大宗商品价格对利率政策的影响效应研究

发布时间：2018-02-13 08:34

本文关键词： 大宗商品价格指数大宗商品资产价格利率政策最优利率规则　出处：《浙江财经大学》2017年硕士论文　论文类型：学位论文

【摘要】：利率政策作为政府宏观调控的重要手段在近几年中被频繁使用,但随着经济社会的发展,越来越多的因素制约着利率政策有效性的发挥。尤其是近几十年国内大宗商品市场的飞速发展,极大改变了微观经济主体的资产选择,并通过消费和生产等环节,影响着通货膨胀和经济增长。因此本文带着大宗商品价格波动会对利率、通货膨胀和产出产生怎样的影响,以及央行利率政策是否能够对大宗商品价格波动做出合理反应的问题展开了研究。希望通过建立大宗商品价格和利率政策之间的合理联系,为央行利率政策的制定提供参考依据。本文首先通过货币政策与资产价格关系的文献综述。在对国内外关于资产价格和货币政策关系的研究成果进行梳理的过程中,引出了大宗商品价格与利率政策间需要解决的问题;其次,本文对大宗商品价格与利率政策进行研究。通过对已有研究的借鉴和创新,将大宗商品价格变量引入传统经济模型,建立大宗商品价格和利率政策间的模型关系,从而推导出适合我国现阶段国情、考虑大宗商品价格波动因素在内的最优利率反应方程,为利率政策调控提供理论依据;然后,本文编制大宗商品价格指数。考虑到国内缺乏权威的大宗商品价格指数作为研究对象,本文依据现有指数的编制经验,通过筛选最具代表性的商品期货合约、设定合理的权重、选取兼具实用性和准确性特点的加权平均法,编制出了符合本文研究目的的大宗商品价格指数,以此作为我国大宗商品价格的代理变量;接着本文对大宗商品价格指数与利率政策的关系进行实证。通过对利率与大宗商品价格变动、股价变动、房价、产出和通货膨胀之间建立的VAR模型进行脉冲响应分析和方差分解。由于大宗商品价格变动、股价变动和房价的冲击会对通货膨胀、尤其是产出水平形成较大的影响,从而影响利率政策的实施效果,为了避免实体经济的运行因过大的资产价格波动冲击严重偏离预期目标,利率政策需要针对以上三种资产的价格波动进行适时调控,保证实体经济在目标区间内运行。在政策实施的初期,利率的提高能够迅速有效的抑制大宗商品价格变动、股价变动和房价的上涨。由于大宗商品价格变动、股价变动和房价的冲击也会对利率造成影响,所以,在制定利率政策时,需将上述三种资产价格波动对利率政策的准确、有效实施产生的影响考虑在内。从本章的实证研究还可以看出,大宗商品价格变动对产出、通货膨胀和利率形成的影响不小于股价变动、房价对其产生的影响。因而,研究最优利率政策对大宗商品价格的最优反应系数具有十分重要的理论和实践意义;最后,本文计算央行应对大宗商品价格波动的最优利率规则。运用状态空间模型对时变的参数进行估计,计算得到了央行应对大宗商品价格波动的最优反应系数,量化了大宗商品价格对利率政策的影响,为央行的政策制定提供了更易计量的判断依据。本文在四个方面进行了创新:第一,编制适合作为利率政策决策依据的国内大宗商品价格指数。本文通过筛选最具代表性的商品期货合约、选取兼具实用性和准确性特点的编制方法,编制能为央行判断中国大宗商品价格状况提供依据的指数,作为制定利率政策的参考;第二,本文扩展创新成熟经济模型,使其更加符合经济社会发展的现状。本文推导出适合我国现阶段国情、考虑大宗商品价格波动因素在内的最优利率反应方程,从而为利率政策调控提供理论依据;第三,本文测算了大宗商品的利率政策影响效应,证明大宗商品价格已逐渐成为一种非常重要的资产价格因素对实际经济产生着不容忽视的影响;第四,本文量化了大宗商品价格与利率政策间的关系。本文运用状态空间模型方法估计出时变参数,从而计算出中央银行应对大宗商品价格波动的最优反应系数,量化了大宗商品价格对利率政策的影响。
[Abstract]:The interest rate policy as an important means of government regulation in recent years are frequently used, but with the development of economy and society, more and more factors restricting the effectiveness of interest rate policy play. Especially in recent years the rapid development of the domestic commodity market, greatly changed the asset selection of micro economic bodies, and by consumption and other aspects of the production, affect the inflation and economic growth. So this paper with the volatility of commodity prices will impact on interest rates, inflation and output, and whether the central bank interest rate policy can make a reasonable response to the commodity price fluctuation are researched. Hope that through the establishment of reasonable relations between commodity prices and interest rate policy and provide reference basis for the central bank's interest rate policy. Firstly, through the literature review the relationship between monetary policy and asset prices. In the process of research on the relationship between asset prices and monetary policy at home and abroad, the commodity price and the interest rate policy needs to solve the problem; secondly, the commodity price and the interest rate policy research. Through the research on the learning and innovation, the commodity price variable into the traditional economy model, establish the relation model between commodity prices and interest rate policy, which is derived for the present stage of our country, considering the commodity price fluctuations, the optimal interest rate reaction equation, and provide a theoretical basis for the interest rate policy; then, the preparation of commodity price index. Considering the lack of domestic authoritative commodity prices index as the research object, based on the existing experience in the preparation by screening index, the most representative of the commodity futures contracts, set reasonable Select the weight, the weighted average method has the practicability and accuracy, worked out in line with the objective of commodity price index, as a proxy variable of China's commodity prices; then the relationship between commodity price index and interest rate policy in empirical research. Through the interest rate and stock price on commodity price changes. Changes in prices, the VAR model is established between the output and inflation of the impulse response analysis and variance decomposition. The commodity price changes, changes in stock prices and house prices will impact on inflation, especially the output level to form a larger impact, thus affecting the effect of interest rate policy, in order to avoid the operation of the real economy by asset price fluctuation the impact of a serious deviation from the expected target, interest rate policy need to price fluctuations for more than three of the assets and timely regulation, guarantee Economy running in the target interval. At the beginning of the implementation of the policy, the interest rate can be improved quickly and effectively inhibit the commodity price changes, changes in stock prices and housing prices. As commodity price changes, price changes and the impact of housing prices will also impact on the interest rate, therefore, in the interest rate policy, the three kinds of asset price fluctuations on the interest rate policy is accurate, effective implementation of considering the impact, from the empirical research. This chapter also can be seen, the commodity price changes on output, inflation and interest rates affect the formation of not less than the price changes, the impact on the production. Therefore, it has very important theoretical and practical significance the optimal reaction coefficient of the optimal interest rate policy on commodity prices; finally, the optimal interest rate rules are calculated in this paper, the central bank to deal with commodity price fluctuations. The use of state space The model parameters of time-varying estimation, the optimal reaction coefficient of the central bank to deal with the volatility of commodity price calculation, the quantitative effect of commodity prices on the interest rate policy, provide a basis for judging easier measurement for the central bank's policy. This paper makes an innovation in four aspects: first, as for the interest rate policy the decision on the basis of domestic commodity price index. This paper selected the most representative commodity futures contracts, select the compilation method of both practicality and accuracy, can provide the basis for the preparation of the index China commodity prices for the central bank to judge, as the interest rate policy reference; second, the expansion of innovation in mature economic model, the it accords with the requirements of economic and social development. In this paper is suitable for China's national conditions, taking into account the factors of commodity price volatility Optimal interest rate reaction equation, which provides a theoretical basis for the interest rate policy; third, the paper estimates the effect of interest rate policy effects of commodities, commodity prices that has gradually become a very important asset price factors have a noticeable impact on the real economy; fourth, we quantify the relationship between commodity prices and interest rate policy the state space model. This paper uses the method to estimate the time-varying parameters, to calculate the optimal reaction coefficient of the central bank to cope with fluctuations in commodity prices, the quantitative effect of commodity prices on the interest rate policy.

【学位授予单位】：浙江财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F822.0;F726

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