宏观经济稳定背景下的货币政策传导机制

Dmytro KHOKHYCH, Oleksandr LYUBICH, Gennadiy BORTNIKOV
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The implementation of monetary policy in the context of the pandemic is giving rise to new academic discussions about transmission channels, as well as the combination of the general and the particular in the context of countries. The purpose is to examine the transmission mechanism of monetary transmission to achieve the inflation target and ensure sustainable economic growth of the national economy. Methods. General scientific and specific methods of scientific cognition were used. In particular, the study used system analysis to describe models of the monetary policy transmission mechanism; abstract and logical analysis to summarize and build logical links between individual links in the monetary policy transmission mechanism; and statistical and economic analysis to analyze the impact of monetary transmission on inflation under the inflation targeting regime. Methods. System analysis was used to describe models of the transmission mechanism of monetary policy; abstract-logical – for summarizing and building logical connections between separate links of the transmission mechanism of monetary policy; statistical and economic - to analyze the impact of monetary transmission on inflation within the framework of the inflation targeting (IT) regime. Results. Transmission channels are defined as the chain of transmission of the impact from the key policy rate (discount rate) to the next link in the monetary transmission chain. Because of its properties (systematicity, consistency, and microfoundedness), neo-Keynesian logic is well suited to the main macroeconomic models that belong to the class of structural models (including both classical DSGE and semi-structural models). The model used by the National Bank of Ukraine to describe the transmission and build a medium-term forecast of the domestic economy also belongs to the class of structural models. A structural model in the neo-Keynesian logic combines the three most powerful transmission channels - interest rate, exchange rate, and expectations channels. An impulse in the key policy rate is instantly reflected in the 10-day interbank lending rate, and this rate is therefore the NBU's operational target for monetary policy. From the interbank lending rate, the impact of monetary policy is transmitted further to rates in other segments of the money market. Changes in interest rates affect the consumption and investment decisions of economic agents. From market interest rates and financial asset yields, the monetary policy impulse spreads further to lending activity and balance sheet indicators of companies and banks. Changes in the key policy rate affect prices and the value of assets on companies' balance sheets. From the credit sector, the impulse is smoothly transferred to economic activity and inflation. Aggregate demand, expectations, the exchange rate, and producer costs respond to monetary policy. Monetary policy affects expectations and, consequently, inflation by creating an “anchor” for its expected level in the medium term. Conclusions. Achieving the inflation target through the use of the IT regime is an important condition for achieving macroeconomic stability. The NBU's transition to IT was justified, as evidenced by the proven hypothesis of a sharp decline in inflation and price volatility in the medium term. Prices stabilized through the expectations channel. A timely response to the challenges of the pandemic should be accompanied by an easing of monetary policy aimed at reducing the cost of financial resources and restoring long-term lending to the economy. The experience gained enabled the banking system to withstand the next shock - a full-scale Russian aggression against Ukraine, using proven approaches. Studies have shown that the inflation target of 5% ± 1 p.p., which is optimal from the NBU's point of view, does not affect economic growth. The use of the key policy rate instrument demonstrates a delayed reaction of market participants with a lag of 9-18 months. The regulator focuses on the inflation target and, once it is achieved, on measures to support inflation within the planned target. 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引用次数: 0

摘要

介绍。2020年,COVID-19大流行迅速蔓延到几乎所有国家,造成经济下滑,货币稳定恶化。就其影响的规模而言,这种压力甚至超过了全球金融危机的影响。修改货币政策参数是合乎逻辑的,包括降低(或保持低水平)关键政策利率,接受长期再融资操作,降低存款准备金率。所有这些措施都是为了刺激经济,最近的做法值得检验一下货币政策传导的有效性。问题陈述。在大流行背景下实施货币政策,引发了关于传播渠道的新的学术讨论,以及在国家背景下将一般与特殊结合起来的讨论。目的是考察货币传导的传导机制,以实现通胀目标,保证国民经济的可持续增长。方法。运用了科学认知的一般科学方法和具体科学方法。特别地,本文运用系统分析方法描述了货币政策传导机制的模型;抽象逻辑分析,总结和构建货币政策传导机制中各个环节之间的逻辑联系;并通过统计和经济分析来分析通货膨胀目标制下货币传导对通货膨胀的影响。方法。运用系统分析方法对货币政策传导机制模型进行了描述;抽象-逻辑-概括和构建货币政策传导机制各个环节之间的逻辑联系;统计和经济-在通货膨胀目标制(IT)制度的框架内分析货币传导对通货膨胀的影响。结果。传导渠道被定义为从关键政策利率(贴现率)到货币传导链下一环节的影响传导链。由于其特性(系统性、一致性和微观基础),新凯恩斯主义逻辑非常适合于属于结构模型类的主要宏观经济模型(包括经典的DSGE和半结构模型)。乌克兰国家银行用来描述传导和构建国内经济中期预测的模型也属于结构性模型的范畴。新凯恩斯主义逻辑中的结构模型结合了三个最强大的传导渠道——利率、汇率和预期渠道。关键政策利率的波动会立即反映在10天期银行间拆借利率上,因此该利率是央行货币政策的操作目标。从银行间拆借利率,货币政策的影响进一步传导到货币市场其他部分的利率。利率的变化影响经济主体的消费和投资决策。从市场利率和金融资产收益率来看,货币政策的推动力进一步扩散到企业和银行的贷款活动和资产负债表指标。关键政策利率的变化会影响价格和企业资产负债表上资产的价值。从信贷部门,这种冲动被顺利地转移到经济活动和通货膨胀上。总需求、预期、汇率和生产者成本会对货币政策做出反应。货币政策通过为中期预期水平创造一个“锚”来影响预期,从而影响通胀。结论。通过使用信息技术制度实现通货膨胀目标是实现宏观经济稳定的一个重要条件。NBU向IT的转变是合理的,正如中期通胀和价格波动急剧下降的假设所证明的那样。通过预期渠道,价格企稳。在及时应对这一大流行病的挑战的同时,应放松货币政策,以降低财政资源的成本,恢复对经济的长期贷款。获得的经验使银行体系能够承受下一个冲击——俄罗斯对乌克兰的全面侵略,使用的是经过验证的方法。研究表明,从NBU的角度来看,5%±1%的通胀目标是最优的,不会影响经济增长。关键政策利率工具的使用表明,市场参与者的反应滞后了9-18个月。监管机构的重点是通胀目标,一旦达到目标,就会采取措施在计划目标范围内支持通胀。要解决计划通胀率与保持经济增长之间的两难局面,就需要对管理央行的法律进行监管改革。
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Transmission mechanism of monetary policy in the context of macroeconomic stability
Introduction. In 2020, the COVID-19 pandemic quickly spread to almost all countries, causing a downturn in the economy and worsening monetary stability. In terms of the scale of its effects, this stress even exceeded the impact of the global financial crisis. It was quite logical to revise the parameters of monetary policy, including lowering (or keeping low) key policy rates, accepting long-term refinancing operations, and reducing the required reserve ratio. All of these measures were intended to stimulate the economy, and the recent practice deserves an examination of how effective the transmission of monetary policy has been. Problem Statement. The implementation of monetary policy in the context of the pandemic is giving rise to new academic discussions about transmission channels, as well as the combination of the general and the particular in the context of countries. The purpose is to examine the transmission mechanism of monetary transmission to achieve the inflation target and ensure sustainable economic growth of the national economy. Methods. General scientific and specific methods of scientific cognition were used. In particular, the study used system analysis to describe models of the monetary policy transmission mechanism; abstract and logical analysis to summarize and build logical links between individual links in the monetary policy transmission mechanism; and statistical and economic analysis to analyze the impact of monetary transmission on inflation under the inflation targeting regime. Methods. System analysis was used to describe models of the transmission mechanism of monetary policy; abstract-logical – for summarizing and building logical connections between separate links of the transmission mechanism of monetary policy; statistical and economic - to analyze the impact of monetary transmission on inflation within the framework of the inflation targeting (IT) regime. Results. Transmission channels are defined as the chain of transmission of the impact from the key policy rate (discount rate) to the next link in the monetary transmission chain. Because of its properties (systematicity, consistency, and microfoundedness), neo-Keynesian logic is well suited to the main macroeconomic models that belong to the class of structural models (including both classical DSGE and semi-structural models). The model used by the National Bank of Ukraine to describe the transmission and build a medium-term forecast of the domestic economy also belongs to the class of structural models. A structural model in the neo-Keynesian logic combines the three most powerful transmission channels - interest rate, exchange rate, and expectations channels. An impulse in the key policy rate is instantly reflected in the 10-day interbank lending rate, and this rate is therefore the NBU's operational target for monetary policy. From the interbank lending rate, the impact of monetary policy is transmitted further to rates in other segments of the money market. Changes in interest rates affect the consumption and investment decisions of economic agents. From market interest rates and financial asset yields, the monetary policy impulse spreads further to lending activity and balance sheet indicators of companies and banks. Changes in the key policy rate affect prices and the value of assets on companies' balance sheets. From the credit sector, the impulse is smoothly transferred to economic activity and inflation. Aggregate demand, expectations, the exchange rate, and producer costs respond to monetary policy. Monetary policy affects expectations and, consequently, inflation by creating an “anchor” for its expected level in the medium term. Conclusions. Achieving the inflation target through the use of the IT regime is an important condition for achieving macroeconomic stability. The NBU's transition to IT was justified, as evidenced by the proven hypothesis of a sharp decline in inflation and price volatility in the medium term. Prices stabilized through the expectations channel. A timely response to the challenges of the pandemic should be accompanied by an easing of monetary policy aimed at reducing the cost of financial resources and restoring long-term lending to the economy. The experience gained enabled the banking system to withstand the next shock - a full-scale Russian aggression against Ukraine, using proven approaches. Studies have shown that the inflation target of 5% ± 1 p.p., which is optimal from the NBU's point of view, does not affect economic growth. The use of the key policy rate instrument demonstrates a delayed reaction of market participants with a lag of 9-18 months. The regulator focuses on the inflation target and, once it is achieved, on measures to support inflation within the planned target. Resolving the dilemma between the planned inflation rates and maintaining economic growth requires regulatory changes to the laws governing the central bank.
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