中央银行信息交流对通货膨胀不确定性的影响研究

发布时间：2018-01-04 06:09

本文关键词：中央银行信息交流对通货膨胀不确定性的影响研究　出处：《湖南大学》2015年硕士论文　论文类型：学位论文

【摘要】：随着货币政策理论与实践的发展,各国中央银行逐渐认识到央行信息交流作为传统货币政策的补充,对于稳定通胀发挥出积极的作用。随着中国经济进入“新常态”,宏观经济政策的密集出台为经济平稳较快增长保驾护航,但同时也可能引发由政策不确定性带来的经济不确定性。面对政策不确定性与经济不确定性的双重压力下,货币政策如何稳定通货膨胀预期,防通胀促增长,对我国央行是一项严峻的挑战。因此,在“新常态”的背景下,研究央行信息交流对于通胀不确定性的影响具有很强的现实意义与学术价值,这有助于进一步完善我国的中央银行信息交流机制,制定更有效、更具前瞻性的信息交流策略,从而稳定通胀。本文在对中央银行信息交流与通货膨胀不确定性的内涵作理论界定之后,基于Friedman-Ball假说对中央银行信息交流对通货膨胀不确定性影响的理论机制进行了阐释。本文提出了中央银行信息交流影响通货膨胀不确定性的传导路径。在实证部分,通过提取中国人民银行《货币政策执行报告》中关于货币政策立场与货币政策交流的措辞,构建了中国2001年—2014年的中央银行信息交流指数,利用GARCH(1,1)模型估计了通货膨胀不确定性,对中央银行信息交流影响我国通货膨胀不确定性进行了实证分析。在此基础上,选取中央银行信息交流指数、通货膨胀不确定性、政策不确定性、通货膨胀水平与通货膨胀预期建立实证模型。对数据进行平稳性检验并建立VAR模型,同时利用脉冲响应函数、格兰杰因果检验与方法分解方法进一步挖掘各个变量之间的动态相关性。实证结果表明:在政策不确定性增加,从而触发通胀不确定性的市场条件下,央行信息交流可以稳定公众和市场预期,降低通胀水平,从而让通胀不确定性维持在较低的水平。最后本文对我国中央银行信息交流现状进行了简要的分析,并提出一些政策建议。鉴于我国央行货币交流机制还不完善,我国央行需要发挥货币政策交流的预期引导机制,提高货币政策交流的公开透明机制,培育货币政策交流的良性互动机制,建立一个更为透明、效率更高的政策调控机制。
[Abstract]:With the development of the theory and practice of monetary policy, the central bank central bank gradually realize the exchange of information as a supplement to traditional monetary policy to stabilize inflation, play a positive role. With the China economy into the new normal, macroeconomic policy intensive introduction to stable and rapid economic growth escort, but also may be caused by policy uncertainty of economic uncertainty. Facing the double pressure policy uncertainty and economic uncertainty, monetary policy to stabilize inflation expectations, anti inflation growth, is a severe challenge to China's central bank. Therefore, in the "new normal" under the background of the research, the central bank has practical significance and academic information exchange the value of a strong impact on inflation uncertainty, which helps to further improve the central bank information exchange mechanism in our country, to develop more effective and more Forward-looking information communication strategy, so as to stabilize inflation. After the theoretical definition to the central bank information exchange and inflation uncertainty, the theoretical hypothesis on the mechanism of Friedman-Ball effect of central bank communication on inflation uncertainty in the interpretation. This paper proposes based on central bank communication effect conduction path of inflation uncertainty in the empirical part, through the words about the monetary policy stance of monetary policy and exchange from monetary policy of the people's Bank "Chinese implementation report", 2001 - 2014 Chinese established central bank communication index by GARCH (1,1) model to estimate the uncertainty of inflation, the Central Bank of China's inflation is not the exchange of information the uncertainty is analyzed. On this basis, select the central bank communication index through inflation Inflation uncertainty, policy uncertainty, the level of inflation and inflation expectations to establish an empirical model. Data stationarity test and VAR model, the impulse response function, Grainger causality test and method of decomposition method to further tap the dynamic correlation between the variables. The empirical results show that: the increase in policy uncertainty, thus triggering inflation the uncertainty of the market conditions, the central bank and public information exchange can stabilize market expectations, reduce the level of inflation, so that inflation uncertainty remained at a low level. The information exchange based on the status quo of China's central bank made a brief analysis, and puts forward some policy suggestions. In view of China's central bank currency exchange mechanism our country is not perfect, the central bank needs to play monetary policy communication is expected to guide mechanism, open and transparent mechanism to improve monetary policy exchange, To foster a benign interaction mechanism for exchange of monetary policy and to establish a more transparent and efficient policy regulation mechanism.

【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F822.5

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