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1、国内图书分类号：F823.0国际图书分类号：336学校代码：10213密级：公开经济学硕士学位论文数量型和价格型货币政策工具有效性的比较研究硕 士 研 究 生：张雪导师：耿中元副教授申 请 学 位：经济学硕士学科：金融学所 在 单 位：经济与管理学院答 辩 日 期： 2012 年 7 月授予学位单位：哈尔滨工业大学Classified Index: F823.0U.D.C: 336Dissertation for the Master Degree in EconomicsTHE COMPARATIVE STUDY ON THEEFFECTIVENESS OF QUANTITATIVE AND
2、PRICE-BASED MONETARY POLICYINSTRUMENTSCandidate：Supervisor：Academic Degree Applied for：Speciality：Affiliation：Date of Defence：Degree-Conferring-Institution：Zhang XueAssoc. Prof. Geng ZhongyuanMaster of EconomicsFinanceSchool of ManagementJuly, 2012Harbin Institute of Technology哈尔滨工业大学经济学硕士学位论文摘要一国宏观
3、经济的平稳发展，离不开货币政策的运用，而货币政策工具的正确选择，对货币政策的效果发挥着重要作用。当前，数量型和价格型货币政策工具运用的有效性，引起了国内理论界和业界的热烈讨论。在此背景下，对我国数量型和价格型货币政策工具的有效性进行比较研究，找出不同货币政策工具有效性存在差异的原因，对于我国未来货币政策的制定实施、金融改革的取向具有重要的现实意义。本文首先对货币政策工具与货币政策有效性间的联系机理进行分析，从理论层面具体阐述了不同货币政策工具是如何通过对中介目标的传导，进而对货币政策最终目标发挥作用的；其次介绍了各货币政策工具在我国的具体运用，并进行了简要的比较分析；随后使用协整检验、向量自回
4、归模型、脉冲响应函数和方差分解等计量模型和方法，对比研究数量型货币政策工具和价格型货币政策工具在1998 年-2003 年、2003 年-2008 年、2008 年-2010 年三个不同时期的有效性。实证结果显示：数量型货币政策工具的有效性整体优于价格型货币政策工具。在数量型货币政策工具中发挥效用最大的为法定存款准备金政策，随后为公开市场业务、信贷规模政策，这三种货币政策工具分别与中介目标货币供应量间存在负向、正向、正向的影响作用，且在对最终目标的影响中，作用于经济增长指标时效果更好。价格型货币政策工具加权平均利率的有效性则在随时间推移在不断提高，与中介目标货币供应量间负相关，同时在对最终目标
5、的影响中，对于目标价格变量的作用明显大于对目标经济变量的影响。最后，本文针对实证研究的结果，指出了各货币政策工具运用中存在的不足，并结合目前我国宏观环境和经济现状，提出了增强货币政策工具有效性的政策建议。关键词：数量型货币政策工具；价格型货币政策工具；向量自回归；脉冲响应函数；方差分解I哈尔滨工业大学经济学硕士学位论文AbstractThe smooth development of a countrys macroeconomic can not leave the use ofmonetary policy, and the correct choice of monetary polic
6、y instruments can play animportant role to the effectiveness of monetary policy. At present, the effectiveness ofthe use of quantitative and price-based monetary policy instruments have caused a livelydiscussion to the theorists. In this context, a comparative study of the effectiveness ofChinas qua
7、ntitative and price-based monetary policy instruments, finding the reasonsfor the differences of effectiveness of different monetary policy instruments has animportant practical significance for Chinas future monetary policy formulated andimplemented, and the financial reform orientation.Firstly, th
8、is paper analysis the mechanism between monetary policy instrumentsand the effectiveness of monetary policy. It describes in detail that how can the differentmonetary policy instruments contact the intermediate target and thus play a role in theultimate goal of monetary policy from the theory level.
9、 Secondly, it describes thespecific use of various monetary policy instruments in China, and has a briefcomparative analysis. Then, this paper use econometric models and methods ascointegration tests, vector auto-regression model, impulse response functions andvariance decomposition, having a compar
10、ison of the effectiveness of quantitative andprice-based monetary policy instruments in three different periods as the year of 1998 to2003, the year of 2003 to 2008 and the year of 2008 to 2010. The empirical results showthat: the effectiveness of quantitative monetary policy instruments is better t
11、han that ofprice-based monetary policy instruments. The legal deposit reserve policy plays themaximum role in all the quantitative monetary policy instruments, then followed by theopen market operations and credit policy. These monetary policy instruments havenegative, positive and positive effect w
12、ith the intermediate target of money supplyrespectively, and play a better role in the economic growth index. The effectiveness ofprice-based monetary policy instruments as weighted average interest rate is improvingcontinuously over time. It has a negative correlation with the intermediate target o
13、fmoney supply, while it has a greater impact in the price variables than in the economicvariables. Finally, this paper bases on the empirical results of the study, pointing out thelack of applications of various monetary policy instruments, and combining with thecurrent macro environment and the economic situation to enhance the effectiveness ofmonetary policy instruments.II哈尔滨工业大学经济学硕士学位论文Keywords: quantitative monetary policy instruments, price-based monetary policyinstruments, vector auto-regression model, impulse response functions,variance decompositionIII哈尔滨工业大学经济学硕士学位论文目录摘 要.
