基于STR模型的泰勒规则非线性建模与应用
发布时间：2018-07-31 15:57
【摘要】：货币政策,是中央银行为实现既定的经济目标运用各种工具调节货币供给和利率,进而影响宏观经济的方针和措施的总和。通常来看,各市场经济国家的货币政策存在过两种类型：相机抉择型和规则型。一项货币政策规则就是描述中央银行是如何根据GDP或通货膨胀等经济变量相应设定货币工具或设定利率函数,以实现保持低而稳定的通货膨胀以及较小的GDP波动的货币政策最终目标。根据在货币政策实施中的不同作用层次,货币政策规则可分为目标规则和工具规则。目标规则是指货币政策中间目标的确定；工具规则是指中央银行货币政策工具的操作规范。 泰勒规则是一个简单的货币政策工具规则,它对货币政策要实现的两个目标进行了概括,即保证经济实现最大化和可持续增长,同时维持低而稳定的通货膨胀。这就是线性的泰勒规则或线性的利率规则。 然而线性的泰勒规则在解决货币政策操作工具使用中往往宏观调控效应滞后,弹性小。因此,各国专家学者旨在研究探索能切合本国实际情况的泰勒规则指导本国的宏观调控效应和利率机制惯性问题。Levin, WielandWilliam (1998)分析美国货币政策时发现滞后利率的反应系数很大,说明美联储利率机制具有显著的惯性。米什金(Mishkin,1999)对泰勒规则进行了扩展,在泰勒规则中加入利率平滑因子。Clarida, Gali and Gertler(1998,2000)建立了前瞻性的货币政策反应函数,估算结果表明沃克尔-格林斯潘时期的利率政策比之前的利率政策对预期通胀的反应更敏感。 以上研究大多是对线性泰勒规则进行修正和拓展,而研究和探讨泰勒规则非线性问题却少之甚少。由于中国货币政策操作和实施时间较短,也就十几年时间,因此,在金融宏观调控操作过程中调控效应差、利率弹性低等问题始终没有得到有效解决,因此,专家学者在这方面研究和探讨一直是热点话题。又由于中国已进入市场经济多年,金融宏观调控手段得到广泛应用,各宏观经济变量互相之间交织在一起,形成复杂系统,泰勒规则中类似反应函数和利率机制惯性等问题用线性手段根本无法解决,应考虑非线性手段和方法来解决,这是一个处理复杂系统的有效工具,以达到中国泰勒规则应用灵活性的目的。由于研究方法定量的局限性,因此,泰勒规则非线性问题研究论文很是少见。 本文分析了非线性泰勒规则的引源、适用条件及成因,明晰了非线性泰勒规则的理论脉络,同时对非线性时间序列计量模型进行了选择和比较,给出了平滑机制转换(STR)模型,在此基础上进行了优化和改进,建立了泰勒规则非线性STR的模型,采用了中国从1996年至2011年近64个季度GDP、同业拆借利率、CPI及上证综合指数(参考变量)等宏观经济变量对论文所建模型进行了实证检验,研究同时也证明了该模型的合理性。论文对本文所构造模型与线性泰勒规则模型进行对比,通过线性和非线性模型得到的利率值和实际利率值的比较证明了非线性模型的有效性、正确性,并给出相关政策建议。 论文分七章展开：第1章绪论；第2章泰勒规则及STR模型等相关备用知识；第3章非线性泰勒规则的引源、适用条件及其非线性的原因分析；第4章非线性时间序列计量模型的选择；第5章泰勒规则非线性STR模型的建立；第6章泰勒规则非线性STR模型的应用；第7章结束语。
[Abstract]:Monetary policy is the sum of the policies and measures that the central bank uses various tools to regulate the money supply and interest rate and then affect the macro-economy. Generally speaking, there are two types of monetary policy in each market economy country: discretionary and regular. A monetary policy rule is the description of the central government. How do banks set monetary instruments or set interest rates according to the economic variables such as GDP or inflation to achieve the ultimate goal of monetary policy, which maintains low and stable inflation and small GDP fluctuations. According to the different levels of action in the implementation of monetary policy, the rules of currency policy can be divided into target rules and tool rules. Target rules refer to the determination of intermediate objectives of monetary policy, and instrumental rules refer to the operational norms of monetary policy instruments of the central bank.
The Taylor rule is a simple rule of monetary policy tool. It generalizes the two objectives of monetary policy realization, that is to ensure that the economic realization is maximized and sustainable, while maintaining low and stable inflation. This is the linear Taylor rule or linear profit rate rule.
However, the linear Taylor rule is often lagging behind in the use of monetary policy operating tools, and the flexibility is small. Therefore, experts and scholars of various countries aim to explore the macroeconomic regulation effect and interest rate mechanism inertia of the Taylor rules that can be combined with the actual situation of the country.Levin, WielandWilliam (1998) analysis of American goods. The reaction coefficient of the lagging interest rate found in the currency policy is very large, indicating that the Fed interest rate mechanism has significant inertia. Taylor (Mishkin, 1999) has expanded the Taylor rule, added the interest rate smoothing factor.Clarida to the Taylor rule, and Gali and Gertler (19982000) to establish a forward-looking monetary policy response function. The estimation results show that The interest rate policy in the Volcker Greenspan era is more sensitive than the previous interest rate policy to the expected inflation.
Most of the above studies are the correction and expansion of the linear Taylor rule, while the study and discussion of the nonlinear problem of Taylor rule are very few. Because of the short operation and implementation time of China's monetary policy, it is also more than ten years. Therefore, the problem of adjustment and control in the operation of financial macro-control and the low rate of interest rate have never been obtained. To solve the problem effectively, the experts and scholars have been a hot topic in this field. And because China has entered the market economy for many years, the financial macro-control means have been widely used. The macroeconomic variables are interwoven together to form a complex system, and the Taylor rules are similar to the reaction function and the interest rate mechanism. Linear means can not be solved at all. Nonlinear means and methods should be considered. This is an effective tool to deal with complex systems to achieve the purpose of the flexibility of the application of Taylor rules in China. Because of the limitations of the quantitative research method, the research papers on the nonlinear problem of Taylor rule are very rare.
In this paper, the origin, conditions and causes of nonlinear Taylor rule are analyzed. The theoretical context of nonlinear Taylor rule is clarified. At the same time, the nonlinear time series model is selected and compared, and the smooth mechanism transformation (STR) model is given. On this basis, the model is optimized and improved, and the model of the Taylor rule nonlinear STR is established. By using the macroeconomic variables such as GDP, interbank interest rate, CPI and the Shanghai Composite Index (reference variable) from 1996 to 2011, the model is proved to be reasonable. The paper compares the model with the linear Taylor rule model in this paper. The comparison between the interest rate value and the real interest rate value obtained by the nonlinear and nonlinear models proves the validity and correctness of the nonlinear model, and gives relevant policy recommendations.
The thesis is divided into seven chapters: the first chapter introduction; the second chapter Taylor rules and the STR model and other related spare knowledge; the third chapter the source of the nonlinear Taylor rule, the application conditions and the nonlinear reason analysis; the fourth chapter nonlinear time series model selection; the fifth chapter Taylor rule non linear STR model establishment; the sixth chapter Taylor rule. The application of the nonlinear STR model; the end of the seventh chapter.
【学位授予单位】：东北大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F820;F224
本文编号：2156075
[Abstract]:Monetary policy is the sum of the policies and measures that the central bank uses various tools to regulate the money supply and interest rate and then affect the macro-economy. Generally speaking, there are two types of monetary policy in each market economy country: discretionary and regular. A monetary policy rule is the description of the central government. How do banks set monetary instruments or set interest rates according to the economic variables such as GDP or inflation to achieve the ultimate goal of monetary policy, which maintains low and stable inflation and small GDP fluctuations. According to the different levels of action in the implementation of monetary policy, the rules of currency policy can be divided into target rules and tool rules. Target rules refer to the determination of intermediate objectives of monetary policy, and instrumental rules refer to the operational norms of monetary policy instruments of the central bank.
The Taylor rule is a simple rule of monetary policy tool. It generalizes the two objectives of monetary policy realization, that is to ensure that the economic realization is maximized and sustainable, while maintaining low and stable inflation. This is the linear Taylor rule or linear profit rate rule.
However, the linear Taylor rule is often lagging behind in the use of monetary policy operating tools, and the flexibility is small. Therefore, experts and scholars of various countries aim to explore the macroeconomic regulation effect and interest rate mechanism inertia of the Taylor rules that can be combined with the actual situation of the country.Levin, WielandWilliam (1998) analysis of American goods. The reaction coefficient of the lagging interest rate found in the currency policy is very large, indicating that the Fed interest rate mechanism has significant inertia. Taylor (Mishkin, 1999) has expanded the Taylor rule, added the interest rate smoothing factor.Clarida to the Taylor rule, and Gali and Gertler (19982000) to establish a forward-looking monetary policy response function. The estimation results show that The interest rate policy in the Volcker Greenspan era is more sensitive than the previous interest rate policy to the expected inflation.
Most of the above studies are the correction and expansion of the linear Taylor rule, while the study and discussion of the nonlinear problem of Taylor rule are very few. Because of the short operation and implementation time of China's monetary policy, it is also more than ten years. Therefore, the problem of adjustment and control in the operation of financial macro-control and the low rate of interest rate have never been obtained. To solve the problem effectively, the experts and scholars have been a hot topic in this field. And because China has entered the market economy for many years, the financial macro-control means have been widely used. The macroeconomic variables are interwoven together to form a complex system, and the Taylor rules are similar to the reaction function and the interest rate mechanism. Linear means can not be solved at all. Nonlinear means and methods should be considered. This is an effective tool to deal with complex systems to achieve the purpose of the flexibility of the application of Taylor rules in China. Because of the limitations of the quantitative research method, the research papers on the nonlinear problem of Taylor rule are very rare.
In this paper, the origin, conditions and causes of nonlinear Taylor rule are analyzed. The theoretical context of nonlinear Taylor rule is clarified. At the same time, the nonlinear time series model is selected and compared, and the smooth mechanism transformation (STR) model is given. On this basis, the model is optimized and improved, and the model of the Taylor rule nonlinear STR is established. By using the macroeconomic variables such as GDP, interbank interest rate, CPI and the Shanghai Composite Index (reference variable) from 1996 to 2011, the model is proved to be reasonable. The paper compares the model with the linear Taylor rule model in this paper. The comparison between the interest rate value and the real interest rate value obtained by the nonlinear and nonlinear models proves the validity and correctness of the nonlinear model, and gives relevant policy recommendations.
The thesis is divided into seven chapters: the first chapter introduction; the second chapter Taylor rules and the STR model and other related spare knowledge; the third chapter the source of the nonlinear Taylor rule, the application conditions and the nonlinear reason analysis; the fourth chapter nonlinear time series model selection; the fifth chapter Taylor rule non linear STR model establishment; the sixth chapter Taylor rule. The application of the nonlinear STR model; the end of the seventh chapter.
【学位授予单位】：东北大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F820;F224
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