本文選題：量化寬松 + 流動性沖擊�。� 參考：《南開大學》2014年博士論文

【摘要】：目前,與量化寬松政策相關的一些問題正逐漸成為研究熱點。做為對全球金融危機的政策回應,美聯(lián)儲于2008年10月開始推行非常規(guī)的量化寬松政策。截至目前,美聯(lián)儲共推行了四輪的量化寬松政策,該政策的初始目標為挽救美國瀕于崩潰的金融系統(tǒng),隨著時間的推移,該政策的目標又逐漸包括了刺激經(jīng)濟復蘇、降低失業(yè)率等。然而,不可忽視的是,美聯(lián)儲量化寬松政策的推行不僅對美國經(jīng)濟產(chǎn)生了重要影響,而且也對包括中國在內(nèi)的廣大新興市場國家產(chǎn)生了廣泛影響。在此情況下,本文就美聯(lián)儲量化寬松政策的理論基礎、影響等方面進行了深入研究,這不僅具有重大的理論意義,而且也具有一定的實踐價值。 本文共分為七章。第一章為導論,本章主要對本文的選題核心概念、研究背景、研究目的和意義、研究內(nèi)容和方法、可能的創(chuàng)新點與不足等方面進行了概要性的介紹。 第二章為文獻綜述,本章主要就與量化寬松政策相關的文獻進行了詳細梳理。全章共分為三部分：第一部分是量化寬松政策理論基礎的演變,本部分詳細回顧了量化寬松政策理論基礎的演變進程；第二部分是量化寬松政策的傳導機制,在簡要回顧傳統(tǒng)貨幣政策傳導機制理論的基礎上,本部分重點梳理了與量化寬松政策傳導機制理論有關的文獻；第三部分為量化寬松政策的影響,本部分重點梳理了與量化寬松政策影響有關的大量實證文獻。本章中,通過對既有文獻的詳細梳理,為本文接下來的研究奠定了堅實的基礎。 第三章為量化寬松政策理論基礎的動態(tài)模型構(gòu)建和分析。本章主要目標是為了構(gòu)建量化寬松貨幣政策的理論基礎,為量化寬松貨幣政策奠定嚴格的理論基礎。本章的模型拓展了Kiyotaki和Moore(2003)構(gòu)建了流動性沖擊模型,建立了涵蓋金融部門、流動性約束和經(jīng)濟波動的完整模型,同時,從模型的校準過程以及流動性沖擊的動態(tài)反應圖可以看出,流動性沖擊對于投資、就業(yè)和產(chǎn)出都有較強的負向沖擊效果,所以流動性沖擊導致經(jīng)濟波動的結(jié)果是顯然的,KM拓展模型充分表面了流動性約束會導致經(jīng)濟的大規(guī)模波動,所以量化寬松貨幣政策實施非常規(guī)的流動性注入就是必要的,是有堅實的理論模型基礎的。 第四章為美國量化寬松政策實踐,本章首先對美國量化寬松政策的實施過程進行了詳細的描述,到目前為止,美聯(lián)儲共推行了四輪的量化寬松政策,第一輪量化寬松政策的目標是直接向金融市場注入流動性以阻止危機的擴散,所運用的政策工具主要包括短期證券借貸工具等,而從第二輪量化寬松政策開始,美聯(lián)儲的政策目標逐漸轉(zhuǎn)為降低失業(yè)率并推動美國經(jīng)濟的持續(xù)復蘇,其所運用的政策工具主要是大量購買長期國債等。進而,本文將將美國的量化寬松政策與日本的量化寬松政策進行了詳細的比較,總體而言,由于金融體系結(jié)構(gòu)不同等原因,美國和日本的量化寬松政策在政策目標、政策工具等方面均存在一定差異。 第五章主要從不同角度對美聯(lián)儲量化寬松政策的影響進行了實證分析。在具體內(nèi)容上,本章共分為四部分：第一部分對美聯(lián)儲量化寬松政策的國內(nèi)影響進行了實證分析；第二部分就美聯(lián)儲量化寬松政策對新興市場國家的溢出效應進行了實證分析；第三部分就美聯(lián)儲量化寬松政策對我國通脹的影響進行了實證分析；第四部分就美聯(lián)儲量化寬松政策對我國產(chǎn)出的影響進行了實證分析。 關于美聯(lián)儲量化寬松政策的國內(nèi)影響,Gagon et al.(2010)和Neely(2010)的論文證實了美聯(lián)儲量化寬松政策降低了美國長期利率并促使了美元貶值。本部分則在此基礎上,運用向量自回歸模型,分析了美國長期利率下降和美元貶值對美國產(chǎn)生的影響。結(jié)果表明,美國長期利率下降和美元貶值對美國產(chǎn)出的增長起到了正向促進作用,且進一步的分析表明,產(chǎn)出的增長促進了通脹率的提高。 關于美聯(lián)儲量化寬松政策對新興市場國家的影響,美聯(lián)儲量化寬松政策主要通過資產(chǎn)組合再平衡渠道、匯率渠道、國際貿(mào)易渠道、貨幣政策被動協(xié)調(diào)渠道等四個渠道對新興市場國家產(chǎn)生了顯著影響。進而,本部分以巴西、俄羅斯、印度三國為例,運用結(jié)構(gòu)向量自回歸模型對其進行了實證分析。結(jié)果表明,量化寬松政策對上述三國的匯率、產(chǎn)出和通脹產(chǎn)生了顯著的影響,特別的,量化寬松政策對巴、印、俄三國的通脹都構(gòu)成了正向沖擊,這其中,很重要的原因在于,量化寬松政策造成的美元流動性泛濫、短期資本進入等都直接或間接地助推了三國的通脹水平。 關于美聯(lián)儲量化寬松政策對我國通脹的影響,美聯(lián)儲量化寬松政策通過匯率和國際大宗商品價格渠道對我國的通脹水平形成了沖擊。具體而言,量化寬松政策的實施推動了國際大宗商品價格的上漲和人民幣匯率的上升,進而,國際大宗商品價格的上漲推高了國內(nèi)的通脹水平,其原因在于,我國對國際大宗商品的進口依賴比較嚴重,國際大宗商品價格的上漲推高了企業(yè)的生產(chǎn)成本,這進而使得我國面臨一定的通脹壓力。與此同時,匯率上升對通脹形成了先正后負的沖擊,其原因在于,人民幣升值雖然在短期內(nèi)助推了通脹,但隨著時間的推移,人民幣升值使國內(nèi)產(chǎn)品出口受阻,總需求低于潛在產(chǎn)出水平,物價水平也隨之下降。此外,關于美聯(lián)儲量化寬松政策對我國產(chǎn)出的影響,第四部分的分析結(jié)果表明,美聯(lián)儲量化寬松政策對我國產(chǎn)出水平的提高造成了負面影響。 第六章為中國應對美國量化寬松政策的對策分析,針對美國量化寬松政策對我國經(jīng)濟產(chǎn)生的相關影響,本章從實體經(jīng)濟和虛擬經(jīng)濟兩個層面提出了相應對策。 第七章為結(jié)論,在前文分析的基礎上,本部分提出了本文的研究結(jié)論。
[Abstract]:At present, some of the issues related to quantitative easing are becoming the focus of research. As a policy response to the global financial crisis, the Fed launched an unconventional quantitative easing policy in October 2008. As of now, the Fed has carried out a four round of quantitative easing policy, the initial goal of the policy to save the United States from collapse. Over time, the goal of the financial system is to stimulate economic recovery and reduce unemployment. However, it can not be ignored that the implementation of the Fed's quantitative easing policy not only has an important impact on the American economy, but also has a wide impact on the broad emerging market countries, including China. In this case, this paper makes an in-depth study on the theoretical basis and influence of the Federal Reserve's quantitative easing policy, which not only has great theoretical significance, but also has some practical value.
This article is divided into seven chapters. The first chapter is the introduction. This chapter mainly introduces the core concepts, research background, research purpose and significance, research contents and methods, possible innovations and shortcomings.
The second chapter is the literature review. This chapter mainly deals with the literature related to the quantitative easing policy. The whole chapter is divided into three parts: the first part is the evolution of the theoretical basis of quantitative easing policy. This part reviews the evolution process of the theoretical basis of quantitative easing policy in detail; the second part is the transmitter of quantitative easing policy. On the basis of a brief review of the theory of the transmission mechanism of traditional monetary policy, this part focuses on the literature related to the theory of the transmission mechanism of quantitative easing policy; the third part is the influence of quantitative easing policy. This part focuses on a large number of empirical literature related to the impact of quantitative easing policy. The detailed combing provides a solid foundation for the next research.
The third chapter is the construction and analysis of the dynamic model of the theoretical basis of quantitative easing policy. The main objective of this chapter is to build the theoretical foundation of the quantitative loose monetary policy, and lay a strict theoretical foundation for the quantitative loose monetary policy. The model of this chapter extends the Kiyotaki and Moore (2003) to build the liquidity impact model and establish the cover finance. At the same time, it can be seen from the calibration process of the model and the dynamic response diagram of the liquidity impact that the liquidity impact has a strong negative impact on investment, employment and output, so the result of the liquidity shock is obvious, and the KM expansion model is fully table. Facing the liquidity constraints will lead to large-scale economic fluctuations, so the implementation of the unconventional liquidity injection by quantitative easing monetary policy is necessary and has a solid theoretical model basis.
The fourth chapter is the practice of quantitative easing in the United States. This chapter first gives a detailed description of the implementation process of quantitative easing policy in the United States. Up to now, the Federal Reserve has carried out a total of four rounds of quantitative easing policy. The first round of quantitative easing policy aims to inject liquidity directly into the financial market to prevent the spread of the crisis. The policy tools mainly include short term securities lending tools and so on. From the beginning of the second round of quantitative easing policy, the Federal Reserve's policy objectives gradually turn to reduce unemployment and promote the sustained recovery of the United States economy. The policy tools used are mainly to buy long term treasury bonds, and the quantitative easing policy of the United States will be adopted in this article. The quantitative easing policy has been compared in detail. In general, the quantitative easing policy of the United States and Japan has some differences in policy objectives and policy tools due to the different financial system structure and other reasons.
The fifth chapter makes an empirical analysis on the impact of the Fed's quantitative easing policy from different angles. In the specific content, this chapter is divided into four parts: the first part is an empirical analysis of the domestic impact of the Fed's quantitative easing policy; the second part is the spillover effect of the Federal Reserve on the emerging market countries. The third part makes an empirical analysis on the impact of the Fed's quantitative easing policy on China's inflation, and the fourth part is an empirical analysis of the impact of the Fed's quantitative easing policy on China's home-made inflation.
On the domestic impact of the Fed's quantitative easing policy, the Gagon et al. (2010) and Neely (2010) papers confirmed that the Fed's quantitative easing policy reduced the US long-term interest rate and prompted the dollar devaluation. On this basis, this part uses the vector autoregression model to analyze the U.S. long-term interest rate decline and the dollar depreciation to the United States. The result shows that the decline of us long-term interest rate and the devaluation of US dollar have played a positive role in the growth of us output, and further analysis shows that the growth of output has promoted the increase of inflation rate.
On the impact of the Fed's quantitative easing policy on emerging market countries, the Fed's quantitative easing policy mainly through the Asset Portfolio Rebalancing channel, exchange rate channels, international trade channels, monetary policy passive coordination channels and other four channels have produced significant impact on emerging market countries. Further, this part is in Brazil, Russia, India, and the three countries The results show that the quantitative easing policy has a significant impact on the exchange rate, output and inflation of the three countries, and the quantitative easing policy has a positive impact on the inflation of the three countries, including the quantitative easing policy, which is important because of the quantitative easing policy. The flood of US dollar liquidity and short term capital entry have directly or indirectly promoted the inflation level of the three countries.
On the impact of the Fed's quantitative easing policy on China's inflation, the Fed's quantitative easing policy has struck China's inflation through exchange rate and international commodity price channels. In particular, the implementation of the quantitative easing policy has promoted the rise of international commodity prices and the rise of the RMB exchange rate. The rise of commodity prices has pushed up the level of inflation at home. The reason is that our country's dependence on the import of international commodities is serious, and the rise of international commodity prices has pushed up the production cost of the enterprise, which makes China face certain inflationary pressure. The reason is that the appreciation of RMB has pushed inflation in the short term, but as time goes on, the appreciation of the RMB has hindered the export of domestic products, the total demand is lower than the level of potential output, and the price level also decreases. In addition, the fourth part of the analysis on the impact of the Federal Reserve quantitative easing policy on my domestic products shows that The Fed's quantitative easing policy has a negative impact on the improvement of China's output level.
The sixth chapter is the analysis of China's Countermeasures to deal with the quantitative easing policy of the United States. In view of the related effects of the United States quantitative easing policy on the economy of our country, this chapter puts forward the corresponding countermeasures from the two levels of the real economy and the virtual economy.
The seventh chapter is the conclusion. On the basis of previous analysis, this part puts forward the conclusion of this study.
【學位授予單位】：南開大學
【學位級別】：博士
【學位授予年份】：2014
【分類號】：F827.12;F224

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