扩展的泰勒规则及其在中国的适用性研究

发布时间：2019-03-02 10:02

【摘要】：本文在分析当前国内外货币政策规则的设计、选择和操作的基础上，重点研究了泰勒规则在我国的适用性问题。通过对泰勒规则的扩展，利用数理经济学和计量经济学方法进行理论推导和实证分析，获得了一些重要的理论判断和经验证据。本文从泰勒规则总体特征、汇率管制下的泰勒规则、非线性的泰勒规则、在粘性信息框架内的泰勒规则、泰勒规则对宏观经济的稳定性以及具有太阳黑子冲击的泰勒规则等六个方面的分析，主要工作和结论如下：一、鉴于泰勒规则作为货币政策规则所因具备的条件，我们研究了泰勒规则的八个总体特征，，以及这些特征在中国的实证检验。研究结果表明，泰勒规则并不具有稳定经济的能力，但是利率传导机制的作用正在增强，可以作为我国货币政策规则的参考。于此同时，加入货币供应量因素的泰勒规则可以更好地反映我国的货币政策规则有效性。二、在开放条件下动态宏观经济模型中引入具有管制的汇率因素，通过央行的损失函数获得最优的货币政策规则函数——泰勒规则，并对汇率管制对货币政策规则进行了计量分析，试图检验汇率对货币政策规则的效应。我们对最优泰勒规则进行拟合估计，结果表明，在汇率管制下，汇率传导机制对泰勒规则作用并不显著，利率主要还是受通货膨胀的影响。因此，我们在新开放经济宏观经济学框架下分析利率冲击对经济的影响，通过DSGE模拟分析得到，具有管理的浮动汇率制度能有效地隔离国内外冲击，从而印证了泰勒规则中利率对汇率反应不足的现实。三、研究对货币政策规则的非线性传导机制重视不足，央行可能会对目标变量的偏离具有不同的反应。我们通过在一般均衡框架中适当修改央行的损失函数或是在约束条件中引入非线性菲利普斯限制，考察非线性最优泰勒规则。同时利用对数平滑转换自回归(LSTAR)模型对非线性泰勒规则进行实证检验，计量结果表明我国泰勒规则存在明显的非线性特征。而且在非线性泰勒规则中，无论名义利率、货币供应量变动还是汇率变动作为非线性转换变量，利率对通货膨胀反应均不足，可能引发经济不稳定困境。中国泰勒规则有效性不足，说明我国的利率传导机制可能还存在诸多障碍。四、新宏观经济理论的发展使我们重新开始审视货币政策规则在粘性信息条件下的作用效果。我们在包括产品、劳动和债券三个均衡市场的粘性信息一般均衡(SIGE)框架下研究中国经济。通过引入厂商、劳动者和消费者三种信息更新概率，并假设货币当局以利率规则作为操作工具，经过校准处理，并在SIGE(粘性信息一般均衡框架)模型下分析了各种冲击下的脉冲相应函数。研究得出，(1)生产率变化最为敏感；(2)货币政策松紧随着不同的冲击呈现不同状态；(3)劳动供给和产出(缺口)增加所引起的经济影响是相似的，但是幅度大小不同；(4)产品价格和工资在各种因素冲击下影响不大；(5)各变量的波动主要来自总生产率冲击。五、研究泰勒规则对宏观经济系统稳定性均衡问题时，利率与非政策经济变量的长期关系并不是研究的焦点，它们的短期关系才是重要的。因此，我们在新凯恩斯动态随机一般均衡模型框架内，分别研究了泰勒规则和具有平滑效应泰勒规则对宏观经济系统的稳定性问题，通过简单的脉冲反应图，发现具有平滑的泰勒规则在降低货币政策冲击对经济的影响程度外，还具有使经济变量回归稳态放缓的可能。并在DSGE中讨论了货币内生性问题，只要央行按照利率政策调控经济，并且经济是满足跨期最优的，那么货币供应量就具有内生性。同时适当增加其他经济扰动项，可以提高模型对现实的解释能力。六、为了研究中国泰勒规则对宏观经济系统的不确定性均衡，我们在新凯恩斯动态随机均衡模型基础上引入太阳黑子冲击，运用贝叶斯统计推断方法估计DSGE模型，考察经济系统的稳定性均衡和不确定性均衡。通过引入货币政策冲击、供给冲击、需求冲击以及太阳黑子冲击，利用1996—2012年的数据，检验了我国泰勒规则的不确定性均衡。研究结果表明，我国泰勒规则具有不确定性，太阳黑子冲击能导致“自我实现”均衡，虽然太阳黑子冲击能对内生变量产生明显的影响，但是对基本冲击的传导作用有限，因此，经济系统的不确定性主要还是受基本冲击的影响。
[Abstract]:Based on the analysis of the design, selection and operation of the current rules of monetary policy at home and abroad, this paper focuses on the applicability of the Taylor rule in China. Through the extension of Taylor's rule, the theoretical and empirical analysis is carried out by using the method of economics and econometrics, and some important theoretical judgment and empirical evidence are obtained. In this paper, from the general characteristics of the Taylor rule, the Taylor rule under the control of the exchange rate, the Taylor rule of the non-linearity, the Taylor rule in the framework of the sticky information, the stability of the Taylor rule on the macro-economy and the Taylor rule with sunspot impact, The main work and conclusions are as follows: I have studied the eight general features of the Taylor rule and the positive test of these features in China, given the conditions of the Taylor rule as a rule of monetary policy. The results of the study show that the Taylor rule does not have the ability to stabilize the economy, but the role of the interest rate conduction mechanism is increasing, which can be used as a reference for the monetary policy rules of our country. At the same time, the Taylor rule, which is the factor of the supply of money, can better reflect the effective rules of monetary policy in our country. Secondly, in the dynamic macro-economic model under the open condition, the control exchange rate factor is introduced, the optimal monetary policy rule function _ Taylor rule is obtained through the loss function of the central bank, and the rules of the monetary policy are calculated by the exchange rate control quantitative analysis, try to check the exchange rate to the monetary policy rule The result shows that under the control of exchange rate, the effect of the exchange rate conduction mechanism on the Taylor rule is not significant, and the interest rate is mainly due to inflation Therefore, we analyze the impact of interest rate on the economy under the framework of the new open economic macroeconomics, and through the DGE simulation analysis, the floating exchange rate system with the management can effectively isolate the impact at home and abroad, thus confirming that the interest rate in the Taylor rule is not enough for the exchange rate. .............................................................................. Different reactions. We investigate the non-linearity by appropriately modifying the central bank's loss function in the general equilibrium framework or by introducing the non-linear Phillips limit in the constraint conditions The Taylor rule is tested by using the Logarithmic smooth transition autoregressive (LSTAR) model. The results show that the Taylor rule in our country is obvious. Nonlinear features. Also, in the non-linear Taylor rule, the rate of interest rate is not enough for inflation, regardless of the nominal interest rate, the change in the money supply, or the exchange rate change as a non-linear conversion variable, which may trigger the economy. Unsteady predicament. The validity of Taylor's rule in China is not enough, which means that the interest rate transmission mechanism of our country may still exist. In many obstacles, the development of the new macro-economy theory has enabled us to re-examine the monetary policy rules in the sticky information strip The effect of the effect under the part. We have a general equilibrium (SIE) framework for the viscosity information of the three balanced markets, including products, labor and bonds. The paper studies the Chinese economy. By introducing the three kinds of information update probability of the Chinese manufacturers, the workers and the consumers, it is assumed that the monetary authorities act as the operating tool with the interest rate rule, and then, under the model of the SIE (general equilibrium framework of the viscosity information), the various kinds of impact are analyzed. The results are as follows: (1) the most sensitive to the change of productivity; (2) the elasticity of the monetary policy is different from the different impact; (3) the economic impact caused by the increase of labor supply and output (gap) is similar, but (4) The price of the product and the wage have little effect on the impact of various factors; (5) the fluctuation of each variable is mainly The long-term relationship between the interest rate and the non-policy economic variable is not the focus of the study when the stability of the macro-economic system is balanced by the Taylor rule. The short-term relationship is important. Therefore, in the framework of the new Keynes dynamic stochastic general equilibrium model, we respectively study the Taylor rule and the stability problem of the Taylor rule with the smoothing effect to the macro-economy system. After a simple pulse response graph, it is found that a smooth Taylor rule has the effect of reducing the impact of the monetary policy on the economy, and also has the advantage of making the economic variable It is possible to return to steady-state slow-down. In the DSGE, the problem of internal currency is discussed, so long as the central bank regulates the economy in line with the interest rate policy, and the economy is the best in the span, the currency The supply is endogenous, and other economic disturbance items are appropriately added, so that the mode can be improved. In order to study the equilibrium of the uncertainty of China's Taylor rules on the macro-economy system, we introduce the sunspot impact on the basis of the new Keynes dynamic stochastic equilibrium model, and use the Bayesian statistical method Estimation of the DSGE Model and the Stability of the Economic System By introducing the impact of monetary policy, the supply of shocks, the impact of demand and the impact of sunspots, the data of 1996-2012 were used to test our country. The uncertainty of the Taylor rule is the result of the study. The results show that the Taylor rule of our country has the uncertainty. The impact of the sunspot can lead to the balance of the "self-actualization", although the sunspot impact can have a clear effect on the endogenous variable, but the basic punch The conduction effect of the attack is limited, therefore, the uncertainty of the economic system
【学位授予单位】：吉林大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F224;F822.0

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