發(fā)布時間：2018-01-01 15:22

  本文關鍵詞：債券市場發(fā)展與貨幣政策作用研究　出處：《中央財經(jīng)大學》2015年博士論文　論文類型：學位論文

  更多相關文章： 債券市場 貨幣政策 貨幣供給量 利率 GDP

【摘要】：我國債券市場近年來發(fā)展迅速,市場規(guī)模不斷擴大,產品種類逐漸豐富,參與者數(shù)量不斷增加。但是與發(fā)達國家的債券市場相比,我國債券市場依然存在整體規(guī)模偏小、流動性不強、監(jiān)管體系不完善等問題,影響了貨幣政策的有效實施及宏觀經(jīng)濟的持續(xù)健康發(fā)展。因此,為了達到既定的政策目標,在當前我國債券市場發(fā)展尚不完善的情況下,研究如何掃除障礙,建立成熟的債券市場以提高貨幣政策作用具有重要的現(xiàn)實意義,而以貨幣政策為切入點研究債券市場發(fā)展問題,對于豐富債券市場發(fā)展理論和貨幣政策理論亦具有重要的研究意義。本文的研究思路如下:首先,對我國債券市場的發(fā)展現(xiàn)狀進行考察。債券的發(fā)展雖歷史悠久,但債券市場的真正形成與發(fā)展卻始于上世紀80年代。改革開放后,我國債券市場快速發(fā)展,并逐步經(jīng)歷了場外市場為主時期(1981-1991)、交易所市場為主時期(1991-1997)和銀行間債券市場為主時期(1997至今)。當前,我國債券發(fā)行市場發(fā)行方式和期限結構日趨多樣、發(fā)行規(guī)模逐漸擴大、發(fā)行券種漸趨豐富,交易市場機制和品種趨于多樣、交易規(guī)模逐漸擴大、流動性日益增強、投資者種類及數(shù)量持續(xù)增加,債券市場余額逐步擴大,債券評級制度、托管制度、監(jiān)管制度及相關法律法規(guī)不斷完善,債券市場發(fā)展取得了較為明顯的進步。第二,就債券市場在貨幣政策傳導中的作用進行理論分析。本文分別從債券市場在貨幣政策傳導中的功能、債券市場發(fā)展對貨幣供求的影響和貨幣政策在債券市場傳導的兩階段等三個方面進行分析。文章將貨幣政策在債券市場的傳導階段分為貨幣政策對債券市場的作用階段(第一階段)和債券市場對實體經(jīng)濟的作用階段(第二階段),并在凱恩斯的IS-LM模型基礎上引入債券市場因素,構建了一個新的數(shù)理模型。數(shù)理分析表明,債券市場在貨幣政策傳導中具有重要作用。第三,就貨幣政策在債券市場傳導的第一階段即貨幣政策對債券市場的作用階段進行實證分析。貨幣政策的傳導可以通過貨幣供給量和利率兩個中介目標來完成:在研究貨幣供給量對債券市場的作用時,本文引入了預期因素,研究認為,加入預期因素會使貨幣供給量對債券市場作用增強,但效果不明顯;在研究利率對債券市場的作用時,文章比較了官定利率和市場化利率對債券市場的作用,研究認為,與官定利率相比,市場化利率對債券市場的作用明顯要強,說明我國目前官定利率的貨幣政策效率較低,利率市場化勢在必行,然而市場化利率的作用也未達到預期效果。總體來看,由于我國債券市場存在問題較多,第一階段傳導效果不夠理想。第四,就貨幣政策在債券市場傳導的第二階段即債券市場變化對實體經(jīng)濟的作用進行實證分析。債券市場對實體經(jīng)濟的作用主要是通過影響消費和投資,再經(jīng)由乘數(shù)作用促進實體經(jīng)濟的發(fā)展。乘數(shù)作用已為經(jīng)濟學界普遍認可,所以文章主要實證分析了債券市場變化對消費和投資的作用。研究認為,債券價格和實際消費之間存在長期均衡關系,且二者變動方向相同,債券價格的上漲會給實際消費水平帶來較為明顯的影響,而債券價格波動對消費水平的短期影響則較小;債券市值與實際投資同方向變動,但是債券市值的沖擊對實際投資的影響較小。總體來看,債券市場存在的問題導致貨幣政策在債券市場第二階段傳導效果較差,降低了債券市場在貨幣政策傳導中的作用。第五,借鑒美國這一發(fā)達債券市場的經(jīng)驗,并結合前述實證分析結果,分析我國債券市場在貨幣政策傳導中的問題。我國債券市場近年來雖然取得明顯進步,但由于發(fā)展時間較短,存在問題依然較多,如債券市場供給不足、需求不旺、流動性不強、監(jiān)管體系不完善等,導致貨幣政策在債券市場的傳導效果較差。最后,結合我國債券市場所處的發(fā)展階段和存在的問題,筆者從完善貨幣政策傳導的角度提出了發(fā)展我國債券市場的對策建議。本文可能的創(chuàng)新之處在于:一是對債券市場在貨幣政策傳導中的作用進行系統(tǒng)研究;二是在凱恩斯IS-LM模型的基礎上引入債券市場因素,構建了一個新的理論模型,并運用此模型就債券市場在貨幣政策傳導中的作用進行理論分析;三是在研究貨幣供給量對債券市場的作用時考慮了預期因素,采用ARIMA模型將貨幣供給量變動分為預期到的與未預期到的兩種,然后分析兩種貨幣供給量變動對債券市場的作用是否不同;四是在研究利率對債券市場的作用時,考慮了我國尚未完成利率市場化的現(xiàn)實情況,采用比較分析法研究官定利率和市場化利率對債券市場的作用是否不同,以期為利率市場化后的債券市場參與者、監(jiān)管者及貨幣當局提供參考。
[Abstract]:China's bond market has developed rapidly in recent years, the market continues to expand the scale of product types gradually, the number of participants is increasing. But the bond market compared with developed countries, China's bond market is still the overall size is too small, illiquid, supervision system is not perfect, affecting the effective implementation of macroeconomic and monetary the policy of the sustained and healthy development. Therefore, in order to achieve the established objectives, in the current development of China's bond market is not perfect, study how to remove the obstacles, the establishment of a mature bond market in order to improve the effect of monetary policy has important practical significance, and using monetary policy as a breakthrough point of the development of the bond market. Also has important significance for enriching the development of the bond market theory and monetary policy theory. The research ideas are as follows: first, the bond market in our country. The situation was studied. The bond development is a long history, but the real formation and the development of the bond market began in the last century in 80s. After the reform and opening up, the rapid development of China's bond market, and gradually through the OTC market dominated period (1981-1991), (1991-1997) the main period of the exchange market and the inter-bank bond market (mainly during the period of since 1997). At present, China's bond market issuance and maturity structure is becoming more diverse, the issuing scale gradually expanded, the issue securities trading market mechanism and become rich, more diverse varieties, trading scale gradually expanded, the increasing mobility of species and the number of investors, the bond market continued to increase, the balance gradually expanded, the bond rating system the trusteeship system, supervision system, and constantly improve the relevant laws and regulations, the development of the bond market has made remarkable progress. Second, bond market in monetary policy Theoretical analysis of the transmission mechanism. This paper from the transmission of monetary policy on the function of the bond market, bond market development impact on money supply and monetary policy are analyzed in three aspects: the bond market conduction stage. The two stage transmission of monetary policy in the bond market is divided into monetary policy on the bond market effect of phase (the first phase) phase and the bond market to the real economy (second stage), and the introduction of the bond market factors based on IS-LM model Keynes, built a new mathematical model. The mathematical analysis shows that the bond market plays an important role in monetary policy transmission. Third, carries on the empirical analysis the first stage stage role in the bond market conduction of monetary policy monetary policy on the bond market. The monetary policy transmission through two money supply and interest rates The dielectric target to complete: in the study of money supply to the role of bond market, this paper introduces expected factors, research suggests that adding expected factors make the money supply to strengthen the role of the bond market, but the effect is not obvious; in the research of the interest rate on the bond market effect, the article compares the official role and interest rate the market interest rate on the bond market research shows that compared with the official rate, the market interest rate effect on the bond market is obviously stronger, indicating the efficiency of monetary policy in our country at present the official rate is low, the interest rate market is imperative, however, the interest rate market also did not reach the expected effect. Overall, because of our country there are many problems in the bond market, the first stage of conduction effect is not ideal. Fourth, monetary policy in the bond market conduction of second stages of the bond market changes on the real economy by empirical Analysis of effect on the real economy. The bond market is mainly through the influence of consumption and investment, and then through the multiplier effect of promoting the development of the real economy. The multiplier effect has been widely recognized in economic circles, so this article is mainly empirical analysis of the role of the bond market changes on consumption and investment. The research thinks that there is a long-term equilibrium relationship between bond price and actual consumption, and the two changes in the same direction, bond prices will bring obvious influence to the actual consumption level, while the short-term impact of bond price fluctuations on the consumption level of the bond market is small; and the actual investment moves in the same direction, but the bond market impact has little effect on the actual investment. Overall, the bond market exists led to the problem of monetary policy in the second stage of poor bond market conduction effect, reduce the role of the bond market in monetary policy transmission in the article. Five, learn from the developed bond market experience, and combining the results of empirical analysis, analysis of monetary policy transmission in China bond market. China's bond market in recent years has made significant progress, but due to the short time of development, still more problems, such as the bond market supply shortage, demand Wang, liquidity is not strong, the regulatory system is not perfect, resulting in poor transmission effect of monetary policy in the bond market. Finally, combined with the stage of development of China's bond market and the problems, the author puts forward the countermeasures and suggestions for the development of China's bond market from the perspective of perfecting monetary policy transmission. The possible innovation this paper is: first, systematic research on the role of the bond market in monetary policy transmission; two is the introduction of the bond market factors based on Keynes IS-LM model, constructed a new theoretical model. Type and use of this model, theoretical analysis on effect of bond market in monetary policy transmission; three is in the study of money supply to the bond market when considering the expected factors, using ARIMA model will change the money supply is divided into anticipated and unanticipated changes in two, then analysis two the money supply on the bond market is different; four is in the research of the interest rate on the bond market when considering the reality of our country has not completed the interest rate market, by using the method of comparative analysis of official interest rates and whether different market interest rate on the bond market, in order to after the interest rate market bond market participants, provide reference for regulators and monetary authorities.

【學位授予單位】：中央財經(jīng)大學
【學位級別】：博士
【學位授予年份】：2015
【分類號】：F832.51;F822.0
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本文編號：1365068