【双语】货币供应新方式:近忧与远虑

发布:2017-05-17 12:23 来源: 中国外汇网
展望未来,如果房价上涨、汇率下跌的预期能有所企稳,面对巨额的流动性缺口,货币政策能辅以小幅渐进、多次灵活的调整法定存款准备金率,或有利于“稳健中性”政策目标的实在。

货币供应新方式:近忧与远虑

Is It Time to Be Less Innovative in Managing Domestic Liquidity?

 

2016年以来,我国的货币供应呈现出与过去截然不同的方式:央行极少动用法定存款准备金率工具,却大量使用了各种创新工具,如常备借贷便利(SLF)、中期借贷便利(MLF)、抵押补充贷款(PSL)及其他公开市场操作来提供银行间市场流动性。2017年初,央行还推出临时流动性便利(TLF)来缓解短期的流动性紧张。据统计,2016年央行通过逆回购向市场投放的流动性共计约25万亿元,是2015年的6.66倍;通过MLF向市场投放的流动性共计5.52万亿,是2015年的2.41倍。

Over the last year, China's central bank has relied on a new set of tools to manage domestic liquidity. It has rarely adjusted the deposit reserve ratio – once a favored instrument of liquidity management – and instead turned to a variety of innovative open market tools, such as the Standing Loan Facility (SLF), the Medium-term Lending Facility (MLF) and Pledged Supplementary Lending (PSL). In early 2017, the central bank also introduced the Temporary Liquidity Facility (TLF) to ease short-term liquidity tightness. According to official statistics, in 2016 the central bank made use of about 25 trillion yuan in reverse repurchase agreements, 6.66 times the 2015 total. It also injected about 5.52 trillion yuan of liquidity through the MLF, 2.41 times the 2015 total.

诚然,在汇率预期不稳、资产价格高企的宏观背景下,上述创新工具确实能在一定程度上缓解外汇占款下降引致的流动性短缺,但与此同时,我们也注意到银行间市场的波动明显加剧,市场对货币数量和资金价格的预期有些紊乱,甚至还暴露出部分商业银行抵押品紧张等新问题。2016年底,中央经济工作会议明确提出要“适应货币供应方式新变化,调节好货币闸门”。那么2017年,在货币政策“稳健中性”的基调下,上述货币供应方式是否可以持续?银行间市场的价与量的矛盾如何演进?准备金率的调整是否值得期待?这些都是市场关注的热点问题。

In a period of volatile exchange rates and high asset prices, these innovative tools have alleviated problems with liquidity shortages resulting from the reduction in foreign exchange inflows and exchange purchases by the central bank. However, at the same time, it is clear that the fluctuations in the inter-bank market are becoming more drastic and there is much uncertainty over the direction of liquidity and asset prices. Moreover, the supply of mortgage lending by commercial banks has been tighter than usual. In late 2016, the Central Economic Work Conference made it clear that new money supply management tools were needed. In 2017, with the central bank maintaining its prudent and neutral monetary policy stance, should it also stick to this formula for money supply management? If so, how will this contradiction between pricing and liquidity work itself out on the inter-bank market? And should the market expect adjustments in the bank deposit reserve ratio? These are issues of considerable concern.

 

基础货币是货币政策目标M2的增长基础,也是央行可以调控的“流动性闸门”。 如果要预测未来银行间市场流动性缺口有多大,就是要估算为了实现既定的GDP以及M2目标,流动性需求和流动性供给之间的缺口有多大,即:流动性缺口=流动性需求-流动性供给。

Base money is the foundation for the M2 monetary policy target. Liquidity demand minus liquidity supply determines the liquidity gap. In order to predict the size of the future liquidity gap in the inter-bank market, it is necessary to estimate the difference between liquidity supply and demand under conditions where the gross domestic product and M2 money supply targets are reached.

 

流动性需求

Liquidity Demand

通常看,流动性的需求可由广义货币M2的目标供给量除以货币乘数测算得出。基于2017年M2的目标增长率为12%,那么到2017年底M2需要增加18.6万亿元至173.6万亿元。关于货币乘数的预测,考虑到2012年后该值一路单边上行,因此不适于采取过去几年的平均值去预判。展望2017年,在央行更加严厉的信贷政策和金融去杆杠的背景下,假设货币乘数及其信贷能力或不会进一步扩张,则可采用2016年的季度平均值5.12近似作为2017年的货币乘数。在上述情形下,2017年末流动性需求应达到33.9万亿元,较2016年末的30.9万亿元约需新增3万亿元。

It is generally believed that demand for liquidity can be calculated by dividing the target supply of the M2 broad money supply by the money multiplier. Based on the targeted M2 growth rate of 12% for 2017, M2 will increase by 18.6 trillion yuan to reach 173.6 trillion yuan by the end of the year. The money multiplier has been steadily increasing since 2012. But amid tighter credit policies and financial deleveraging, we might use the 2016 quarterly average money multiplier of 5.12 as the quarterly average for 2017. If this is in fact the case, liquidity demand should reach 33.9 trillion yuan in 2017, which would mean an increase of 3 trillion yuan from the level at the end of 2016.

 

流动性供给

Liquidity Supply

外汇占款的增减。2016年末的新增外汇占款为-2.9万亿元,降幅较大。2017年1月以来,外汇占款降幅收窄。特别是2月份,外汇储备甚至出现意外回升,资本外流呈现出减弱的迹象。尽管如此,美联储仍处在加快加息的周期中,中美贸易摩擦增加的概率依然较大。综合上述情况,我们估计2017年外汇占款可能仍会下降,但降幅会显著小于2016年。预计全年外汇占款下滑范围约在1.1万亿元到3万亿元之间。

In 2016, foreign exchange purchases showed a net decline equivalent to 2.9 trillion yuan. Since January 2017, the decline has eased, however, and in February, the nation's foreign exchange reserves showed an unanticipated recovery, with capital outflows showing signs of weakening. Nevertheless, there are reasons to be wary of renewed capital outflows. The US Federal Reserve is still likely to be raising interest rates and there is still considerable potential for Sino-US trade friction. It is therefore likely that foreign exchange purchases may still decline, by anywhere from 1.1 trillion yuan to 3 trillion yuan.

流动性工具投放及到期。2016年频繁使用的各种流动性工具在2017年即将大量到期,这无疑是导致未来流动性及货币供应减少的重要因素,也是区别于往年流动性投放的最大特点。据统计,2017年各种流动性工具跨年到期量约为7.1万亿元,其中MLF是最大的构成部分。具体看,从去年秋季开始,央行重启了14天和28天逆回购,并且将MLF的操作数量提升至7000亿元左右。这将导致今年逆回购的跨年到期量较前一年增加1.2万亿元,MLF的跨年到期量同比增加2.79万亿元。尤其在今下半年,到期压力将明显增大。

A number of liquidity tools used in 2016 are about to expire in 2017, which would lead to a reduction in liquidity and money supply, a sharp divergence from the liquidity expansion in previous years. According to official statistics, there are about 7.1 trillion yuan of various liquidity tools set to expire in 2017 and the MLF accounts for much of this. Last fall, the central bank resumed its 14-day and 28-day reverse repurchases and raised the operational MLF total to 700 billion yuan. This will mean this year's reverse repurchases will increase by 1.2 trillion yuan over the tally of the previous year. It will also mean there will be 2.79 trillion yuan of maturing MLFs moving into the new year. The pressure from these expiring contracts will have a substantial impact on market liquidity, especially in the second half of the year.

 

2016年末30.9万亿元流动性供给的基础之上,2017年的外汇占款预估下滑1.1万亿到3万亿元,流动性工具到期约7.1万亿元。这些因素会使得2017年的流动性供给数量较上一年共减少约8.2万亿到10.1万亿元,达到20.8万亿元到22.7万亿元。

At the end of 2016, on top of a liquidity supply of 30.9 trillion yuan, it is expected that the foreign exchange purchase position will fall by 1.1 trillion yuan to 3 trillion yuan in 2017. Additionally, expiring liquidity tools will amount to about 7.1 trillion yuan. These factors will reduce the supply of liquidity by 8.2 trillion to 10.1 trillion yuan for a total of 20.8 trillion yuan to 22.7 trillion yuan in 2017.

流动性缺口

Liquidity Gap

基于上述流动性需求和供给的测算,我们预计,2017年流动性缺口为11.2万亿—13.1万亿元之间,较2016年继续增多1万亿—4万亿元。综合来看,尽管今年M2增速目标(12%)低于去年(13%),且外汇占款下滑压力有望相对减缓,但今年流动性工具到期的数量将比去年显著多出5万亿左右。巨额的流动性工具到期,将成为今年流动性缺口的重要来源,并使得流动性缺口大于去年。

Based on these calculations, the liquidity gap in 2017 is likely to range from 11.2 trillion yuan to 13.1 trillion yuan, up 1 trillion yuan to 4 trillion yuan from 2016. This year's 12% growth target for M2 is below last year's 13% pace but the decline in foreign exchange purchases is expected to be relatively slower. However, this year the number of liquidity tool contracts that are expiring will be much greater than last year's total – probably by about 5 trillion yuan. This will also be an important contributor to the liquidity gap this year.

 

货币供应的创新方式可否持续

More of the Same Policies?

考虑到流动性缺口的不断增大,今年的货币政策可否沿用去年思路简单地“提量续作”呢?在法定存款准备金率维持在高位的情形下,传统的准备金率工具又是否有适时调整的可能?要回答这些问题,我们认为有必要认真审视过去一段时间创新型流动性工具的利与弊,以探索更优化的政策工具组合。事实上,在国内房价高企、汇率贬值预期强烈的现实条件下,上述创新工具确实对2016年宏观经济的平稳运行发挥了重要作用。但与此同时,随着流动性缺口的不断加大,有关创新的流动性提供方式的弊端也逐渐暴露出来。

Given that the liquidity gap is growing, should this year's monetary policy be more of the same or would it be wise to employ the more traditional monetary tool of adjusting the still high deposit ratio? To answer this question, it is necessary to carefully examine the pros and cons of the innovative liquidity tools of the recent past and explore other possible combinations of policy tools. In fact, when domestic housing prices are high and there are strong expectations of exchange rate depreciation, innovative monetary tools have played an important role in keeping the economy running smoothly. However, with the growing liquidity gap, the disadvantages of this past approach are becoming increasingly obvious.

一是银行间市场利率波动性显著增加,“价价矛盾”时常发生。以隔夜、7天和一个月的银行间质押式回购利率为例,在去年流动性操作最多的第一季度和第四季度,均呈现出大幅波动。特别是2016年四季度至今,随着操作规模增大,以及政策工具重心往中长期的MLF上增加,短期和超短期利率震荡幅度显著升高。从时间点来看,隔夜回购利率振幅的加大,发生在央行重启14天和28天逆回购之后;从2016年12月份开始波动加剧的1月期回购利率,也恰恰紧随在MLF投放规模加大之后。

Interest rates on the inter-bank market have shown increased volatility of late. The overnight, seven-day and one-month bond repurchase rates on the inter-bank market, for example, showed significant volatility in the first quarter of this year and the fourth quarter of last year. These two quarters saw substantial open market operations, including the use of the medium and long-term MLF, which had an indirect impact on short-term interest rates. An upturn in the overnight bond repurchase interest rate occurred after the central bank resumed 14-day and 28-day reverse repurchases. Beginning in December 2016, the fluctuations in the one-month bond repurchase interest rate also mirrored the expanded use of the MLF.

上述现象似乎说明,央行若同时控制短期和中期的多个政策利率,容易造成若干政策利率与多个市场利率之间的价格差异,甚至导致同一期限的不同品种之间出现明显价差,进而出现同期限不同价格的“价价矛盾”,加剧市场利率波动。事实上,在央行同时控制短期和中期政策利率的情形下,短期市场利率会同时受到中期政策利率和短期政策利率的共同影响,从而形成市场利率演进的多重均衡路径,其波动性势必会增大。

This suggests that when the central bank takes steps to influence short-term and medium-term policy rates at the same time, this can result in price distortions between policy rates and market rates and even different market rates for instruments with the same maturities. When the central bank tries to influence short-term and medium-term policy interest rates at the same time, the short-term market interest rate will show the combined effects of these rates. Greater volatility ensues.

二是市场预期出现量与价之间的紊乱,“量价矛盾”日益凸显。过于频繁的创新性工具的大量运用,使得市场难以充分理解其价格和数量变动所释放的信号,容易形成冲击效应并导致市场预期紊乱。今年春节前后,央行分别上调了MLF、SLF以及逆回购利率,很多投资者解读为央行发出紧缩的“加息”信号;而央行则认为,利率上行是市场化招投标的结果,是在资金供求影响下“随行就市”的表现。我们认为,造成央行与市场之间预期及理解不一致的根本原因,是央行的目标过于多元化——既想调控流动性的数量又想保住其价格,如此两者兼顾就容易引发“量价矛盾”

The excessively frequent use of these innovative tools makes it difficult for the market to fully comprehend the signals from the changes in prices and quantity. This tends to have an impact on market expectations. Before the Spring Festival this year, the central bank raised the interest rates on the MLF, SLF and reverse repurchases. Many market participants interpreted this as the central bank issuing a signal of an impending rate hike. Meanwhile, the central bank viewed the higher interest rates as merely a reflection of greater market demand. Some market participants maintained that the discrepancy between the perception of the market and the People's Bank of China was due to the multiple objectives of the central bank – namely controlling the supply of liquidity and holding the line on liquidity prices as well.

量上看,今年1月,央行的MLF投放规模不仅对冲了当月到期的MLF数量,还考虑到了春节后的1.5万亿元公开市场操作的到期。也就是说,央行意在维持资金数量的稳定。与此同时,市场利率却与政策利率的偏差越来越大,MLF政策利率不得不“被动”上调。可见,政策利率既是央行引导市场利率走势的工具,但同时也会受到市场利率的制约。整体来看,当以“量”为重心使用流动性工具但其价格制定又与市场有所偏离时,政策利率往市场利率调整纠偏过程中的各种变动都容易被投资者过度解读,进而发生市场预期的紊乱。前期“利率上调+流动放量”的组合,事实上引发了市场与央行之间的理解偏差。这不利于货币政策的预期引导。而事实上,预期管理是至关重要的。

In January, the central bank's use of newly issued MLF not only offset the maturing instruments but also covered the 1.5 trillion yuan set to expire after the Spring Festival in February. The central bank's objective at the time was to ensure a stable supply of liquidity in the market. But the gap between market interest rates and policy interest rates was getting wider, and that meant the MLF policy interest rate had to be raised. While the policy interest rates are a tool for the central bank to guide market interest rates, they also are influenced by market rates. When the focus of liquidity tools is on quantity and the price of the liquidity instrument deviates from market rates, market expectations can be disrupted. The result can be misunderstandings between the market and the central bank. This is not conducive to the market guidance needed to conduct monetary policy as the central bank needs to manage market expectations.

三是银行间市场抵押品捉襟见肘,“数量矛盾”浮出水面。现阶段央行的流动性提供往往都要金融机构有抵押品支持。目前,金融机构的抵押品主要是利率债。根据2017年1月末的数据测算,公开市场逆回购需要利率债类抵押品2.05万亿元,MLF需要抵押品3.68万亿元,加上估算的银行间质押式回购中利率债约为4万亿元,总规模大约为9.73万亿元。尽管今年1月末商业银行持有的利率债规模为15.3万亿元,远大于公开市场操作所需的抵押品9.73万亿,但还需考虑银行为了满足流动性覆盖率(LCR)考核所需要持有的优质流动资产中的利率类抵押品规模。以LCR比率较高的五大行为例来计算,五大行至少需要8.20万亿的一级资产,估算出全部商业银行需要利率类抵押品为11.71万亿。如果再叠加长期资金MLF所需的抵押品3.68万亿元,一共是15.39万亿元,已经小幅超过了目前市场上的利率债存量15.3万亿元。虽然央行可以扩充利率债之外的债券或者贷款作为抵押品,但其信用等级等问题值得进一步探索。

Another consequence of the type of liquidity management has been the shortage of collateral, mainly debt instruments. The supply of collateral depends on substantial support from financial institutions. According to data released at the end of January 2017, open market repurchases required 2.05 trillion yuan of collateral, while the MLF required 3.68 trillion yuan of collateral and another 4 trillion yuan was needed for pledge-style repos. This meant a combined 9.73 trillion yuan. At the end of January 2017, the scale of the interest rate debt held by the banks amounted to 15.3 trillion yuan, far surpassing the 9.73 trillion yuan of collateral needed for the open market operations. The collateral scale of interest rate of the quality liquidity assets which the banks need to hold for satisfying the relevant requirement of Liquidity Cover Rate (LCR) should be considered as well. Based on the existing examples of the five biggest commercial banks with high LCR ratio, it is calculated that they need at least 8.2 trillion yuan of first-tier assets. It is also calculated that all collateral 11.71 trillion yuan. Then it would be 15.39 trillion yuan when 11.71 trillion yuan plus the 3.68 trillion yuan of collateral needed for the long-term capitals of MLF, which would slightly surpass 15.3 trillion yuan of the current market storage of the interest rate debt. The central bank could use the bonds or loans as the collateral for the complement of the interest rate debts, but their credit ratings need to be further discussed.

结论与启示

Conclusion

一是在外汇占款大幅下滑的情况下,去年以来我国的货币供应却呈现出与过去截然不同的方式:央行极少调整法准率,却大量使用各种创新工具。但随着创新工具规模的加大,操作中也暴露出市场波动加剧、量价预期混乱和抵押品不足等弊端,继续简单地沿用上述做法的可持续性值得商榷,过度依赖超额续作或并非最优方案。

First, against the backdrop of the sharp decline in foreign exchange purchases, China's money supply has shown a very different pattern from the past with the central bank rarely adjusting the bank reserve ratio, but making extensive use of innovative tools. However, with the increased use of these innovative tools, market volatility has increased. It therefore remains to be seen whether this type of liquidity management – particularly on this scale – is appropriate in the current environment. Excessive reliance on these measures is not necessarily the best solution.

二是尽管今年M2增速目标(12%)低于去年(13%),且外汇占款下滑压力有望相对减缓,但今年流动性工具到期的数量将比去年显著多出5万亿元左右。巨额的流动性工具到期将成为今年流动性缺口的重要来源,并使得流动性缺口整体大于去年。尤其今年下半年流动性投放的到期规模庞大,届时流动性缺口及其补充的压力将明显增大。

Second, this year's 12% M2 growth target is below last year's 13%, and the decline in funds from foreign exchange purchases is expected to ease somewhat. However, maturing liquidity tools this year could top last year's total by 5 trillion yuan. This will be an important contributor to the wider liquidity gap this year. In particular, given the scale of liquidity issuance in the second half of this year, it is expected that the liquidity gap will be significantly higher.

三是展望未来,如果房价上涨、汇率下跌的预期有所企稳,面对巨额的流动性缺口,货币政策若能辅之以小幅渐进并多次灵活地调整法定存款准备金率,或有利于其“稳健中性”政策目标的实现。传统教科书以及许多市场人士总误认为法定存款准备金率的调整是一剂“猛药”。但事实上,在开放经济条件下,法定存款准备金率的调整不过是灵活应对外汇大量流入/流出的一种中性货币政策操作而已。

Third, as we look ahead, if the expectations of possible housing price rises and the weakening of the exchange rate can be stabilized, but we still face of a huge liquidity gap, a series of gradual adjustments to the deposit reserve ratio could be conducive to the realization of a “prudent and neutral” monetary policy. Many market participants mistakenly see the deposit reserve ratio as a blunt instrument in managing liquidity. But in fact the adjustment of the statutory deposit reserve ratio is merely a neutral monetary policy operation that can be used to respond to large inflows or outflows of foreign exchange in a flexible manner.

 

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