银行非自愿超额准备金周期性波动与货币政策的有效性  

Bank Involuntary Excess Reserve Cyclical Fluctuations and Effectiveness of Monetary Policy

作　　者：张勇[1] 

机构地区：[1]华南师范大学经济管理学院

出　　处：《数量经济技术经济研究》2010年第10期116-130,共15页Journal of Quantitative & Technological Economics

基　　金：国家自然科学基金项目"基于福利标准的人民币汇率制度选择研究"(70673033);广东省自然科学基金项目"流动性过剩与中央银行流动性管理的有效性研究"(07300422);教育部人文社会科学研究一般项目"银行非自愿超额准备金波动与货币政策微调性操作"(09YJC790098)的资助

摘　　要：本文采用非自愿超额准备金率的增长率作为流动性状态的衡量指标,通过建立超额准备金的动态模型和门限向量自回归(TVAR)模型,考察了非自愿超额准备金率增长率周期性波动情况和不同流动性状态下货币政策的传导效应。研究表明,自1998年以来,在外汇占款、银行贷款和贷款利率的作用下,流动性状态发生了过剩与短缺之间的周期性转换,并且流动性过剩状态与短缺状态相比,货币政策传导的产出和价格效应均有所弱化。Viewing involuntary excess reserve growth rate as indicator of liquidity condition, the paper applies excess reserve dynamic model and TVAR model to investigate the relationship between fluctuations of involuntary excess reserve growth rate and effectiveness of monetary policy in different liquidity condition. The result shows that liquidity condition has cyclically transformed between liquidity surplus and shortage since 1998, which is affected comprehensively by foreign exchange reserve, bank loan and lending rate. And also, the policy effectiveness on output and price is weakened in liquidity surplus condition, compared to liquidity shortage condition.

关 键 词：非自愿超额准备金 货币政策 非线性 TVAR模型 

分 类 号：F820.3[经济管理—财政学]