基于新凯恩斯框架的我国最优货币政策分析

发布时间：2018-06-20 00:31

本文选题：新凯恩斯模型 + 产出缺口　；参考：《南京财经大学》2014年硕士论文

【摘要】：自20世纪90年代以来,宏观经济学特别是货币经济学在理论研究方法和政策实践分析上都取得了重大突破。理论方面,真实经济周期(RBC)理论在吸收了基于价格刚性和不完全竞争假设的传统凯恩斯主义部分特点后,发展出了全新的货币经济周期模型。此后,基于动态随机一般均衡(DSGE)框架将有关通货膨胀、产出缺口和名义利率等主要宏观变量都纳入其中的模拟研究成为了货币政策分析的重要研究范式。其中,新凯恩斯主义(NK)模型由于吸收了理性预期、垄断竞争和名义价格粘性等假设,逐渐成为货币政策分析的基准框架。实践方面,越来越多的国家开始采用通货膨胀目标制,货币政策操作范式逐步由相机抉择转向事前承诺,建立央行的声誉机制等非传统操作开始成为政策重心。本文在梳理分析国内外主要文献的基础上,利用新凯恩斯模型实证分析了我国最优货币政策的选择问题。一方面,基于标准的新凯恩斯模型模拟了不同货币政策操作范式下中央银行政策偏好与利率平滑的政策配合效应,从中甄别出最优的货币政策方案。另一方面,由于传统货币政策框架所定义的最优货币政策是围绕中央银行二次型损失函数展开的,而近年来越来越多的研究表明,货币政策是否最优的重要标准是能否使经济趋于理性预期均衡水平。从这一视角出发,本文进一步探讨了中央银行与公众间不同策略互动如何导致实际经济偏离理性预期均衡水平。首先,在新凯恩斯模型框架内,对理性预期假设进行适当放松,通过引入适应性学习刻画宏观预期形成过程。其次,通过动态数值模拟,计算不同策略互动下实际经济对均衡水平的偏离程度以及相应的均值和波动水平。最后,分析并甄选最优货币政策。研究表明,相机抉择型规则可有效熨平产出缺口波动,而事前承诺型规则在抑制通货膨胀波动方面更为有效。当经济面临对称冲击时,采用具有平滑特征的前瞻型利率规则可有效抑制经济波动,但平滑程度不宜过大。此外,非对称冲击对货币政策效应也具有重要影响并再次验证了上述基本结论。在公众预期并不完全理性的情况下,采取灵活通货膨胀目标制或混合名义收入目标制可有效减小产出缺口和通货膨胀对均衡水平的偏离。本文建议中央银行应从多方面出发制定符合自身实际需要的货币政策方案,同时通过实时监测经济波动情况,从而对货币政策做出相应调整。在公众预期并不十分理性的情况下,实施灵活通货膨胀目标制和混合名义收入目标制均可成为我国最优货币政策的有效实现形式,如此可促进经济平稳、协调发展。
[Abstract]:Since 1990's, macroeconomics, especially monetary economics, has made great breakthrough in theoretical research methods and policy practice analysis. Theoretically, the real business cycle (RBC) theory, after absorbing the traditional Keynesian characteristics based on price rigidity and incomplete competition hypothesis, develops a new monetary economic cycle model. Since then, based on the dynamic stochastic general equilibrium (DSGE) framework, the simulation study on inflation, output gap and nominal interest rate has become an important research paradigm of monetary policy analysis. Among them, the new Keynesian model has gradually become the benchmark framework of monetary policy analysis because it absorbs the assumptions of rational expectation, monopoly competition and nominal price stickiness. In practice, more and more countries began to adopt inflation targeting system, monetary policy operation paradigm gradually changed from discretion to prior commitment, and non-traditional operations such as establishing reputation mechanism of central bank began to become the focus of policy. On the basis of combing and analyzing the main literatures at home and abroad, this paper empirically analyzes the choice of optimal monetary policy in China by using the new Keynesian model. On the one hand, the new Keynesian model based on standard simulates the policy coordination effect between central bank policy preference and interest rate smoothing under different monetary policy operating paradigms, from which the optimal monetary policy scheme can be identified. On the other hand, because the optimal monetary policy defined in the traditional monetary policy framework revolves around the quadratic loss function of the central bank, more and more studies in recent years show that, The most important criterion for the optimal monetary policy is whether the economy tends to the level of rational expectation equilibrium. From this perspective, this paper further discusses how the interaction of different strategies between the central bank and the public leads to the deviation of the real economy from the level of rational expected equilibrium. Firstly, within the framework of the new Keynesian model, the hypothesis of rational expectation is relaxed appropriately, and the formation process of macroscopic expectation is characterized by the introduction of adaptive learning. Secondly, through the dynamic numerical simulation, the deviation degree of the actual economy from the equilibrium level, the corresponding mean value and the fluctuation level are calculated under the interaction of different strategies. Finally, the analysis and selection of the optimal monetary policy. The research shows that the discretionary rule can effectively iron out the fluctuation of output gap, while the prior commitment rule is more effective in restraining the fluctuation of inflation. When the economy is facing a symmetric shock, the prospective interest rate rule with smooth characteristics can effectively restrain economic fluctuations, but the degree of smoothness should not be too large. In addition, asymmetric shocks also have an important impact on monetary policy effects and verify the above basic conclusions again. Under the condition that public expectation is not completely rational, flexible inflation target system or mixed nominal income target system can effectively reduce the output gap and the deviation of inflation from equilibrium level. This paper suggests that the central bank should formulate the monetary policy plan according to its actual needs from many aspects, and at the same time, make corresponding adjustment to the monetary policy by monitoring the economic fluctuation in real time. Under the condition that the public expectation is not very rational, the flexible inflation target system and the mixed nominal income target system can become the effective realization form of our country's optimal monetary policy, which can promote the steady and coordinated development of the economy.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F822.0

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