金融形势指数与我国泰勒规则研究

发布时间：2019-02-15 20:38

【摘要】：自泰勒提出泰勒规则以来,这个简单的线性规则已经成为研究中央银行货币政策的重要工具。通过泰勒规则的估计公众能够得知央行在宏观调控时赋予通货膨胀和产出缺口的权重,这提高了货币政策的透明度,有利于央行引导公众预期,从而可以达到更好的政策调控效果。然而,随着金融自由化程度不断加深,金融市场波动给宏观经济运行带来极大风险,美国次贷危机让众多央行意识到在进行宏观调控时必须重视引导和干预金融市场,以降低经济出现大波动的可能。在这种背景下,学者们纷纷就能否将金融形势指数(FCI)纳入货币政策制定框架进行研究,对于泰勒规则的研究来说,把FCI加入利率反应函数成为一个新的研究方向。除此以外,由于经济本身的变化具有非线性特征,且央行在不同经济形势下的政策行为往往是非对称的,在这种情况下利用非线性泰勒规则刻画央行的政策行为是经验合意的。本文对传统泰勒规则和改进的泰勒规则进行了综合研究。考虑到我国金融市场的重要性日益提升,本文首先构建了一个包含利率、汇率、房价、股价和货币供应量的金融形势指数,并对FCI的信息预测性进行检验,发现我国FCI可以较好的预测未来通胀,但对产出增长的预测性较差。之后我们从两个角度考察了FCI在我国货币政策中的应用情况：(1)在对线性泰勒规则进行矩估计时,将FCI加入工具变量集合可以显著提高泰勒规则的拟合效果；(2)将FCI直接加入利率反应函数的实证表明短期利率对FCI的反应系数为正,利率调整有助于稳定金融市场,将FCI加入泰勒规则具有可行性。最后,本文构建了基于LSTR2模型的我国非线性泰勒规则。通过实证研究,我们发现了央行有一个通货膨胀反应区间：在区间内,央行主要以线性操作为主；当通胀超过目标区间,央行政策行为的非线性特征明显。总体来看,非线性泰勒规则不仅可以刻画出大部分时间里央行政策的线性调整,而且能够捕捉到央行的时变行为,且拟合优度更高超过0.9,因此更加符合现实情况。本文的主要政策建议是央行应当构建一个监测金融市场松紧程度的金融形势指数,同时继续推进利率市场化,为将来货币政策调控向价格型工具规则转型奠定基础。
[Abstract]:Since Taylor put forward the Taylor rule, this simple linear rule has become an important tool to study the monetary policy of the central bank. By estimating the Taylor rule, the public can know the weight that the central bank gives to inflation and output gaps in macroeconomic regulation, which enhances the transparency of monetary policy and helps the central bank to guide public expectations. In order to achieve better policy control effect. However, with the deepening of financial liberalization, the fluctuation of financial market brings great risks to the macro-economic operation. The subprime mortgage crisis in the United States has made many central banks realize that attention must be paid to guiding and intervening in the financial market when carrying out macro-control. To reduce the possibility of major fluctuations in the economy. Under this background, scholars have studied whether the financial situation index (FCI) can be incorporated into the framework of monetary policy formulation. For the study of Taylor's rule, adding FCI to the interest rate response function has become a new research direction. In addition, because the change of economy itself is nonlinear, and the policy behavior of central bank in different economic situations is often asymmetric, it is empirically desirable to use nonlinear Taylor rule to describe the policy behavior of central bank. In this paper, the traditional Taylor rule and the improved Taylor rule are comprehensively studied. Considering the increasing importance of China's financial market, this paper first constructs a financial situation index including interest rate, exchange rate, house price, stock price and money supply, and tests the information predictability of FCI. It is found that FCI can predict inflation in the future, but not in output growth. Then we investigate the application of FCI in China's monetary policy from two angles: (1) when estimating the moment of linear Taylor rule, adding FCI to the set of tool variables can significantly improve the fitting effect of Taylor rule; (2) the positive reaction coefficient of short-term interest rate to FCI is positive by adding FCI directly into the interest rate response function, and the adjustment of interest rate is helpful to stabilize the financial market, and it is feasible to add FCI to the Taylor rule. Finally, the nonlinear Taylor rule based on LSTR2 model is constructed in this paper. Through empirical research, we find that the central bank has an inflation response interval: in the range, the central bank mainly operates linearly, and when inflation exceeds the target range, the nonlinear characteristics of the central bank's policy behavior are obvious. In general, the nonlinear Taylor rule can not only depict the linear adjustment of central bank policy most of the time, but also capture the time-varying behavior of the central bank, and the goodness of fit is higher than 0.9, so it is more in line with the reality. The main policy suggestion of this paper is that the central bank should construct a financial situation index to monitor the degree of financial market tightness, and at the same time continue to promote the marketization of interest rate, which will lay the foundation for the future transition of monetary policy regulation to price-based instrument rules.
【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】：F832

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