产业投资结构、流动性效应和中国货币政策

Industrial Investment Structure,Liquidity Effect and Monetary Policy in China

本文选取中国宏观经济月度数据,采用七变量SVAR模型研究发现:在数量型扩张货币政策冲击下,第一产业内无流动性效应,但第二、三产业有流动性效应;第一产业投资先降后升,第二、三产业投资先升后降,导致短期内产业投资结构的调整。基于利率管制背景,通过引入投资酝酿滞后、投资调整成本和消费习惯等,本文还构建新的粘性价格模型较好地模拟了上述经验事实。分析发现,在利率管制下,数量型扩张货币政策的传导机制主要是利率调节机制还是信贷配给机制,取决于银行贷款利率下限是否严格约束,以及实体经济的盈利能力和信贷需求程度;三次产业在投资酝酿滞后期,特别是在计划时间和建设时间上的差异,是货币供给政策产生不同产业流动性效应的关键;投资调整成本和消费习惯的作用主要是增强产业流动性效应和投资效应的持续性。

Adopting China's monthly macroeconomic data,we set up seven variables SVAR model,which reveals that there are liquidity effects in the second and third industry,but no effect in the first industry under quantitative expansionary monetary policy shock;investment in the first industry firstly declines then increases,and investment in the second and third industry firstly increases then declines,resulting in the industrial investment structure adjustment in the short-run.Considering China's interest rate regulation,the paper develops a sticky-price monetary business cycle model with investment gestations lags,investment adjustment cost and habit formation in consumption that assistant generating an empirically plausible industrial liquidity effect and investment effect.The China's monetary policy mechanism analysis finds that under interest rate regulation,the main mechanism is interest rate channel or credit ration depends on whether lending interest rate is binding or not,firm's profitability and credit demand;the differences in industrial investment gestation lags,especially in time-to-build and time-to-plan is the critical ingredient for the above industrial liquidity effect;the role played by investment adjustment cost and habit formation is mainly to deepen and make more persistent and existing industrial liquidity effect and investment effect.