占款是目前我国货币供给增长过快的根本原因，并且使得央行对货币政策中介目标不能有效控制，最终影响了货币政策有效性。其次，论文分析了外汇占款对我国货币政策传导渠道的影响。自1990年以来，我国货币政策由直接调控向间接调控转变，中介目标也由信贷规模转向货币供应量，同时央行也积极推进利率市场化进程，努力构建现代货币政策调控体系。在上述背景下，论文对货币政策的传统传导渠道——利率渠道、信贷渠道和货币渠道进行了机理分析，并使用可变参数向量自回归模型（TVP-VAR模型）对我国1990~2010年这三个渠道的货币政策传导效应进行了动态分析，脉冲响应结果表明我国货币政策的传导主要是通过货币渠道和信贷渠道来进行，利率渠道还不健全。随后，在开放经济条件下，论文论述了外汇占款的增加使得我国商业银行的存差扩大，从而减弱了央行对货币供应量和贷款规模的控制能力。接下来，论文从外汇资产导致的央行货币错配角度出发，深入分析了货币错配对货币政策传导渠道的影响。由于我国的强制结售汇制和人民币升值预期，外汇资产大部分都被央行收购，这导致货币错配风险几乎全部集中在央行身上，央行必须独自承担汇率波动带来的外汇资产贬值风险，同时货币错配使得央行对货币供应量和信贷规模的控制力减弱，并且使得货币政策在资产价格渠道（货币渠道之一）和信贷渠道的传导效率下降，传导信号失真。总之，外汇占款对货币渠道和信贷渠道的影响，降低了中央银行通过这两个渠道传递货币政策的能力，最终影响了货币政策有效性。第三，论文分析了外汇占款与我国货币政策的动态关系，即货币政策对外汇占款的冲销效应和国际资本流动通过外汇占款形式对货币政策的抵消效果。一方面，中央银行通过发行央票等方式冲销外汇占款导致的基础货币被动增长；另一方面，在资本管制逐渐放开的背景下，短期逐利的国际资本的跨境流动会部分抵消我国货币政策操作的效果。所以，论文对修正的BGT模型进行了拓展，将我国的宏观经济量化目标引入央行的目标损失函数，构造适合我国的抵消和冲销系数模型，使用联立方程模型估计了1999~2010年的外汇占款和货币政策之间的定量关系，并采用递归系数方法估计了其动态变化过程。实证结果表明，货币政策对外汇占款的冲销力度很大，但并不完全，同时资本流动对货币政策起着一定程度的抵消作用。外汇冲销的不完全性和资本流动对货币政策操作的部分抵消效应直接影响了我国货币政策操作的效果，最终影响了货币政策有效性。第四，论文在开放经济条件下研究了我国的货币需求函数。在我国，以货币供应量为中介目标的货币政策的有效实施，前提条件是货币需求函数是稳定和可预测的。而外汇占款问题实际上就是我国外向型经济战略的表现之一，所以随着我国对外依赖程度的提高，对货币需求函数的研究必须考虑国际因素。论文将国际利率和汇率因素引入到我国货币需求函数中，分别使用误差修正模型和可变参数模型实证估计了我国的货币需求函数。稳定性检验表明，以固定系数的误差修正模型来表示我国的货币需求函数存在模型设定误差。Kalman滤波估计表明，我国的货币需求函数并不稳定，随时间动态变化。所以，在货币需求不稳定、难以预测的基础上，以货币供应量为中介目标的货币政策有效性将会降低。以上分析表明，随着外汇占款的持续增加，我国货币政策有效实施的难度日益加大，央行面临着如何解决货币政策失效的难题。论文最后从三元悖论出发，对我国的货币发行方式改革提出了政策建议。首先在对美国、英国、香港和中国货币发行方式介绍的基础上，从“三元悖论”的视角为各国货币发行方式的选择提供了理论依据。随后通过对比，分析了人民币发行方式的主要局限性。最后仍然根据“三元悖论”，提出未来通过买国债发行人民币的改革建议。更多还原

【Abstract】 In recent years, with the rapid increase of China’s foreign exchange reserves, foreign exchangesare increasingly becoming an important issue, and seriously influneces the effective implementationof monetary policy. In this paper, starting on the historical reasons for the formation of China’s foreignexchange and the background of reform of monetary policy mechanism, we study the relationship offoreign exchange and the money supply, monetary policy transmission channels and the monetaryoperation, and analyze the stability of China’s money demand function in an open economy. Thepurpose of this paper is to construct an analysis framework of the effectiveness of monetary policy, toexplain the reasons why effectiveness of monetary policy is falling under the increasing foreignexchange, and to make policy recommendations. The major work includes the following aspects:First, the paper analyzes the impact of foreign exchange for the money supply. Since2002, thedual surplus on balance of international payments makes rapid accumulation of foreign exchange inour country. Foreign exchange has become our main source of reserve money, and also constitutes animportant part of broad money. As the broad money M2and the real economy most closely linked,the papers, from the banking system balance sheet and the central bank’s balance sheet, through ananalysis the monetary write-off measures of central bank bills and deposit reserve ratio, studies offoreign exchange for the dynamic effects of M2from2002to2010. Then use the MS-VAR,generalized impulse response, variance decomposition and Granger causality test and other methodsof quantitative analysis, empirical studies the sources of growth of M2and the dynamic relationshipof its and M2changes before and after the2007financial crisis. The results show that, before thefinancial crisis, the effective hedge of central bank on reserve money and broad money, directlylimiting the scale of credit growth, making the foreign exchange become the direct drivers of growthin M2; After the financial crisis, the loose monetary policy and large-scale bank credit allows therapid growth of M2, but the fundamental point of view, foreign exchange provide effective support,for domestic credit, so in fact, foreign exchange indirect promote for the growth of M2throughsupporting expansion of domestic credit. This shows that China’s foreign exchange is the essencereasons of the macro excess liquidity.Secondly, the paper analyzes China’s foreign exchange impact of monetary policy transmissionchannels. Since1990, China’s monetary policy has been changed from direct to indirect control changes, the intermediate goals has been shifted from the credit to money supply, while the centralbank also actively promote the interest rate market to build a modern system of monetary policy. Inthe above context, the paper analyzes the traditional transmission channels of monetary policy-interest rate channel, credit channel and monetary channel, and use the variable parameter vectorautoregressive model (TVP-VAR model) to dynamic analyze three channels from1990to2010. Theimpulse response shows that China’s monetary policy transmission mainly through monetary andcredit channels, the interest rate channel is not perfect. Subsequently, in the open economy framework,the paper discusses the increase in foreign exchange making the gap between deposits and loans ofcommercial banks in China, thereby weakening the central bank’s ability to control the size of moneysupply and credits. Next, the paper analyzes in depth the currency mismatch influences monetarypolicy transmission channels. As China’s mandatory exchange settlement system and the expectedappreciation of the Renminbi, most foreign exchange assets have been acquired by central banks,which led to currency mismatch risk be almost concentrated in the central bank, the central bankalone must bear the exchange rate fluctuations of foreign exchange risk of devaluation of assets, whilecurrency mismatch reduces the efficiency of monetary policy transmission in the asset price channeland the credit channel, distorts transmission signal.Third, the paper analyzes the dynamic relationship between foreign exchange and monetarypolicy, namely the sterilization effects of monetary policy on foreign exchange and the offset effectsof international capital flows on monetary policy. On the one hand, the central bank sterilizes theforeign exchange through the issuance of central bank bill; on the other hand, in the context of gradualliberalization of capital controls, international capital flow partially offset the effect of monetarypolicy operations. The papers, by adding the country’s macro-economic quantitative targets into thecentral bank’s loss function, expands the modified BGT model, and constructs an offset andsterilization model for China, and the use of simultaneous equations to estimate the quantitativerelationship between the international capital flows and monetary policy from1999to2010, and theuse of recursion coefficients method to estimate its dynamic process. The empirical results show thatinternational capital flows and monetary policy in China presence a conflict, but benefiting from thestrict supervision on “hot money”, the degree of conflict is not serious. Monetary policy offsets veryhard on capital flows, but not completely, while capital flows plays a certain degree of sterilization onmonetary policy.Fourth, the paper studies China’s money demand function in an open economy. In China, as money supply is the intermediate target of monetary policy, Central bank may effectively implementsmonetary policy provided that the money demand function is stable and predictable. The foreignexchange problem is actually the performance of China’s strategy of export-oriented economy, so asthe improvement of China’s foreign dependence; the study of money demand function must take intoaccount international factors. The Paper introduces international interest rates and exchange ratefactors into China’s money demand function, respectively using error-correction model and thevariable parameter model to estimate money demand function. Stability tests show that the fixedcoefficient of error correction model has the model specification error. Kalman filter estimates suggestthat China’s money demand function is not stable, dynamic changes over time. Therefore, the demandfor money is unstable, difficult to predict, so monetary policy effectiveness will be reduced.The above analysis shows that with the continued increase in foreign exchange, the effectiveimplementation of monetary policy is increasingly difficult, the central bank faced with how to solvethe problem of monetary policy failures. Finally, starting from the"impossible trinity", the paper givesthe policy recommendations of RMB issue. Based on the analysis of money supply of the U.S., UK,Hong Kong and China, we provide a theoretical basis for the choice of the currency issues throughthe"impossible trinity". Subsequently, by contrast, we analysis the major limitations of RMB issue.At last, we propose the reform proposals of buying government bonds to issue RMB through"impossible trinity".更多还原