金融脱媒对我国货币政策的资产价格传导渠道的影响研究.pdfVIP

摘 要 近年来，随着我国经济金融体制改革的深化及金融市场的发展，股票、债券等直接融 资的比重不断攀升。据央行统计数据，在历年社会融资规模的各项构成中，新增人民币贷 款的比重由2002 年的91.90%下降到20 12 年的52.07%，而同期股票和债券融资的比重则 由4.90%上升至15.91%。金融脱媒在我国已逐渐出现且呈深化趋势，对货币政策传导产生 重要影响；另外资产价格波动也随着金融市场环境的日益复杂和多元化变得更加剧烈，对 金融体系的稳定性和实体经济的发展产生重要影响。 本文基于国内外关于金融脱媒和货币政策的资产价格传导渠道的研究成果，首先分析 和描述了金融脱媒的定义与度量指标、在我国的发展现状及成因，然后从理论上分析了金 融脱媒对我国货币政策的资产价格传导渠道的影响，最后设立四个VAR 模型，采用 2002-2012 年间的季度数据，通过单位根和协整检验、脉冲响应及方差分解等方法实证研 究了金融脱媒对我国货币政策的资产价格传导渠道的影响。结果表明，我国货币政策的资 产价格传导渠道是存在且有效的，金融脱媒的出现和深化对其产生了积极影响，但影响程 度取决于资产价格和货币政策中介工具的选择。 关键词：金融脱媒 货币政策传导机制 资产价格渠道 VAR 模型 I ABSTRACT In recent years, with the deepen of economic and financial system reformation and the development of financial market in China, the proportion of direct financing like Stocks, bonds and so on is rising. According to The people’s bank of china’s data, in the structure of social financing scale over the years, the proportion of new renminbi loans fell from 91.90% in 2012 to 52.07% in 2002, while the proportion of equity and debt financing increased from 4.90% to 15.91%. Financial Disintermediation has been developed and deepened in China, which brings great influence on Monetary Policy Transmission Mechanism. What’s more, with the increasingly complex and diverse economic and financial market environment, assets price fluctuation has become more severe and has greater influence on financial stability and the real economy development. Based on research about Financial Disintermediation and assets prices Transmission Mechanism of Monetary Policy at home and abroad, this paper firstly analyzes the definition, measurement, current development situation in China, causes of the Financial Disin