發(fā)布時間：2018-08-21 19:31

【摘要】：近年來,央行多次施行降息降準政策,我國的名義利率歷經(jīng)了頻繁的下調(diào)后,已經(jīng)達到歷史低點。同時,伴隨著M1和M2數(shù)據(jù)剪刀差擴大,民間投資持續(xù)回落等經(jīng)濟問題的出現(xiàn),“流動性陷阱”問題也引起了眾多學者的關注。學界內(nèi)有關我國貨幣政策是否已經(jīng)陷入“流動性陷阱”的討論日益增多。目前學界關于“流動性陷阱”的研究主要集中于對“流動性陷阱”假說的理論分析和政策研究上。在實證分析方面,則主要集中于對曾在20世紀90年代末期陷入“流動性陷阱”的日本經(jīng)濟以及日本貨幣政策的研究上。然而,利用我國近年的數(shù)據(jù),對貨幣政策是否陷入“流動性陷阱”的實證檢驗則相對稀少。本文針對這一問題,對我國貨幣政策是否陷入“流動性陷阱”進行了相應的文獻分析和實證檢驗。本文首先構建了固定系數(shù)的貨幣需求函數(shù),利用1995年1季度至2016年4季度的GDP,M1,CPI以及一年期存款利率的數(shù)據(jù),對貨幣需求函數(shù)的利率彈性系數(shù)進行估計。而后,通過Chow檢驗我們發(fā)現(xiàn),樣本在2008年1季度存在明顯斷點,由此構建的貨幣需求方程并不平穩(wěn)。所以,我們接著構建了具有時變系數(shù)的貨幣需求函數(shù),通過將貨幣需求函數(shù)表示成狀態(tài)空間模型的形式,利用卡爾曼濾波對時變的彈性系數(shù)進行估計,得到了利率彈性變化軌跡。而后,通過觀察利率彈性變化軌跡發(fā)現(xiàn),時變的利率彈性不存在隨著利率下降,絕對值顯著增大的現(xiàn)象,時變系數(shù)貨幣需求函數(shù)較固定系數(shù)貨幣需求函數(shù)更易捕捉利率彈性的變化,并且檢驗結果表明,我國貨幣政策并沒有陷入“流動性陷阱”的跡象。我們比較了固定系數(shù)和時變系數(shù)的利率彈性軌跡,證實了我們檢驗結果的穩(wěn)定性和一致性,給出了“流動性陷阱”檢驗更為確切的檢驗結論。最后,為了進一步說明非“流動性陷阱”下貨幣政策的傳導效應和實際效應,本文通過構建實際利率、實際產(chǎn)出和貨幣沖擊三變量的VAR模型,對三者關系和貨幣政策的有效性做了進一步的研究。研究表明實際利率是實際產(chǎn)出的格蘭杰原因,貨幣沖擊是實際利率的格蘭杰原因,分析脈沖響應函數(shù),我們發(fā)現(xiàn),正向的實際利率沖擊對實際產(chǎn)出會造成負向的影響。這說明我國的貨幣政策是有效的,貨幣政策傳導的利率渠道也是通暢的。基于以上結論,本文提出了如下政策建議:首先,根據(jù)本文結論,我國貨幣政策仍具備有效性,故貨幣當局應繼續(xù)推行穩(wěn)健的貨幣政策,在維持價格穩(wěn)定的條件下,促進經(jīng)濟持續(xù)穩(wěn)定的發(fā)展。其次,慎用零利率或低利率政策,雖然我國未陷入“流動性陷阱”,利率仍有下調(diào)空間,但長時間使用該政策不但會對銀行業(yè)造成較大負面影響,并且存在使貨幣政策陷入“流動性陷阱”的巨大風險。最后,為預防“流動性陷阱”的產(chǎn)生,需要有效促進投資和拉動消費。落實民間投資政策來促進民間投資增長,推進個稅改革來刺激消費都是擴大內(nèi)需的有效手段,也可使經(jīng)濟運行遠離“流動性陷阱”的約束。
[Abstract]:In recent years, the central bank has repeatedly implemented the policy of reducing interest rates, and the nominal interest rate in China has reached a historical low after frequent cuts. At the same time, along with the expansion of the scissors gap between M1 and M2 data, the continuous decline of private investment and other economic problems, the "liquidity trap" problem has attracted the attention of many scholars. Whether monetary policy has fallen into the "liquidity trap" has been discussed more and more. At present, the academic research on the "liquidity trap" mainly focuses on the theoretical analysis and Policy Research of the "liquidity trap" hypothesis. However, the empirical test of whether the monetary policy falls into the "liquidity trap" is relatively scarce by using the data of China in recent years. In view of this problem, this paper makes corresponding literature analysis and empirical test on whether the monetary policy falls into the "liquidity trap" in China. Firstly, the paper constructs a fixed coefficient money demand function, estimates the interest rate elasticity coefficient of the money demand function by using the data of GDP, M1, CPI and one-year deposit interest rate from the first quarter of 1995 to the fourth quarter of 2016. Then, through Chow test, we find that the sample has obvious breakpoint in the first quarter of 2008, and thus constructs the money demand side. So, we construct the money demand function with time-varying coefficients, and estimate the time-varying elasticity coefficients by using Kalman filter. Then, we find that the time-varying elasticity of interest rate changes by observing the interest rate elasticity. Interest rate elasticity does not exist with the decline of interest rate, the absolute value increases significantly. The time-varying coefficient of money demand function is easier to capture the change of interest rate elasticity than the fixed coefficient of money demand function. The trajectory of interest rate elasticity confirms the stability and consistency of our test results, and gives a more accurate conclusion of the liquidity trap test. Finally, in order to further illustrate the transmission effect and the actual effect of monetary policy under the non-liquidity trap, this paper constructs the real interest rate, the real output and the monetary shock three. The VAR model with variable is used to study the relationship between real interest rate and the effectiveness of monetary policy.The results show that real interest rate is the Granger cause of real output and monetary shock is the Granger cause of real interest rate. Based on the above conclusions, this paper puts forward the following policy recommendations: Firstly, according to the conclusions of this paper, China's monetary policy is still effective, so the monetary authorities should continue to pursue a sound monetary policy, in the condition of maintaining price stability, to promote. Secondly, we should use zero interest rate or low interest rate prudently. Although our country has not fallen into the "liquidity trap", there is still room for interest rate to be lowered. However, long-term use of this policy will not only have a greater negative impact on the banking industry, but also have a huge risk of making monetary policy fall into the "liquidity trap". The emergence of liquidity trap requires effective investment promotion and consumption promotion. Implementing private investment policies to promote private investment growth and promoting individual tax reform to stimulate consumption are effective means to expand domestic demand, and can also make economic operation far from the restriction of liquidity trap.
【學位授予單位】：吉林大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F822.0

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本文編號：2196132