金融脱媒、货币政策效果与中国货币政策规则选择

Financial Disintermediation,Effect of Monetary Policy and Choice of Monetary Policy Rules in China

随着互联网金融井喷式增长,金融脱媒成为影响中国经济的现实问题。因为金融脱媒会改变货币政策的传导途径,已有研究对此进行了深入分析,但鲜有探讨金融脱媒下不同货币政策规则的有效性问题。以金融脱媒对数量规则和利率规则的不同影响机理为切入点,使用数理方法分别推导出包含金融脱媒因素的数量规则和利率规则等式,基于此,构建一个考虑金融脱媒的DSGE模型,并在模型中加入技术进步冲击、投资专有技术冲击、消费偏好冲击、货币偏好冲击、政府支出冲击、劳动供给冲击、价格加成冲击和货币政策冲击等外生冲击,使用2003年至2018年中国的季度数据,全面系统地比较金融脱媒影响下不同货币政策规则的政策效果。研究结果表明,①中央银行执行的货币政策更加关注通货膨胀,金融脱媒弱化了货币政策的效果。面对金融脱媒,在利率规则下,调整名义利率幅度更大;在数量规则下,中央银行调整基础货币供给更稳健。②货币政策冲击的持续性在数量规则下明显弱于利率规则,金融脱媒对两类规则的持续性均有正向影响,但不足以改变两者的差异;政府支出冲击的持续性在两类规则下较为一致。③货币政策冲击对产出和物价的效果在利率规则下高于数量规则,金融脱媒使数量规则下较弱的货币政策效果变得更弱。④政府支出冲击在利率规则下长期效果明显,在数量规则下短期效果明显。金融脱媒强化了财政政策冲击,并有平滑财政政策冲击、避免经济过度波动的效果。技术进步冲击对产出有较强的持续正向影响,是政策效果所缺乏的,金融脱媒放大了技术进步的作用。⑤在利率规则和数量规则下,货币政策、政府支出、技术进步和投资专有技术等冲击贡献了绝大部分的产出和物价波动。利率规则下货币政策冲击对产出较小的扰动能使产出得到较大的增幅,这是数量规则无法获得的效果。无论哪种规则,货币政策冲击对物价波动的贡献均超过一半以上,是物价变化的最主要原因。中央银行在利率规则下行事,对物价的控制力更高。金融脱媒进一步提高了货币政策对经济波动的贡献。通过理论和实证研究,丰富了金融脱媒对货币政策影响的研究,突破目前以货币政策传导途径为主的研究范围,不仅深化了对金融脱媒的理解,更为货币政策规则的选择提供新视角,研究结果将为中国在货币政策实际操作中选择有效规则提供帮助。

With the explosive growth of internet finance,financial disintermediation has become a practical issue affecting China′s economy.Because financial disintermediation will change the transmission path of monetary policy,the existing literature has made an in-depth analysis of this,but there is little discussion on the effectiveness of different monetary policy rules under financial disintermediation.Taking the different influence mechanism of financial disintermediation on“quantity rule”and“interest rate rule”as the breakthrough point,the equations of“quantity rule”and“interest rate rule”including financial disintermediation factor are derived respectively by using mathematical method.Based on this,a DSGE model considering financial disintermediation is constructed,and the impact of technological progress,investment in proprietary technology,consumer preference and so on are added into the model.By using the quarterly data of China from 2003 to 2018,this study comprehensively and systematically compares the policy effects of different monetary policy rules under the influence of financial disintermediation.The following results are obtained:Firstly,the monetary policy implemented by the central bank is more concerned about inflation,and financial disintermediation will weaken the effect of monetary policy.The central bank will adjust the basic money supply more robustly under the quantity rules,the adjustment of the nominal interest rate will be greater under the interest rate rules;Secondly,the persistence of the effect of monetary policy under the quantity rules is obviously weaker than the interest rate rule,and the financial disintermediation has a positive effect on the continuity of the two rules,but it is not enough to change the difference between the two rules.The continuity of government expenditure is more consistent under the two rules.Thirdly,the effect of monetary policy on output and prices is higher under the interest rate rules than the quantity rules,and the financial disintermediation makes the weak monetary policy effect weaker under the quantity rules.Fourthly,the longterm effect of government expenditure shocks under the interest rate rules is obvious,and the short-term effect is obvious under the quantity rules.Financial disintermediation strengthens the shocks of fiscal policy,and has the effect of smoothing fiscal policy shocks and avoiding excessive economic fluctuations.Technological progress has a strong and sustainable positive impact on output,which is what the policy effect lacks,financial disintermediation magnifies the role of technological progress.Fifthly,regardless of the type of rules,monetary policy,government spending,technological progress and investment-specific technology shocks contribute the vast majority of output and price fluctuations.Under the interest rate rule,a small disturbance of monetary policy shocks on output can make output increase greatly,which is the effect that quantitative rules can′t achieve.Regardless of the rules,the contribution of monetary policy shocks to price fluctuations is more than half,which is the most important reason for price changes.The central bank acts under the interest rate rules and controls prices more.Financial disintermediation has further improved the contribution of monetary policy to economic fluctuations.Through theoretical and empirical research,this study enriches the research on the impact of financial disintermediation on monetary policy,breaking through the existing research scope mainly based on monetary policy transmission,which can not only deepen the understanding of financial disintermediation,but also provide a new perspective for the choice of monetary policy rules.The above research will provide help for China to choose effective rules in the actual operation of monetary policy.