货币政策规则及其在中国的适用性研究

发布时间：2018-03-01 04:14

本文关键词： 货币政策规则相机抉择工具规则动态非一致性 McCallum规则Taylor规则政策指示器平滑转换回归(STR)　出处：《华中科技大学》2013年博士论文　论文类型：学位论文

【摘要】：货币政策规则能缓解相机抉择带来的时间不一致的问题。随着金融体制改革的深化,货币政策对中国经济运行的作用空间越来越大,如何在货币政策实施过程中选择合适的货币政策规则,提高货币政策有效性是一个不容忽视的问题。本文基于国内外现有研究,分别从理论和实证的角度对货币政策规则展开研究,并分析了不同规则在中国的适用性。第2、3、4章为理论部分。第2章回顾了货币政策的规则与相机抉择之争；第3章全面梳理了货币政策工具规则的产生和发展历程；第4章整理了世界主要经济体国家的货币政策操作实践,并回顾中国的货币政策操作实践。第5、6章为实证部分。第5章对McCallum规则的反应函数进行了扩展和检验,并深入分析了McCallum规则对中国货币政策的指示器作用；第6章探讨了Taylor规则在中国的适用性,分别构建了Taylor规则的线性模型和非线性模型,并代入中国的数据进行实证分析。本文通过理论和实证分析,得出的主要结论有： (1)由于动态非一致性问题的存在,货币政策的相机抉择存在动态不一致性,会产生通胀偏差和稳定性偏差,使社会福利产生损失。而货币政策规则能消除通胀偏差,因此从长期来看货币政策应依规则行事。 (2)对McCallum规则的线性模型进行变参数扩展后的估计结果发现,开放经济下,基础货币的投放受到汇率变动的显著影响；同时,外汇储备的变动对基础货币增长率的影响也十分显著。 (3)通过对McCallum规则的数据模拟发现,中国的货币政策操作实践总体遵循McCallum规则,并且标准的McCallum规则具有高度的稳定性,其模拟线所指示的货币政策松紧方向与程度同中国的现实经济运行态势高度一致,因此McCallum规则可以用作中国货币政策松紧度的指示器。 (4)在对线性Taylor规则模型的实证检验中,中国的利率政策具有显著的利率平滑特征,但利率对通胀和货币供给增长率变化反应不足,且产出缺口参数不显著,表明线性Taylor规则的稳定性不足。 (5)在对非线性Taylor规则的实证研究中,以通胀缺口作为转换变量进行的线性检验和非线性形式检验显示,中国的利率操作对通胀缺口、产出缺口和货币供应量增长率的反应具有明显的非线性特征,这些变量之间的关系适合采用LSTR2形式的模型来描述。 (6)非线性Taylor规则模型的拟合效果较好,与现实经济的运行态势一致。当模型包含由M2所代表的货币供应量增长率因素时,通胀缺口和产出缺口的参数显著性大大提高。 (7)中国目前不适合简单地运用McCallum规则或Taylor规则来直接指导货币政策操作,但货币政策规则可以作为一个基准,用来客观地衡量和评价政策实施效果。
[Abstract]:Can ease the camera choice brings the problem of time inconsistency of monetary policy rules. With the deepening of the reform of the financial system, the greater the effect of monetary policy space is more and China economic operation, how to implement the selection of appropriate monetary policy rules in the process of monetary policy, improve the effectiveness of monetary policy is a problem can not be ignored.
In this paper, based on the existing research at home and abroad, respectively from the angles of theoretical and empirical research on monetary policy rules, and analyzes the applicability of different rules in China. Chapter 2,3,4 is the theoretical part. The second chapter reviews the monetary policy choice between rules and discretion; production and development of the third chapter comprehensively combed currency policy rules; the fourth chapter arranges a monetary policy operation practice of the world's major economies, and a review of the practice of monetary policy operations China. Chapter 5,6 is the empirical part. The fifth chapter response function of McCallum rules of the expansion and inspection, and in-depth analysis of the indicator of the McCallum rules on Chinese monetary policy; the sixth chapter discusses the applicability of Taylor rule in China, the linear model and the nonlinear model of Taylor rules are constructed, and then China data for empirical analysis.
Through theoretical and empirical analysis, the main conclusions are as follows:
(1) due to the dynamic inconsistency problem, dynamic inconsistency of monetary policy, will produce inflation bias and the stability of the bias, generate social welfare losses. But monetary policy rules can eliminate the inflation bias, so in the long run monetary policy should be in accordance with the rules.
(2) the estimation results of the McCallum rule's linear model after variable parameter expansion show that under the open economy, the delivery of the basic currency is significantly influenced by the exchange rate fluctuation. Meanwhile, the impact of foreign exchange reserve on the growth rate of the basic money is also significant.
(3) based on the rules of McCallum data simulation, China monetary policy practice generally follow the McCallum rule, and the standard McCallum rules with a high degree of stability, the analog line indicating the direction and degree of tightness of monetary policy with China realistic economic situation is highly consistent, so McCallum rules can be used as indicators of monetary policy China tightness.
(4) in the empirical test of linear Taylor rule model, China's interest rate policy has significant interest rate smoothing characteristics, but interest rate has little response to inflation and money supply growth rate, and the output gap parameter is not significant, indicating that the stability of linear Taylor rule is not enough.
(5) in the empirical research on the nonlinear Taylor rule, the inflation gap as a linear and nonlinear test form test variables display conversion rate, China operation on the inflation gap, the output gap and money supply growth rate of reaction has obvious nonlinear characteristics. The relationship between these variables is suitable for use in the form of LSTR2 model to describe.
(6) the nonlinear Taylor rule model has better fitting effect, which is consistent with the reality of the economic operation. When the model contains the growth rate of money supply represented by M2, the parameters of inflation gap and output gap are significantly improved.
(7) China is not suitable for direct application of McCallum rules or Taylor rules to direct monetary policy operation. However, monetary policy rules can be used as a benchmark to objectively measure and evaluate the implementation effect of policies.

【学位授予单位】：华中科技大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F820;F822.0;F224

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