基于阈值协整的货币需求函数及中国未来通胀预期

发布时间：2018-05-19 13:29

本文选题：货币数量方程 + 阈值协整　；参考：《华中科技大学》2013年硕士论文

【摘要】：我国虽然常年保持着较高的经济增长水平，但是在世界经济持续低迷的今天，通胀率和就业率也在逐渐升高，同时经济增长速度在逐渐放缓。那么在增长不足的情况下，如何制定经济政策来稳定经济运行，或者说在两难处境下如何选择成了关键。本文首先通过对已有相关文献进行综述，寻求可靠有效的理论，并在此基础上，引出本文的研究内容：通过货币数量方程，具体来说是货币数量方程的变形——泰勒规则，来研究实体经济之间几个产出、通胀、利率等几个重要指标之间的关系。并通过实证研究，发现了产出缺口、通胀缺口、名义利率以及实际利率之间存在一个长期平稳的协整方程，同时其协整关系为实际利率和其他变量全部正相关，即泰勒规则在中国确实是适用的，中国的经济现实符合传统理论。再进一步研究发现，泰勒规则不仅仅协整，还存在一个阈值效应，在短期内出现较大偏离时，随着冲击方向的不同，协整方程内的阈值效应在正冲击出现时会迅速将冲击反映到其他变量上，使之加速回归平稳状态；而在负冲击出现时，这个负冲击依然会通过阈值效应中在下期继续给出负向调整，减缓恢复平稳状态的速度。考虑到央行现有的政策，配合上述结论可预期未来通货膨胀将下降的。最后依此给出了在长期和短期两种不同情况下，中国政府和央行可以考虑的相应政策，长期中应到稳定目标通胀率，这将会使实际通胀率处于一个稳定水平。而短期中，由于阈值效应的存在，所以在通胀期，央行要适度减弱调节力度，避免调节过度。而在紧缩期，要适度加大调节力度，因为此时调节效应不如前者明显。
[Abstract]:Although China maintains a high level of economic growth all the year round, the inflation rate and employment rate are gradually rising and the economic growth rate is slowing down in the world economy. So how to make economic policies to stabilize the economy, or how to choose in a dilemma, in the case of insufficient growth. In this paper, first of all, by summarizing the relevant literature, we seek a reliable and effective theory, and on this basis, draw out the research content of this paper: through the money quantity equation, specifically, the deformation-Taylor rule of the monetary quantity equation, To study the real economy between a number of output, inflation, interest rates and other important indicators of the relationship. Through empirical research, we find that there is a long-term stable cointegration equation between the output gap, inflation gap, nominal interest rate and real interest rate, and the cointegration relationship is all positive correlation between real interest rate and other variables. That is, the Taylor rule is true in China, China's economic reality conforms to the traditional theory. Furthermore, it is found that the Taylor rule is not only cointegrated, but also has a threshold effect. When there is a large deviation in the short term, the impact direction varies with the Taylor rule. The threshold effect in the cointegration equation will quickly reflect the shock to other variables when the positive shock occurs, which will accelerate the return to the stationary state, while when the negative shock occurs, the threshold effect will accelerate the return to the stationary state. The negative impact will continue to make negative adjustments in the next period through the threshold effect, slowing down the return to steady state. Taking into account the central bank's existing policy, the conclusion can be combined with the future inflation will be expected to decline. Finally, the corresponding policies which can be considered by the Chinese government and the central bank in the long run and in the short term are given. In the long run, the target inflation rate should be stabilized, which will make the real inflation rate stable. In the short term, due to the existence of threshold effect, the central bank should moderate the adjustment to avoid excessive adjustment in the inflation period. In the period of contraction, the adjustment should be moderately increased, because the adjustment effect is not as obvious as the former.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F822.5

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