“混合型”泰勒规则与中美实际汇率波动研究

发布时间：2018-04-03 13:22

本文选题：“混合型”泰勒规则　切入点：中美实际汇率　出处：《华东师范大学》2012年硕士论文

【摘要】：20世纪90年代以来,利率逐渐成为一些国家中央银行进行货币政策操作的主要货币中介,1993年泰勒提出的“泰勒规则”成为央行进行货币操作的主要理论依据。最初的泰勒规则是在封闭的经济环境下提出的,并不存在汇率因素。随着经济全球化的推进,汇率对一国国内的影响越来越显著。利率政策与汇率政策成为一国金融政策的重要组成部分,利率和汇率分别成为本国货币对内和对外价格的两种不同表现形式,是宏观经济变量中金融信号的核心。本文将着重于研究泰勒规则的各影响因素与中美实际汇率之间的波动关系,以“前瞻性”泰勒规则为基本分析框架,纳入中美实际汇率与货币供给量因素,将“前瞻性”泰勒规则转化为开放经济条件下的“混合型”泰勒规则。最终通过无抛补利率平价理论,将单一的泰勒规则转化为分析中美实际汇率与中美产出缺口、中美预期通货膨胀率缺口以及货币增长率缺口之间的波动关系。在实证分析中,通过构造协整向量自回归模型,分析中美实际汇率与产出缺口、通货膨胀率缺口以及货币增长率缺口之间的协整关系。分析结果显示,在长期关系中实证分析结果基本符合理论模型的结论,即产出缺口、预期通货膨胀缺口与中美实际汇率负相关,表示随着我国汇率与利率市场化进程的推进,中美实际汇率的波动与国内货币政策、产出水平以及价格水平的联系越来越紧密。但是货币增长率缺口与中美实际汇率正相关,与理论分析结果不相符。短期内实证分析结果基本符合理论模型的结论,即产出缺口以及预期通胀与中美实际汇率负相关。但同时受我国具体国情的影响,我国的“混合型”泰勒规则与中美实际汇率的波动也显现出一些比较特殊的地方。文章的最后一部分,作者得出了相关结论并提出了相关政策含义。
[Abstract]:Since 1990s, interest rate has gradually become the main monetary intermediary for the central banks of some countries to carry out monetary policy operations. Taylor's "Taylor Rule" put forward by Taylor in 1993 has become the main theoretical basis for the central banks to carry out monetary operations.The original Taylor rule was put forward in a closed economic environment and there was no exchange rate factor.With the advancement of economic globalization, the exchange rate has a more and more significant impact on a country.Interest rate policy and exchange rate policy become an important part of a country's financial policy. Interest rate and exchange rate become two different forms of the internal and external price of the national currency, and are the core of the financial signal in the macroeconomic variables.This paper will focus on the study of the fluctuation relationship between the Taylor rule and the real exchange rate between China and the United States, taking the "forward-looking" Taylor rule as the basic analytical framework, including the real exchange rate and the money supply factor of China and the United States.The "forward-looking" Taylor rule is transformed into the "hybrid" Taylor rule in open economy.Finally, through the theory of no-subsidy interest rate parity, the single Taylor rule is transformed into the analysis of the fluctuation relationship between the real exchange rate of China and the United States and the output gap between China and the United States, the gap between the expected inflation rate between China and the United States and the gap in the rate of monetary growth.The results show that the empirical analysis results in the long term relationship basically accord with the conclusion of the theoretical model, that is, the output gap, the expected inflation gap and the real exchange rate of China and the United States are negatively correlated, indicating that with the advancement of the marketization process of the exchange rate and interest rate in China,The volatility of the real exchange rate between China and the United States is more and more closely related to domestic monetary policy, output level and price level.However, the gap of currency growth rate is positively related to the real exchange rate between China and the United States, which is inconsistent with the theoretical analysis.The results of the empirical analysis in the short term basically accord with the conclusion of the theoretical model, that is, the output gap and expected inflation are negatively correlated with the real exchange rate of China and the United States.But at the same time, under the influence of China's specific national conditions, the "mixed" Taylor rule and the fluctuation of the real exchange rate between China and the United States also show some special places.In the last part of the article, the author draws some conclusions and puts forward the relevant policy implications.
【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.6;F224

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