[中文]中国的货币政策和利率市场化:来自国际案例的警示
2000年5月,韦辽、桑帕闻德·儒勒·阿门德·塔普索巴起草,史蒂芬·巴内特授权并出版。
摘要
中国正在逐步走向一个更加以市场为导向的金融体系,这对于货币市场的处境也是一个暗示。鉴于金融产业改革的巨大成就,譬如,已经出现了的重大的金融创新(也就是所谓的影子银行)和更深入的利率市场化,本文探讨并调查了货币市场函数(MDF)的稳定性。国际案例的分析显示,金融体系的过快发展经常会导致货币市场函数的结构性的变化。比如,金融创新和利率市场化改变了货币平衡对于收入和利息的敏感性。对于中国来说,我们发现货币的需求、供给和利率之间的稳定性的长期发展关系,存在于2000年至2000年之间,并且在2000年以后就逐步消失了。这也和这个时期的快速的金融创新相一致,尤其是资产负债表和非银行金融中介机构的增长。这个结果也显示了广义货币作为中间货币目标的虚弱性,而且随着金融的创新和改革也在逐渐衰退。另一研究结果则强调了,逐渐加强对像利率这种以价格为基础的市场目标的信赖感是及其重要的。
在此,我们由衷的感谢马库斯·若德诺,史蒂夫·巴内特,帕帕·N·戴儿亚和弗兰扎卡·奥索基等人,给予本文珍贵的评论和建议,以及若珊娜·海勒提供的编辑支持。
1.介绍
以货币流通总额为目标的成功得源于货币需求函数的稳定性,如果一种货币的流通总额和真正的收入以及利率有一个稳定的关系,那么,对于最有联系的货币政策、产出量以及通货膨胀,会给经济近期的展望提供有用的信息。在这些情况中,货币政策会由于目标货币和信用提供而得以成功实施。金融体系结构性的变化可能会影响MDF的稳定性。举例来说,金融的创新和自由化可能改变货币总量、产出和利率之间的关系,这让货币总目标不是那么有效了,金融发展所引发的新的有息资产的出现可能会增加货币的利率敏感性资产;信用卡和其他运用工具的广泛使用可能会降低货币需求对收入的依赖。在这种情况下,货币政策框架高度集中在直接工具上,但是可能不再能够有效影响实际产出。结果,央行可能不得不转向使用间接货币政策工具,如利率,来行使宏观调控。在中国的情况是这样的,货币政策环境发生了重大变化,特别自2000年以来,金融创新和改革不断加快步伐。自1980年以来,人民币的汇率更加灵活,于是中国开始了一系列部门的大胆金融改革;扩大银行间货币、债券和股票市场;对银行业开放更多的竞争;并且利率自由化。与更为自由化的金融体系一致,金融市场的广度和深度也增加了。现代金融产品—比如理财产品(WMP),共同基金和更多选择—正在发展,银行服务和现代支付系统已经扩展到几乎每一个主要城市。在2000年,在传统的银行业务中出现了大约一半的金融中介机构,相比之下,在早期的2000年代只有10%。与此同时,在货币总目标引导(劳伦斯和麦诺,2000)下,中国的货币政策历来是对银行贷款(窜口指导)和直接工具(法定准备金)行使数量控制。然而,伴随着这样一个快速变化的金融体系,MDF的稳定性却成为货币政策有效性的关键因素。尽管有这些改变,中国还是继续在严重的依赖M2的目标,并且积极的运用窗口指导。因此,这是对MDF稳定性和不稳定性的理解。
2.货币需求函数中前进中的稳定性和不稳定性
理解货币需求的稳定性对于实施货币政策是很重要的,尤其是在依赖量化目标的框架上。在一个稳定的货币政策环境中,中央银行可以调整货币供应来实现所需的经济增长目标。通过估算一个长期稳定的资金储备、收入和利率之间的关系,几个相关的研究已经评估出了MDF。许多论文记录了MDF的不稳定性(巴尔,2000年,美国;宫尾,1996年,日本;普拉丹和萨波拉曼尼亚,2000年,印度)。货币持有量取决于几个因素,并且在驱动程序中突然的变化也会引起MDF的不稳定性。金融创新是MDF的关键决定因素。通过金融深化、新的金融产品的发展、存款替代品、技术在线支持和交易系统这几个渠道,金融的复杂性会影响到MFD。货币替代物的产生和发展让货币的需求更有弹性。沙玛、艾瑞森(1998)和普拉丹、赛比拉曼尼亚(2000)发现,随着有息资产的快速引入和金融基础设施的快速发展,这些金融产品的前进能导致MDF变得不稳定。货币替代和高效的支付机制通过降低交易成本来降低交易货币,以此来减少收入弹性。货币的总存量可能会降低流动资产的收入弹性,同时,新的有息替代品的出现可能会提高储备资金对于利率的敏感性。
然而,其他论文却强调流动性的影响。由央行购买的债券创建了利率永久性的增长,但是利率在持续下降(艾瑞兰,2000年;阿尔瓦雷斯和里皮,2001年)。这种效应会降低甚至翻转利息敏感性的货币需求。第二个重要因素中标示的MDF是金融自由化,有一个出版的文献曾认为金融市场改革可能会影响货币需求,特别是通过金融创新,此外,增加金融机构之间的竞争会降低交易成本以及金融深化。这些变化可能会导致货币需求对利率变化的反应更迅速,从而增加货币需求的利率弹性,相反,收入弹性的降低会提高银行体系的竞争。在竞争激烈的金融环境下,新的有息资产正在迅速发展,这些发展会让货币替代品转化为货币变得更容易。
三.中国的金融自由化和国际经验教训
国际上的经验可以给中国提供一个有用的借鉴。我们调查了一些进行了大胆的金融市场改革的国家作为样本(包括中国),重点在于金融业自由化如何影响货币政策环境,以及中央银行如何应对不断变化的环境。
1.中国的经验
从1980年代初开始,中国就一直不断地在改革其金融部门,在1990年代初,国有银行的商业化和重组开始变得更加以市场为导向,而自1996年来,股份制银行已经成立并获得认可,到了2000年代初,市场已经逐步开放外资银行和中外合资金融机构。伴随着存款利率的上限和突出的剩余的限制,利率更加灵活多变。,最近的一些措施包括,在2000年代的中期,扩大存贷款利率的浮动范围,以及在2000年7月,消除了贷款利率的下限。在银行业,金融体系也已明显现代化。比如,上海、深圳证券交易所已于1990年和1991年相继成立,并且,银行间货币和债券市场也自1980年代末发展起来。因此,金融市场的结构也正在迅速改变。股票、债券、银行承兑汇票、信托贷款以及私人股本已经成为了融资的主要形式,取代了传统的银行贷款。
2.日本
在1980年之前,日本的金融体系是高度管制,利率低于市场清算水平,国内的银行也有竞争限度。在1970年代的中期发生了重大的宏观经济改革(石油价格的冲击,公司借贷的下降,以及国家的财政状况恶化),自此日本的国内金融市场开始自由化。放松管制主要集中在扩大市场准入、存款利率自由化、增加金融工具的可用性,以及消除银行机构的操作和证券经纪人之间的障碍。随着利率自由化,货币的周转率和乘数已经改变。自1970年代末,货币周转率趋向下降,这反映了金融的深化和国民储蓄的增加,后者反映了对存款和金融资产的需求被认为更有吸引力。在账面资金的平衡里,周转率作为名义GDP的比率。乘数的定义是在储备货币名义价值上的的名义货币平衡的比率,周转率和乘数系列也在周期上相适应,这些结构性的变化改变了货币政策的行为,市场利率被介绍作为目标和政策立场的一项指标。
3.韩国
韩国的金融改革发生在1980年代末,稍晚于日本。在此之前,韩国严格监管金融市场来支持他们的出口导向型增长战略。这种监管扭曲了资源配置,导致了金融脱媒趋向于表外业务。基于直接控制的货币工具就无效了。银行间货币交易利率的自由化和优等商业票据、国有商业银行的私有化,和直接控制银行信贷的放松都已经开始改革。在韩国,金融自由化从结构上改变了货币政策环境。由于存款准备金的下降,货币乘数大幅增长,并且增加的利率和金融改革联系在一起。在利率出现自由化之后,周转率趋于稳步下降。由于一些原因,包括非银行金融机构的发展驱使的金融深化,加强正式部门的金融中介服务,更多的具有吸引力的存款工具和金融资产的有效性导致了更高的国民储蓄。因此,韩国的货币政策框架转向为更多的依赖于间接的货币控制的工具。
4.美国
在美国的十九世纪晚期,贷款利率上限被取消。然而,从1933年到2001年,最高存款利率(条例Q)却出现了。目的是防止银行间的过度竞争,但却被认为是导致大萧条的因素。条例Q中,除了活期存款,包括储蓄账户和所有其他类型账户的最高限额在1978-86年之间逐渐被淘汰。投资者和银行想办法绕过存款利率的上限,如通过货币市场基金投资于商业票据、创建可流通的提款(当前)账户(实际上相当于有息活期存款)。结果,在此期间,货币流通率和货币乘数正在逐渐变化,货币乘数增加到1986年初的水平。与日本和韩国的经验不同,在利率市场化后,周转率只是短暂的下降然后开始出现波动,并且逐渐到达了1990年代的水平。这样的波动很可能与美国货币政策立场的变化和在1980至1990年代的储蓄和贷款危机有关。
四.中国的货币需求函数:一个探讨
本节将使用和前一节中相同的方法,来讨论中国的MDF的稳定性。由于数据的可用性,我们的样例覆盖了从1998年第四季度到2000年第三季度的整个时期。我们开始使用M2,是从其成为中国人民银行的货币政策中间目标之后。正如前面所记录的,周转率自2000年开始呈现下降趋势,这和货币供应的快速增长以及同年的非银行金融活动相一致。为了正式解决这个问题,我们对中国的货币周转率进行了结构性的测试。以邹氏检验和Quandt-Andrews在2000年第一季度进行的未知断点测试鉴定作为突破点,同时大型反周期的刺激和非银行活动也开始了。因为周转率也受利率变化和其他变量的影响,这种转变只是象征着MDF的不稳定,然后我们用M2、收入和利率来估计长期协整方程,结果符合结构中观察到的周转率。协整检验的子样品从2000年的第一季度到2000年的第四季度显示有一个稳定的MDF,然而,当我们扩展样本到2000年第三季度时,这种稳定分解,这再一次表明结构性变化围绕在2000年第一季度的水平。
五.总结
使用跨国数据,我们得到了MDF不稳定的证据,尤其是,金融创新和自由化都将在MDF的收入和利率敏感性中产生重大影响。针对于中国的具体情况,在2000年我们已经确定了一个结构的破坏点,基于国际经验,这有可能是由自2000年以来,表外业务和非银行产品的强劲增长引起的。据改革所带来的不稳定和创新建议显示,M2作为中间货币目标变得不是那么有用,此外,持续多变的金融改革和深化,让执行货币政策的加速凸显变得更加重要。而且证据表明,持续的利率自由化将加强间接货币政策和使用利率作为价格信号的有效性。除此,这样的以市场为基础的货币工具,如果适当的纳入货币政策的设计,就可以提供一个强大的工具来促进经济增长。中国到更以市场为基础的货币工具的过度,尽管有益,却会不容易,特别是在一个正经历着急速变化的环境里。因此,一个阶段的边学边做,对于成功过渡到新的货币政策框架中是极其重要的一环。[/中文]
[外文]China′s Monetary Policy and Interest Rate Liberalization: Lessons from International Experiences
Prepared by Wei Liao and Sampawende J.-A. Tapsoba
Authorized for distribution by Steven Barnett
May 2000
Abstract
China has been moving to a more market oriented financial system, which has implications for the monetary policy environment. The paper investigates the stability of the money demand function (MDF) in light of progress in financial sector reforms that, for example, have resulted in significant financial innovation (so-called shadow banking) and more liberalized interest rates. The analysis of international experience suggests that rapid development of the financial system often leads to structural shifts in the MDF. For example, financial innovation and liberalization alter the sensitivity of money balances to income and the interest rate. For China, we find that the stable long-run relationship between money demand, output, and interest rates that existed between 2000 and 2000 disappears after 2000. This coincides with the period of rapid financial innovation, especially the growth in off-balance sheet and non-bank financial intermediation. The results suggest that usefulness of M2 as an intermediate monetary target has declined with financial innovation and reform. A result that underscores the importance of moving toward increased reliance on more price-based targets such as interest rates.
We thank, without implication, Markus Rodlauer, Steven Barnett, Papa N′Diaye, and Franziska Ohnsorge for their invaluable comments and suggestions, and Rosanne Heller for her editorial assistance.
I. INTRODUCTION
The success of targeting a monetary aggregate depends on the stability of the money demand function (MDF). If a monetary aggregate has a stable relationship with real income and interest rates, then it also has useful information near-term outlook for the economy and, of most relevance to monetary policy, output and inflation. In such cases, monetary policy can be successfully implemented by targeting money or credit supply. Structural changes in the financial system could affect the stability of the MDF. For instance, financial innovation and liberalization could alter the link between money aggregates, output, and interest rates, which makes monetary aggregate targeting less effective.The emergence of new interest-bearing assets triggered by financial development may increase the interest rate sensitivity of money holdings; and the extensive use of credit cards and leveraging tools may reduce the dependence of money demand on income. In this
circumstance, a monetary policy framework heavily centered on direct instruments may no longer be able to influence real output effectively. As a result, central banks may have to shift toward the use of indirect monetary instruments such as interest rates to exercise macroeconomic control. In the case of China, the monetary policy environment has undergone significant change, especially since 2000 as financial innovation and the pace of reforms have accelerated. China has embarked on a series of bold reforms of its financial sector since 1980 to make the exchange rate more flexible; expand the interbank money, bond, and stock markets; open the banking sector to more competition; and liberalize interest rates. Consistent with the more liberalized financial system, the breadth and depth of financial markets has increased. Modern financial products―such as wealth management products (WMP), mutual funds, and options—have been developed and banking services and modern payment systems have been extended to almost every major city. In 2000, around half of financial intermediation took place outside the traditional banking sector, compared to only about 10 percent in the early 2000s. Meanwhile, China′s monetary policy has historically been exercised with quantity controls on bank lending (window guidance) and direct instruments (reserve requirements) guided by monetary aggregate targets
(Laurens and Maino, 2000). With such a fast-changing financial system, however, the stability of the MDF becomes a crucial ingredient of monetary policy effectiveness. Despite these change, China has continued to rely heavily on M2 targets and active use of window guidance. It is, therefore, relevant to understand the stability and instability of the MDF.
II. DRIVERS OF STABILITY AND INSTABILITY OF THE MONEY DEMAND FUNCTION
Understanding the stability of money demand is important for conducting monetary policy, especially in frameworks that rely on quantitative targets. In a stable monetary policy environment, central bankers can adjust the money supply to achieve the desired growth objectives. Several studies have assessed the stability of the MDF by estimating a long-run relationship between money holdings, income, and interest rates. A number of papers have documented MDF instability (Ball, 2000 for the United States; Miyao, 1996 for Japan; and Pradhan and Subramanian, 2000 for India). Money holding depends on several factors and abrupt changes in those drivers can create instability of the MDF. Financial innovation is a key determinant of the MDF. Financial sophistication affects the MDF through several channels such as financial deepening, the development of new financial products, deposit substitutes, and technological advancements in payments and transactions systems. The Sharma and Ericsson (1998) and Pradhan and Subramanian (2000) find that financial advancement, such as the rapid introduction of interest-bearing assets and rapid development of financial infrastructure, can cause the MDF to become unstable. money substitutes and efficient payment mechanisms decrease the transaction demand for money through lower transactions costs and therefore reduce income elasticity. The stock of monetary aggregates toward liquid assets, which could lower the income elasticity. At the same time, the emergence of new interest-bearing money substitutes may improve the sensitivity of money holdings to interest rates. However, other papers highlight the liquidity effect. It consists in a central bank′s purchase of bonds that creates a once-and-for-all increase in liquidity, but a persistent decrease in interest rates (Ireland, 2000 and Alvarez and Lippi, 2001). This effect would reduce or even flip the sign of the interest sensitivity of money demand. The second important determinant of the MDF identified in the literature is financial liberalization. There is an established literature arguing that financial market reform may affect the demand for money, especially through financial innovation. In addition, increased competition among financial institutions will lower transactions costs and favor financial deepening. These changes may cause money demand to respond more rapidly to interest rate changes, and thereby increase the interest elasticity of money demand. Conversely, income elasticity decreases with improved competition in the banking system. In a competitive banking environment, new interest-bearing assets are rapidly developed, and these developments make it easier to convert money substitutes into money.
III. CHINA′S FINANCIAL LIBERALIZATION AND LESSONS FROM INTERNATIONAL EXPERIENCES
International experience can provide some useful insights for China. We examine a sample of countries that went through bold financial market reforms (including China), focusing on how financial sector liberalization impacted the monetary policy environment and how the central bank responded to the changing environment.
A.China′s Experience
Starting in the early 1980s, China has been gradually reforming its financial sector. State-owned banks have been commercialized and restructured onto a more market-oriented footing since the early 1990s; shareholding banks have been set up and recognized since 1996; and markets have been gradually opened up to foreign-owned banks and to Chinese-foreign joint-venture financial institutions since the early 2000s. Interest rates have become considerably more flexible, with the ceiling on deposit interest rates the most prominent remaining restriction. Some recent steps include the expansion of the floating range of deposit and lending rates in mid-2000, and eliminating the floor on lending rates in July 2000. Outside the banking sector, the financial system has also been significantly modernized. For instance, the Shanghai and Shenzhen stock exchanges were set up in 1990 and 1991, and interbank money and bond markets have been developed since the late 1980s. As a result, the financial market structure is changing quickly. Equity, bond, and bank acceptance bills, as well as trust loans and private equity, are the major forms of financing other than the traditional bank loans .
B.Japan
Before 1980, Japan′s financial system was highly regulated, with interest rates below market-clearing levels and limited competition among domestic banks . On the
heels of significant macroeconomic changes in the mid-1970s (the oil price shock, a decline of corporate borrowing, and the country′s deteriorating fiscal situation), Japan liberalized the domestic financial market. The deregulation focused mainly on expanding market access, liberalizing deposit interest rates, increasing the availability of financial instruments, and removing barriers between the operations of banking institutions and securities dealers. With interest rate liberalization, money velocity and multiplier have been altered. Money velocity trended down from the end of the 1970s, reflecting financial deepening and an increase in national saving, the latter reflected a demand for deposits and financial assets that were considered more attractive.Velocity is computed as the ratio of nominal GDP over nominal money balance. Multiplier is defined as the ratio of nominal money balance over the nominal value of reserve money. Velocity and multiplier series are seasonally adjsuted. These structural shifts changed the conduct of monetary policy. Market-determined interest
rates were introduced as both a target and an indicator of policy stance.
C.Korea
Financial reforms in Korea took place in the late 1980s, a little later than in Japan. Before that, Korea tightly regulated its financial markets to support their export-led growth strategy. The regulation distorted resource allocation and led to financial disintermediation toward off-balance-sheet activities. Monetary control based on direct instruments was no longer effective. Reforms included liberalization of interest rates on interbank money transactions and prime commercial paper; privatization of government-owned commercial banks; and relaxation of direct controls on bank credit. Financial deregulation structurally changed the monetary policy environment in Korea. The money multiplier increased sharply owing to the decline in reserve requirements and increases in interest rates associated with financial reforms. The velocity trended steadily downward after interest rate liberalization reflecting. Contributing factors include financialdeepening driven by the growth of nonbank financial institutions, improved financial intermediation in the formal sector, and higher national saving fueled by availability of more attractive deposit instruments and financial assets. As a result, the Korean monetary policy framework shifted toward greater reliance on indirect instruments of monetary control.
D.United States
In the United States, the lending interest rate ceiling was lifted in the late nineteenth century. However, a maximum deposit rate (Regulation Q) was in place from 1933 to 2001. The purpose was to guard against excessive bank competition that was considered a contributing factor to the Great Depression. Regulation Q ceilings for saving accounts and all other types of accounts except for demand deposits was gradually phased out between 1978–86. Investors and banks were finding ways to bypass the deposit rate ceiling, such as investing in commercial paper through money market funds and creating Negotiable Order of Withdrawal (NOW) accounts (effectively equivalent to demand deposits but interest bearing). As a result,
money velocity and money multiplier experienced gradual changes during that period. The money multiplier increased until early 1986. Unlike the case in Korea and Japan, the velocity declined only briefly then fluctuated after interest rate liberalization, and gradually climbed up in the 1990s . Such fluctuation may be related to changes in the U.S. monetary policy stance as well as to the savings and loan crisis in the 1980s and the 1990s.
V. MONEY DEMAND FUNCTION IN CHINA: A DISCUSSION
This section examines the stability of the MDF in China using the same approach as in the previous section. Owing to data availability, our sample covers the periods from 1998:Q4 to 2000:Q3. We use M2 since it is the PBC′s intermediate monetary policy target.As documented previously, velocity began a downward trend from 2000 . This is coincident with the rapid increase of the money supply and nonbank financial activities starting from the same year. To address the issue formally, we conduct a structural break test for money velocity in China. Both the Chow test and the Quandt-Andrews unknown breakpoint test identify 2000:Q1 as a break point, when the large countercyclical stimulus started and nonbank activity took off . As velocity is also subject to changes in interest rates and other variables, the shift in it is only indicative for instability in the MDF. We then estimate the long-run cointegration equation using M2, income, and interest rates. The results are consistent with the structural break observed in velocity. A cointegration test for the subsample 2000:Q1 to 2000:Q4 shows that there is a stable MDF. However, when we extend the sample to 2000:Q3, such stability breaks down, which again suggests a structural shift around 2000:Q1.
VI. CONCLUSION
Using cross-country data, we evidence of instability of MDFs. In particular, financial innovation and liberalization both have a significant impact on the income and interest rate sensitivity in the MDF. For the particular case of China, we have identified a structural break in 2000,which based on international experience, is possibly caused by the strong growth of off-balance-sheet activities and nonbank products in China since 2000. The instability resulting from reforms and innovation suggests that M2 is becoming less useful as an intermediate monetary target. Moreover, continuing financial reforms and deepening are increasingly making it even more important to accelerate the shift to more price-based instruments (interest rates) to conduct monetary policy. Furthermore, the evidence suggests that ongoing interest rate liberalization will enhance the effectiveness of indirect monetary policy and the usefulness of using interest rates as price signals. In addition, such market-based monetary instruments, if appropriately incorporated into the monetary policy design, provide a powerful tool for promoting economic stability. China′s transition to more market-based monetary instruments, while clearly beneficial, will nonetheless not be easy, especially in an environment that is undergoing rapid change. Therefore, a period learning-by-doing will be necessary to successfully transition to the new monetary policy framework.[/外文]
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