【作者】 曾拥政；

【导师】 戴金平；

【作者基本信息】 南开大学 ， 金融学， 2012， 博士

【摘要】 货币政策区域非对称性是从货币政策非对称性内涵中分离出来的。对货币政策区域效应研究最早的学者是Scott（1955），而Cover（1992）在其发表的论文《正向和负向的货币冲击的非对称性效应》中正式提出的货币政策非对称效应的概念，之后为理论界所普遍接受。随着货币政策理论研究的深入，货币政策非对称效应的内涵和表现形式逐渐丰富。货币政策区域非对称效应主要表现在时间和空间维度的不一致，具体细分为三方面：其一，货币政策的非对称效应（asymmetriceffect）：经济衰退阶段的扩张性货币政策对经济的刺激作用小于经济过热阶段紧缩性货币政策对经济的减速作用；其二，货币政策效应的时间非一致性（timeinconsistency）：在政府与公众的动态博弈过程中，由于公众行为导致政策环境改变，政府最初制定出的最优政策，在执行阶段可能会失去最优性，为了避免损失，政府不会真正执行原来的政策，而是采取相机抉择的策略，重新选择最优的政策；其三，货币政策的区域效应（regionaleffects），或称空间非一致性，与时间非一致性相对应，主要是指同一货币政策作用于不同经济区域会产生的不同政策效果。在上述三个方面的研究中，前两个方面的问题在国内外研究的时间相对较长，而第三个方面的研究在国外大约从20世纪70年代以后才正式开始，这一方面的研究近年来已有一些成果，但也仅处于起步阶段。本文的评述主要针对第三方面即货币政策区域非对称效应来展开的。我国经济发展的区域特性随改革开放和市场化的进程越发突出，由此引发对货币政策区域非对称效应问题更加关注。区域特性可以从产业结构、企业结构、以及金融体系等地区差异因素体现出来，根据这些经济结构因素的差异，再综合区域地理位置的分布特征，本文认为我国区域经济体系更适合划分为东部、中部、西部、东北部四个地区。本文的研究主题是从地区总需求和总供给角度探讨产生我国货币政策区域非对称效应问题。根据本文的研究主题，我们首先要搞清楚什么是货币政策区域非对称效应问题？其次，在此基础上还要搞清楚为什么会存在区域非对称效应问题，即产生该效应的主要影响因素有哪些？对这些问题的研究，本文主要从宏观层面逐渐渗透到微观层面对其进行了全面分析。其中第四、五章是本文的核心部分，论文结论也主要来自这两章。第四章的结论主要通过两方面分析得到的。一方面基于地区需求因素，分别从消费效应和投资效应的角度对我国货币政策区域非对称效应的现实基础进行了分析；另一方面基于短期总供给曲线理论，从造成地区总供给曲线差异的角度，对我国货币政策区域非对称效应进行展开分析。通过上述两方面的分析，本文所得出的结论有：（1）在消费效应方面，通过对各区域数据的整理发现：1）四个区域总需求构成占GDP比重及其统计标准差都存在明显差异。2）区域间居民平均消费倾向差异较大。无论是城镇居民平均消费倾向还是农村居民平均消费倾向，西部与东北部都高于东部与中部。举例来说，相对于其它三个地区，西部地区农村收入水平最低，平均消费倾向应该最高。而从实际数据来看（2006年至2010年）西部农村居民平均消费倾向远高于其它三个地区，从而得以验证。因而总体上验证了收入的差异造成了平均消费倾向的差异。3）四大区域边际消费倾向虽然存在着差异，但这种差异已经在缩小。（2）在投资效应方面，通过对三个渠道传导的初步分析，我们会发现：投资对利率的敏感度不高，投资效应的利率渠道不明显；我国资本市场正处于发展阶段，资产价格传导渠道的第一阶段，即货币政策对资产价格的影响阶段，其作用已经显现。但资产价格传导渠道的第二阶段，即资产价格对投资的影响阶段，资产价格的“托宾效应”存在，但较为弱小；从信贷传导渠道上看，在银行分布、存贷款分布、非银行金融机构分布、行业分布这些方面的实际情况，有利于货币政策在东部地区的传导，而在企业规模、企业所有制、银行对存款融资的依赖程度、企业对银行融资的依赖程度方面，更有利于货币政策在中、西、东北部地区的传导。所以就投资效应的信贷传导渠道来说，货币政策区域非对称性特征表现比较明显。对比这三个渠道，投资效应的区域非对称性主要是通过信贷传导渠道来表现的。（3）在地区总供给曲线差异的因素分析方面，从（3.16）式可以看出，地区总供给曲线的水平位置和斜率状况都与通胀预期和产出波动有直接的关系。而通胀预期和产出波动又直接受到价格、工资刚性、预期、劳动生产率、外贸冲击、技术差异、资源禀赋、体制特征等差异的制约。因此，对地区总供给曲线差异的分析，可以从预期对价格形成的差异，地区劳动生产率差异，区域体制差异，资源禀赋差异等几方面进行。因此，无论从消费效应角度，投资效应角度，还是从地区总供给曲线差异角度分析，货币政策区域非对称效应在我国表现明显。当然，此时的结论主要采用的是量化分析方法，还需要采用计量实证方法进一步验证。本文主要涉及的计量方法有VAR（VectorAutoregressionModel）、面板数据模型、HP滤波以及OLS（普通最小二乘法）。通过这些计量方法进一步验证初步量化分析的结果。在论文的第五章，通过实证检验得出的结论有：就投资效应的区域非对称性来看，在信贷传导渠道的第一阶段，货币供应量对各地区新增信贷的影响存在明显的区域非对称性。货币政策对东部新增信贷影响最大，对中部与西部新增信贷影响次之，对东北部新增信贷影响最小；而在信贷传导渠道的第二阶段，即新增信贷对各地区投资的影响阶段，东部地区新增信贷对投资的拉动作用明显，远远强于中部、西部和东北部地区；中部比西部的新增信贷对投资的拉动作用明显一些，但是二者相差不大。就消费效应的区域非对称性来看，它主要通过资产价格渠道，即房地产价格渠道和股票价格渠道来表现的：（1）在房地产价格渠道传导的第一阶段，即货币供应量对各地区房产价格的影响阶段，货币政策对房产价格的冲击存在明显的区域非对称性。各地区房产价格的脉冲响应函数也表明：相对于西部和东北部，货币政策对东部与中部房产价格的影响持续时间长；而在货币政策传导的第二阶段，即各地区房产价格对消费的影响阶段，房产价格对消费的影响也存在明显的区域非对称性。四个地区的面板数据模型也充分证明了这一点，即东部消费受房产价格的影响最大，明显高于其它三个地区。（2）在股票价格渠道传导的第一阶段，即货币政策影响股票价格变动阶段。在这一阶段，货币政策对股票市场价格的影响在短期内是比较明显的。货币供应量增加会立马影响到股票价格，但是在短期内这种作用效果会迅速递减，到第三期时这种影响效果已经递减为零。因此在股票价格渠道传导的第一阶段，货币政策对股票价格的影响存在但持续时间较短；在股票价格渠道传导的第二阶段，即股票价格的“财富效应“阶段。股票价格的财富效应在各地区短期内表现为负效应，即股票价格上涨，地区的居民消费反而降低。为了更明确股票价格的“财富效应”所表现出来的“价格和消费之间的关系”，我们通过OLS回归同样发现股票价格与各地区消费依然为负向关系，这说明在股票价格传导渠道的第二阶段货币政策传导不通畅，股票价格的财富效应无法显现出来。因此，消费效应的区域非对称效应主要通过房产价格的“财富效应”来体现的。就地区总供给曲线差异来看，回归式中的系数“β”的倒数是经典分析货币政策效应“P-Y”坐标平面上的短期总供给曲线的斜率，且“β”的回归结果为正，因此可知各省市的短期总供给曲线斜率为正，即短期总供给曲线是斜向上方的，并且根据系数的大小可以得出：东部与东北部斜率最小，它们的短期总供给曲线也最平缓；而中西部斜率最大，它们的短期总供给曲线也相对较陡。其经济学意义就是：当货币政策正向冲击导致价格发生一个单位的变化时，产出变化最大的是东部与东北部省市，而中、西部省市的产出变化相对较小。因此货币政策区域非对称效应通过各地区短期总供给曲线的差异表现出来。通过上述量化和实证的分析，解释并验证了我国存在货币政策区域非对称效应以及产生该效应的根本原因，但是怎样缓解我国货币政策区域非对称效应呢？就我国的实际国情，本文提出了相关政策建议。更多还原

【Abstract】 The regional asymmetric effects of monetary policy is separated from the connotation on asymmetry of the monetary policy. Scott (1955) made the earliest study of the regional effects of monetary policy. Cover (1992) in their published paper,"The asymmetric effects on positive and negative currency impact " put forward to the concept of asymmetric effects of monetary policy, followed by generally accepted theoretical circles. With the deepening of theoretical studies of monetary policy, the content and forms on the asymmetric effects of monetary policy were gradually enriched. The regional asymmetric effects of monetary policy are mainly shown by the inconsistency in time and space dimensions, specific sub-divided into three aspects. First, the asymmetric effect of monetary policy (asymmetric effect):the stimulation from expansionary monetary policy on the economy during the economy recession phase is less than the deceleration by tightening of monetary policy on the economy during economic overheating stage; Second, time inconsistency on the effect of monetary policy (time inconsistency):during the dynamic game between the government and the public, public behavior has changed policy environment. So the optimal policy enacted early by government may lose optimality in the implementation phase.In order to avoid losses, the government does not really implement the original policy, but to take the discretionary policy, re-choosing the best policy; Third, the regional effects of monetary policy (regional effects), or called by space inconsistency in corresponds to time Inconsistency, mainly shows that the same monetary policy will produce the different effects in different economic regions. The first two aspects in the study of these three aspects have been on relatively long time both in the domestic and international research.The third aspect of the study formally began in the1970s in some foreign countries. Some success has been gotten in this studying area in recent years, but this is the beginning. The comment of this article is mainly carried out for the third aspect---the regional asymmetric effects of monetary policy.With the further deepening of China’s Reform and opening up and of the process of marketization, the regional characteristics of China’s economy is increasingly evident.Both from the perspective of the financial system, industrial structure point of view, and the comprehensive point of view, China’s regional economy is more suitable to be divided into the eastern region, the central region, the western region and the northeastern region. The theme of this paper is to explore the most fundamental reason for producing the regional asymmetric effects of monetary policy from the regional aggregate demand and aggregate supply point of view. In view of the theme of this paper, by comparing the four regions’economic and financial situation, the large differences in regional economies can be found in regional economies in China. In this situiation, will China’s implementation of a unified monetary policy have the regional asymmetric effects? and what is the resean for the generation of regional asymmetric effects?In views of these issues, this article made its comprehensive analysis from the macro-level, gradually penetrating to the micro-level. Firstly, China’s monetary policy objectives and the transmission mechanism are reviewed.And then, on the one hand, based on regional demand factors, respectively from the perspective of consumption effects and investment effects,this paper made analysis of the realistic basis of regional asymmetric effects of monetary policy; On the other hand, based on the theory of short-term aggregate supply curve, from the perspective of differences caused by the regional aggregate supply curve, the regional asymmetric effects of monetary policy were also analyzed. From these two aspects of analysis, the conclusions are:(1) In views of the consumption effect, by the analysis and collation from regional data we found that:the proportion of the respective total demand accounting for GDP and a statistical standard deviation of the proportion are significantly different; The average propensity to consume of the four regional residents are quite different.Both town average propensity to consume and rural residents’propensity to consume, the west region and northeast region are higher than the eastern region and central region, generally verifying that the defference between the average propensity to consume is caused by the income deference; there are differences among four regions’marginal propensity to consume, but this difference has been narrowing. (2) In views of investment effect, through preliminary analysis of the three channels we made such conclusion:In the investment effect, investment sensitivity to interest rates is not high.The investment effect by interest rate channel is not obvious; China’s capital market is in a stage of development. In the first phase of asset prices channel, the effect on the impact of monetary policy on asset prices has already been shown. However in the second phase of asset prices channel, the effect on asset price impact on investment(the wealth effect of asset prices) exists, but relatively weak. So the investment effect of asset price channel is weak; From the point of view of credit channel, wether in the bank deposit distribution and loan distribution, or the distribution of non-bank financial institutions in the industry distribution, the conduction of monetary policy in the eastern region is relatively efficient. However, in the enterprise scale, business ownership, banks’relying on deposit and enterprices’ relying on bank loan, the conduction of monetary policy in the west region is more conducive. Therefore, the regional investment effects on monetary policy is on the more obvious characteristics of the regional asymmetry. Therefore, by the comparison of these three channels, the investment effects on regional asymmetry is more prominent in the credit transmission channel.(3) In views of different factors that cause aggregate supply curve’difference, seen from the analysis of theoretical, the level position and slope conditions of the aggregate supply curve have a direct relationship with inflation expectations and output volatility. Inflation expectations and output volatility are directly subject to the constraints of price, wage rigidity, the difference of the expectation, labor productivity, foreign trade shocks, technical differences in resource endowments, institutional characteristics and so on. Therefore, we can make analysis on the difference of aggregate supply curve from the following aspects:the difference from the expected price formation, differences in regional labor productivity, differences on regional institutional and resource endowments.Therefore, whether in terms of regional aggregate demand (the consumption effect, the investment effect) point of view, or from the perspective of the total supply (regional aggregate supply curve), it is obvious that the regional asymmetric effects of monetary policy exists in our country. Of course, these conclusions is mainly drawn by quantitative methods and need using econometrics methods to validate. This paper mainly involves the measurement of VAR (Vector Autoregression Model), pool model, the HP filter and the OLS (ordinary least squares) method. By these measurement methods, the further conclusions validate the results of preliminary quantitative analysis.The further conclusions are:(1) In terms of the regional asymmetry on the investment effect of monetary policy, in the first phase of the credit transmission channel, the money supply impact on new credit loan in each region has an obvious asymmetry. Monetary policy’effect on the new credit in eastern regions is the most obvious. The effect on the central regions and western regions is the second. The effect on the northeast region is minimal; In the second phase of the credit transmission channel, that is the stage of the new credit loan impact on regional consumption, the pulling effect of the eastern part of the new credit on investment is far stronger than the central, western and northeastern regions.(2) In terms of the asymmetry on the consuming effect of monetary policy, in the first phase of monetary policy transmission, that is, the stage of the impact money supply on regional house prices, there are significant regional asymmetry on the impact of monetary policy on house prices. The impulse response function of the regional house prices also showed that:compared to the west and northeast, the duration of the impact of monetary policy on the eastern and central house prices is more persistent; In the second phase of the monetary policy transmission, that is, the stage of the impact of regional house prices on consumption, there are clear regional asymmetry in the impact of house prices on consumption. Four regions of the panel data model also has fully proved that the eastern consumption by the impact of house prices significantly higher than the other three regions.(3) In terms of differences among the aggregate supply curves, due to the reciprocal of the " β "coefficient in the regression equation is short-term aggregate supply curve slope in the classic analysis of the monetary policy effect in the"P-Y" coordinate plane. The short-term aggregate supply slopes in various provinces and cities is positive, then the short-term total supply curves oblique from the bottom to the top. And according to the size of the regression equation coefficients some conclusions can be drawn:The slopes both in eastern and northeastern regions are the smaller than other regions. So their curves are relatively gentle; The short-term aggregate supply slopes in the central and western regions are relative bigger. So their curves are relatively steep. Its economic application is that:given a unit in price changes from positive impact of monetary policy, the changes in output in the eastern and northeastern provinces and cities is larger than the ones in output in the western provinces and cities. Thus the regional asymmetric effects of monetary policy is also shown by differences in regional short-term aggregate supply curve.Through the quantitative and qualitative analysis, we have shown "why the regional asymmetric effects of monetary policy exisits in China?" But how to alleviate the regional asymmetric effects of monetary policy? According to our country’s actual conditions, this paper presents the relevant policy recommendations.更多还原