不同泰勒规则在中国实证检验的比较研究

发布时间：2019-01-06 17:14

【摘要】：20世纪90年代以来，随着金融市场和金融创新的发展，西方部分发达国家将货币政策的调控方式逐步由数量型转向以利率为中心的价格型调控；同时，为了解决货币政策的动态不一致问题，学者和货币当局逐步摒弃了“相机抉择”的思想，主张实施规则型货币政策，在此背景下，泰勒规则成为一些国家中央银行货币政策操作的主要原则。我国人民银行在制定和实施货币政策时，存在独立性较低、调控相对滞后等问题，带有明显的“相机抉择”色彩。随着经济和金融体制的发展与完善，“相机抉择”的政策效果也越发不明显。因此，实现货币政策向规则型转变，是今后货币政策操作的必然选择。此外，伴随经济全球化以及资本市场迅猛发展，汇率及资产价格波动给各国的宏观经济和社会发展带了深刻的影响，受到越来越多国家货币当局的重视。因此，综合考虑汇率和资产价格因素，构建和选择我国货币政策规则形式具有重要的理论和现实意义。本文通过对货币政策规则理论的回顾分析，结合我国货币政策操作的实际情况，假设我国货币政策应按泰勒型规则行事；同时，为了考察汇率和资产价格对货币政策的影响，将两者引入到泰勒规则模型中。本文设计了包含利率平滑、汇率、资产价格的泰勒型规则，以我国1996年1季度至2011年4季度的宏观经济数据为样本，采用H-P滤波、X12季节调整等方法对数据进行处理，再采用单位根检验、协整检验和广义矩估计法，探究通货膨胀率、产出缺口、汇率缺口和股票市场价格波动对利率的影响，通过对回归结果进行动态模拟和比较分析，进而确定符合我国货币政策运行的泰勒规则形式，并以此为基础为我国货币政策提供一些政策建议。实证研究表明，利率调控不仅对产出缺口和通货膨胀做出反应，，还要对汇率和股票价格做出反应；我国货币政策操作具有一定的规则性，且包含汇率的利率平滑型泰勒规则能够很好地描述我国利率的运行趋势，为我国的货币政策实施提供一个参考尺度；我国的利率调控对通货膨胀、产出缺口和汇率缺口的反应系数较大，对股票价格的波动反应系数较小，说明人民银行没有过多的关注股票价格的波动；我国的货币政策是不稳定货币政策，利率对于通胀的调节是自适应性，且具有很强的平滑特征。总体来看，随着经济的逐步开放和金融体制改革的逐步深化，人民银行还需要进一步深化利率和汇率的市场化改革，提高货币政策独立性、责任性和透明度，从而提高货币政策的调控能力，保持经济的长期平稳增长。
[Abstract]:Since the 1990s, with the development of financial market and financial innovation, some developed countries have gradually changed their monetary policy from quantitative to price-oriented with interest rate as the center. At the same time, in order to solve the dynamic inconsistency of monetary policy, scholars and monetary authorities have gradually abandoned the idea of "discretionary choice" and advocated the implementation of rule-based monetary policy. Taylor rule has become the main principle of monetary policy operation of central banks in some countries. When the people's Bank of China formulates and implements monetary policy, it has some problems, such as low independence, relatively lagging control and so on. With the development and improvement of economic and financial system, the policy effect of "discretion" is becoming more and more indistinct. Therefore, it is the inevitable choice of monetary policy operation in the future to realize the change from monetary policy to regular type. In addition, with the rapid development of economic globalization and capital market, the fluctuation of exchange rate and asset price has a profound impact on the macroeconomic and social development of various countries, and has been paid more and more attention by the monetary authorities of more and more countries. Therefore, it is of great theoretical and practical significance to consider the factors of exchange rate and asset price and to construct and select the form of monetary policy rules. Based on the review and analysis of the theory of monetary policy rules and the actual situation of monetary policy operation in China, this paper assumes that China's monetary policy should act according to Taylor's rule. At the same time, in order to investigate the influence of exchange rate and asset price on monetary policy, we introduce them into Taylor rule model. In this paper, Taylor rules including interest rate smoothing, exchange rate and asset price are designed. Taking the macroeconomic data from the first quarter of 1996 to the fourth quarter of 2011 as a sample, H-P filter and X12 seasonal adjustment are used to process the data. Then we use the unit root test, cointegration test and generalized moment estimation method to explore the effect of inflation rate, output gap, exchange rate gap and stock market price fluctuation on interest rate. Through the dynamic simulation and comparative analysis of the regression results, we use the method of unit root test, cointegration test and generalized moment estimation. Furthermore, the Taylor rule which accords with the operation of monetary policy in China is determined, and some policy suggestions are provided for China's monetary policy on this basis. Empirical research shows that interest rate regulation not only responds to output gap and inflation, but also to exchange rate and stock price. The operation of monetary policy in our country has certain regularity, and the smooth Taylor rule of interest rate including exchange rate can well describe the trend of interest rate in our country and provide a reference scale for the implementation of monetary policy in our country. The response coefficient of interest rate regulation to inflation, output gap and exchange rate gap is larger than that to stock price fluctuation, which indicates that the people's Bank of China has not paid too much attention to the fluctuation of stock price. The monetary policy of our country is unstable monetary policy, the interest rate adjusts to the inflation is adaptive, and has the very strong smooth characteristic. In general, with the gradual opening up of the economy and the gradual deepening of the reform of the financial system, the people's Bank of China still needs to further deepen the market-oriented reform of interest rates and exchange rates, so as to enhance the independence, accountability and transparency of monetary policy. In order to improve the ability of monetary policy regulation and control, maintain long-term steady growth of the economy.
【学位授予单位】：湘潭大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.0;F822.0

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