摘要 货币政策中介目标是介于货币政策和货币政策最终目标之间的中间变量, 它是中央银行货币政策对宏观经济运行产生影响的连接点。货币政策中介目 标的选择正确与否直接关系到货币政策最终目标能否顺利实现。因此,研究 货币政策中介目标的问题具有重大的现实意义。特别是在08年全球金融危机 爆发以后,为了挽救衰退的经济各国政府掀起了一轮研究货币政策中介目标 的高潮。 同时在国内,我国当前的货币供应量中介目标受到如潮水般的质疑:高额 的外汇储备使得央行对于基础货币的投放难以控制;由于央行的独立性不高, 对再贷款或再贴现也缺乏有效的控制手段;由于我国货币市场不健全,公幵 市场业务量较小,没有成为投放基础货币的主要渠道,影响了中央银行通过 公开市场业务调控货币供应量的效果;金融创新的蓬勃发展,使一些金融资 产在一定程度上也发挥了货币的职能,从而引发了人们对货币的定义和统计 的再思考;从2009年开始的人民币国际化增加了人民币作为货币供应的流向 范围和地域,使得合理地测算货币供应量变得越来越复杂和困难等。与此同 时,我国货币当局于2010年底提出了 “社会融资规模”的概念,并对其内涵 和意义作了详细的解释。2011年2月央行调查统计司司长盛松成第一次提 出社会融资规模作为我国货币政策中介目标的命题。之后,经济学界针对该 命题展开了热烈的讨论。从目前的研究结果来看,存在赞同和反对两种截然 相反的观点,且大都基于定性分析,较少有定量的分析,同时学者们研究的 重点往往集中在货币供应量是否可以替代社会融资规模,很少有从结合两者 的角度来研究我国货币政策中介目标选择的。 1本文的研究目的、思路及内容 结合现有研究文献的不足,本文的研究目的主要有两个:一是指社会融资 规模是否可以取代货币供应量成为我国当前的中介目标,如若可以,优势体 社会融资规模作为我国货币政策中介目标的可行性研究 现在哪些方面,如若不可以,又是为什么;二是社会融资规模是否可以与货 币供应量一起共同作为我国货币政策的中介目标。为了准确的回答这两个问 题,本文进行了如下研究: 首先本文对货币政策中介目标的相关研究文献和理论进行了梳理,为本 文的研究提供了一个基本的理论框架。本文在详细阐述了社会融资规模提出 的意义和统计方法的基础上,分析了其与货币供应量的关系,发现两者好比 是一枚硬币的正反两面,两个方面共同反映我国货币政策的实施效果,具有 极强的相关性。货币供应量是从存款性金融机构负债方进行统计的,反映的 是金融体系向社会提供的流动性资金和全社会的购买力水平;而社会融资规 模是从金融机构资产方、金融市场发行方来进行统计的,反映的是金融体系 对全社会资金供给的支持。两者最大的不同之处在于:社会融资规模比货币 供应量统计的范围更广,更具有全面性,货币供应量仅从存款性金融机构进 行统计而社会融资规模是对整个金融体系进行统计。 其次,对国外发达国家的货币政策中介目标发展实践进行了分析,以美 国和韩国为重点,对美韩两国当时的经济情况和货币政策中介目标进行了详 细的分析,并辅以德国、日本和英国的实践经验,在梳理出发达国家货币政 策中介目标选择共性的基础上,结合我国当前金融经济发展的现状发现我国 暂不应放弃货币供应量这一中介目标,而应该对之加以改进。 再次结合前文理论分析的结果,本文从实证的角度,以货市供应量为对 比变量,对社会融资规模作为中介目标的可控性、可测性和相关性进行了详 细的分析,其中相关性的分析采用了基于向量自回归(VAR)模型的协整检验、 误差修正、Granger因果检验、脉冲响应等多角度的对比分析,发现社会融资 规模并不适合取代货币供应量成为我国当前的货币政策中介目标,但适合加 入中介目标体系,与货币供应量一起作为我国当前的货币政策中介目标。 最后在总结理论和实证分析结论的基础上,对我国当前的货币政策中介 目标选择给出了一定的政策建议以供参考。 2本文的主要结论 (1)社会融资规模不适合直接替代货币供应量成为我国当前的货币政策中 介目标。原因有两点:一、社会融资规模与货币供应量相比并没有明显的中 介优势。从可控性和可测性来看,两者各有千秋,不分伯仲。所不同的是导 摘要 致货币供应量可控性和可测性降低的因素是客观的金融经济环境,而影响社 会融资规模可控性和可测性的因素是社会融资规模本身的计量和统计方法有 待完善。从相关性的角度来看,社会融资规模在脉冲响应和方差分解中的表 现要优于货币供应量,但在简单的相关系数,协整检验和Grange因果检验中 并不优于货币供应量。而且社会融资规模作为一个新的统计指标,其在自身 的定义和统计上还需要进一步的完善,因而本文认为社会融资规模暂不适合 直接替代货币供应量;二、我国暂不应放弃货币供应量中介,这包含了两方 面的意思,一方面是指我国不应该放弃货币供应量中介,而应对之进行改进, 这是从发达国家的实践经验得出的。英美、日本、韩国等国都曾遭遇过金融 创新、货币国际化等因素对货币供应量可测性和可控性的冲击,但他们都积 极根据实际的经济情况对货币统计的定义和口径进行了调整,保持了货币供 应量中介的有效性并取得了成功,这说明这条经验具有普适性,值得我们借 鉴。另一方面是指目前暂无其他常用的中介目标适合我国,利率和通货膨胀 制都不适合,这主要是由目前我国的基本国情决定的。央行的独立性不高, 区域经济发展不平衡,城乡二元经济,以及地方政府首脑强烈的政绩冲动, 都使得我国的经济金融发展染上了浓重的政策性色彩,而且从我国目前的发 展状况来看,这些现象在短期内也不会消失,这就使得需要成熟的市场经济 机制的利率中介在我国显得心有余而力不足。同时通货膨胀制的推行需要机 制和条件在我国也不具备:除了需要央行具备较高的独立性外,实行通货膨 胀制还需要以通货膨胀率为第一最终目标,这对处于发展中国家的我国来说 暂不现实,因为经济发展是我国目前的第一要义,此外通货膨胀制还需要较 强的货币政策透明度,让公众来形成对央行的监督。 (2)社会融资规模是货币供应量的一个良好补充,若将其引进中介目标体 系,有助于提髙当前的货币政策的有效性。从理论的层面来看,社会融资规 模能提供一个比货币供应量更全面的监控视角,其在货币政策中介目标的“三 性”上也表现出了一定的合理性,同时从国外先进的实践经验来看,中介目 标和操作目标的界限越来越模糊,多中介目标制成为很多国家的选择,这对 处于经济转型期的我国来说,引入社会融资规模,实现多中介目标制也不失 为一种可操作的现实选择。从实证的层面来看,当在经济系统引入社会融资 规模后,能大幅提高协整回归的拟合优度,同时Granger因果检验显示社会 社会融资规模作为我国货币政策中介目标的可行性研究 融资规模是国内生产总值和居民消费物价的结果,可以很好的反应货币政策 实施的效果,而在脉冲反应和方差分解中社会融资规模都表现出了比货币供 应量高得多的活跃性,又进一步证明了这个结论。现阶段各种各样的实证都 在证明货币供应量己无法完美扮演好货币政策中介目标这一角色,而无论从 理论还是实证的角度都可以发现社会融资规模与货币供应量很着极强的联 系,是一个事物两个不同的方面,若将其纳入中介目标,不失为当前过渡期 的一个良好选择。 3本文的主要特色 综合全篇的研究来看,本文的特色主要体现在以下几方面:第一,关于 选择对象。不仅研究了社会融资规模是否可以替代货币供应量,而且从社会 融资规模与货币供应量一起作为中介的角度来进行了研究;第二,关于国外 实践的借鉴,为了使借鉴更具有可行性,本文选取了一个经济起点与我国类 似且经济刚刚发展进入发达行列的国家——韩国作为借鉴对象,同时本文对 各发达国家的先进经验进行了横纵向的共性梳理,并在结合我国经济金融发 展现状的基础上进行了实践经验的借鉴,同时为下文的实证提供了支持;第 三,关于实证。本文详细分析了各种实证结果不一致原因,并在指标选取和 数据方面十分注意,同时,为了确保结论的准确性,本文对社会融资规模与 货币供应量与我国货币政策目标之间的相关性进行了协整检验、误差修正、 Granger因果检验等多角度的实证分析。 【关键词】社会融资规模货币政策中介目标货币供应量 4 ABSTRACT ABSTRACT The intermediate target of monetary policy is the intermediate variable between the ultimate goal of monetary policy and monetary policy,which is the connecting point of the monetary policy impact on the macro economy. The correct or not of choosing intermediate target is directly related to the smooth implementation of the ultimate goal of monetary policy. Therefore, it is of great importance to the study of intermediate target of monetary policy. Especially since the 2008 global financial crisis, in order to save the recession, governments set off a wave of research on the intermediate target of monetary policy. At the same time with the development and changes of China's economic and financial environment, money supply has currently been questioned by more and more people: the high level of foreign exchange reserves the central bank difficult to control the base monetary; the flourish of financial innovation, making some financial assets also play the functions of money in a certain extent, and then sparking questions about the definition and calculation of the money supply; since the start of internationalization to RMB in China in 2009, which increases the range and region of RMB as money supply ,which make the reasonable measure of money supply is becoming more and more complex. When the money supply is questionable, monetary authorities have put forward the concept of social financing scale at the end of 2010. Songcheng Sheng, who is the director of the survey and statistics department of central bank, put forward social financing scale as the intermediate target of monetary policy of China at the first time in 2011 February. Later, economists has heated discussions on this issue, but the results of the current study exist two diametrically opposed views, and mostly based on the qualitative analysis,not the number of inspection. Furthermore most research scholars focus on whether social financing scale can substitute the money supply, few to study from the combination of social financing scale and the money supply perspective. So this paper follows the next several aspects to study this issue: l A feasibility study on social financing scale as the intermediate target of monetary policy in China Firstly, relevant theories on the intermediate target of monetary policy are reviewed which provides a basic theoretical framework for China's choice of intermediate target. At the same time, this article from the perspective of definition to analyze the relationship of social financing scale and money supply. In one word their relationship is like the two sides of the same coin: the money supply is the statistics of the deposits of financial institutions from the liability side, reflect the liquidity of financial system provides to the society and the social level of purchasing power; the social financing scale is from assets, financial institutions issued to statistics, is the reflection of the financial system to support social capital supply. The biggest difference lies in. the two indexes is the scope of social financing scale is broader than the money supply's. Secondly, carried out the practice of foreign developed countries on the choice of intermediate target of monetary policy, such as the USA, South Korea, Germany and Japan. On the basis of their commonness, this paper obtains four points of experience by combining the current financial and economic development in China. Thirdly, this paper has a detailed analysis on the social financing scale's controllability, measurability and relativity,which make a contrast of the money supply‘ Furthermore in order to make the result as accurate as possible ,this paper uses the simple coefficient method and the vector autoregressive (VAR) model to analysis the correlation between the social financing scale and the ultimate goal of monetary policy. Finally,based on theoretical and empirical conclusions, some policy suggestions are given. The main conclusions of this paper in details are as follows: 1 Social financing scale is not suitable for direct replacement of money supply to become China's current intermediate target of monetary policy. There are two reasons: one, social financing scale has no obvious intermediary advantage than the money supply. From the view of controllability and observability, the two indicators each has its own merits. From the perspective of relevance, social financing scale is better than the money supply in the impulse response function and variance decomposition, but the simple correlation coefficient, co integration test and Grange causality test is not superior to the money supply. But the scale of social financing as a new statistical index, whose definition and statistical also ABSTRACT need further improvement, so this paper argues that social financing scale is not suitable to directly replace the money supply. Two,the money supply should not be given up as intermediary. From the practical experience of the developed countries, financial innovation, internationalization of the currency and other factors to impact the money supply's controllability and actively are common, in order to maintain the effectiveness of monetary supply as the intermediary, they all according to the reality adjust the statistics of monetary, and had obtained the success, which we can use as a reference. Interest rate and inflation rate are not suitable for China's current intermediate target of monetary policy. This is mainly decided by the basic national conditions of China. 2 Social financing scale is not suitable for directly replace the money supply as intermediate target of our country at present, but it is a good supplement to the money supply, which can help to improve the effectiveness of the current monetary policy. From a theoretical perspective, social financing scale can provide a more comprehensive monitoring perspective than money supply, and the controllability, measurability and. relativity of social financing scale also showed certain rationality. Over more, from the overseas advanced experience, the boundaries of intermediary and operating goals become increasingly blurred, more and more countries become to choose two or more intermediary targets, the introduction of social financing scale is a realistic choice for us in the transformation of the economic situation at present. From the empirical perspective, when introduces social financing scale in the economic system, can greatly improve the co integration regression's fitting goodness, and Grange causality test shows that social financing scale is the result of GDP and CPI, which can react very good on the effect of monetary policy's implementation, and the impulse responses and variance decomposition shows that social financing scale performs much better than money supply, which proves this conclusion again. According to these conclusions, the following suggestions are given: Firstly, to improve its intermediary effectiveness strengthening and improving the definition and statistical caliber of money supply, based on China's current financial situation; Second, further improving the social financing scale,to make it more scientific and comprehensive; Last but not the least, enhancing the independence and information of the central bank. A feasibility study on social financing scale as the intermediate target of monetary policy in China Throughout the whole paper, the main characteristic of this paper lies in the following aspects: first,on the selected object. This paper studies not only whether social financing scale can replace money supply, but also from the perspective of combining the social financing scale and money supply; second, about the experience abroad,in order to make the lessons more feasible,this paper chooses South Korea as the reference object, which has just entered the ranks of the developed countries and ever had a similar and economic background of China. And summarize the common advanced experience of the developed countries from the horizontal and vertical; third,the empirical. This paper analyzes the reason of why various empirical results are inconsistent. In order to ensure the accuracy of the conclusions, the author uses a series of empirical methods to analysis the correlation between the social financing scale and monetary policy target, such as simple correlation, co integration, error correction and Granger causality test. At the same time,this paper also uses the money supply for comparison. 【Keyword】 social financing scale monetary policy money supply intermediate target 4 目录 目录 1. ■ 1 1.1研究背景和意义 1 1.2研究目的、思路和方法 2 1.3本文研究特色 2 2.文献综述 3 2.1关于货币供应量 5 2. 2关于社会融资规模 6 2.3其它中介目标研究 8 2.4现有研究评述 10 3.研究的理论基础和模型方法 12 3.1相关概念内涵 12 3.1.1货币政策 12 3.1.2货币政策中介目标 13 3.1.3社会融资规模 14 3.2货币政策传导机制理论 16 3.3向量自回归(VAR)模型简介 17 3.3.1协整检验及误差修正 18 3. 3. 2 Granger 因果检验 19 3.3.3脉冲响应和方差分解 19 4.发达国家中介目标实践经验借鉴及启发 21 4.1发达国家货币政策中介目标选择实践 21 4.1.1 美国 21 社会融资规模作为我国货币政策中介目标的可行研究 4. 1.2 韩国 23 4. 1.3其他发达国家 24 4.2发达国家货币政策中介目标选择的共性 27 4.3启发及借鉴 29 5.社会融资规模作为我国货币政策中介目标的可行性分析 31 5. 1可控性和可测性分析 31 5. 2相关性分析 31 5.2.1数据的选取和处理 33 5.2.2基于VAR模型的相关性分析 34 5. 3本章小结 47 6.结语 47 6. 1结论 48 6. 2建议 50 6.3研究不足及改进方向 51