中国货币政策有效性与泰勒规则的适用性分析

发布时间：2018-04-03 23:46

本文选题：泰勒规则　切入点：货币政策规则　出处：《辽宁大学》2016年博士论文

【摘要】：近年来,中国人民银行已经连续几次扩大存款利率的浮动空间,加快中国利率市场化的进程。各商业银行可以根据自己的实际情况,在更大范围内自主确定其存款利率,表明金融主体自主定价进一步放开。然而,这不能表明中国利率市场化已经完成。利率市场化是指金融市场上的主体机构在政策基准利率的指导下,根据市场的需求状况完全自主定价,自负盈亏。如今,中国的政策基准利率仍不是由市场决定的,且不同利率之间的关联并不显著,人民银行执行的是“双轨制”利率政策,没有根据市场化利率的行为特征来确定基准利率。调控行为还保留较多的行政成分。放开存款利率上限只是利率市场化过程中重要的一步,不能代表利率市场化的结束。中国的利率市场化仍然任重而道远。利率市场化改革仍然是经济改革的一项重要内容。因此,在此形势下,进一步研究中国市场化利率的行为规则,可以为深化利率市场化改革提供坚实的理论基础。自中国进行利率市场化改革以来,对于中国利率泰勒规则形式的研究相继展开。近些年来,虽然我国学者对泰勒规则的研究已经比较全面,但研究结论仍然存在矛盾。文献研究主要是采用中国市场化程度较高的同业拆借利率做为研究对象,讨论泰勒规则在中国的适用性问题。谢平、罗雄(2002),陆军、钟丹(2003)和王建国(2006)认为,中国市场化的同业拆借利率虽然满足泰勒规则的形式,但是对中国经济而言,它是不稳定的政策规则。卞志村(2006),赵进文、范继涛(2007),杨国中(2009),徐亚平(2009),石柱鲜(2009),万晓莉(2013),袁野(2014)的研究认为,中国市场化的同业拆借利率,不仅满足泰勒规则形式,而且是一个稳定的政策规则。杨柳(2013)认为中国的货币政策不满足泰勒规则而满足麦克劳林规则。本文主要针对以前文献研究结论中表现出的相互矛盾的问题提出合理解释,并对中国现行“双轨制”利率政策的有效性提出评价观点。泰勒规则在中国适用性问题的研究结论出现矛盾主要是由两个原因造成的。第一个原因是文献研究中对产出缺口的计量与数据的处理方法。另一个原因是文献研究的对象采用的是市场化的同业拆借利率,但是同业拆借利率是经济的内生变量,并不能代表中国的政策基准利率,先前文献研究的结论并不能真实评价中国现阶段实际中实行的货币政策的效果。文献研究中互相矛盾的结论反映出两个层面的问题。首先,泰勒规则在中国的适用性问题,就是中国市场均衡利率是否可以被描述成稳定的泰勒规则形式。其次,如何来评价中国现阶段的“双轨制”利率政策的有效性问题。泰勒规则具有较好的稳定性质,如果中国政策基准利率不符合泰勒规则的某种形式,那么中国现阶段的利率政策可能不是最优的,或不是有效的。但问题的关键是中国的利率政策是否必须符合泰勒规则?事实上,文献研究中互相矛盾的结论表明以往的文献研究并没有很好的解决这两个层面的问题。因此,通过对政策规则演进脉落的梳理发现泰勒规则是总结以往政策的优点后形成的一个兼顾长、短期调节作用的可操作的政策规则。文章在Clarda et al. (1999)和Woodford(2003)的研究基础上,将货币效用函数、垄断竞争商品市场假设和价格粘性结合起来,形成简单的线性新凯恩斯模型,用最优化方法证明最优的政策规则是泰勒规则,并用中国实际数据实证比较泰勒规则和其他政策规则对中国经济的稳定效果。然后,针对文献研究中突显的产出缺口计量与数据处理方法的问题,采用状态空间模型和理性预期的方法,重新检验了泰勒规则在中国的适用性问题。但是,所得的结论仍然受到采用同业拆借利率的影响,问题没有得到很好的解决。因此,根据这个问题,选择了中国的政策基准利率——信贷利率,为研究对象,对中国的“双轨制”利率政策进行有效的评价。研究得到的主要结论如下：1.泰勒规则是货币政策在实践中逐渐演化形成,能兼顾长,短期调整的政策规则,并且该规则能有效缓冲随机冲击对经济的影响。如果实证检验表明政策基准利率满足泰勒规则形式,则表明该货币政策有效。这个结论可以为中国的利率市场化改革提供有意义的参考。2.中国执行的是“双轨制”利率政策。评价中国利率政策效果应该以中国实际信贷利率为研究对象,而不是以中国市场化程度最高的同业拆借利率为研究对象。文献研究中得出了互相矛盾的结论的原因在于研究对象的混淆。3.实证检验泰勒规则形式时,通常受到产出缺口计量问题的困扰。用趋势分解意义上的产出缺口代替理论上产出缺口来检验泰勒规则形式时存在一个理论“陷阱”。这个问题以往文献没有注意到。趋势分解意义上的产出缺口实际上是经济随即冲击形成的,理论上与利率不相关。因此,应该谨慎的对待,使用趋势分解意义上的产出缺口检验泰勒规则得出的结论。4.受产出缺口计量问题影响,本文认为,无法得出中国实际信贷的泰勒规则形式。由计量检验得到的中国实际信贷利率的泰勒规则形式,从理论上,并不能说明中国的实际信贷的是否遵循泰勒规则形式,同理,实证检验否定中国实际信贷利率的泰勒规则形式,也不能从根本上否定中国的实际信贷可能遵循泰勒规则形式。所以评价中国“双轨制”的利率政策的有效性不能采用泰勒规则的标准。5.评价中国的货币政策(包含“双轨制”的利率政策)的有效性,最简洁的方式,就是实证检验货币政策的作用机制。本文用脉冲响应分析实证地检验了中国货币政策的有效性,结果表明,中国的货币政策能够有效的促进经济稳定的增长,是满足现阶段中国经济目标要求的有效经济政策。
[Abstract]:In recent years, the people's Bank of China has several times to expand the deposit interest rate floating in space, accelerate the process of marketization of interest rates. Chinese commercial banks can according to their actual situation, determined independently of their deposit rates in a wider range, that financial subject independent pricing further liberalization. However, it is not that the interest rate market Chinese has been completed. The interest rate market refers to the financial market main body in the benchmark interest rate policy guidance, according to the market demand situation completely independent pricing, self financing. Nowadays, the Chinese benchmark interest rate policy is not determined by the market, and the correlation between the different interest rate is not significant, is the implementation of the "people's Bank dual track interest rate policy, not according to the behavior characteristics of the market interest rate to determine the benchmark interest rate regulation. Also retain administrative ingredients. To release the deposit rate ceiling In the process of interest rate liberalization is an important step, the end can not represent the interest rate market. Chinese the interest rate market is still a long way to go. The interest rate marketization reform is still an important part of economic reform. Therefore, in this situation, further study of the interest rate Chinese market behavior rules, can provide a solid theoretical foundation to deepen the reform of interest rate liberalization. Since the interest rate marketization of interest rate from Chinese, for China Taylor rules in the form of expansion. In recent years, although the study of Taylor rule in China has been more comprehensive, but the conclusion still exist contradictions. Literature research is mainly used Chinese a higher degree of market interbank lending the interest rate as the research object, discuss the applicability of Taylor rule in Chinese. Xie Ping, Luo Xiong (2002), the army, the bell Dan (2003) and Wang Jianguo (2006) believes that Chinese Although the market of interbank interest rate satisfies the Taylor rule, but for China economy, it is not a stable policy rules. Zhicun Bian (2006), Zhao Jinwen, Fan Jitao (2007), Yang Guozhong (2009), Xu Yaping (2009), stone (2009), fresh 000 Xiaoli (2013). Yuan Ye (2014) study that China market interbank rates, not only satisfies the Taylor rule, and is a stable policy rule. Willow (2013) that the Taylor rule Chinese monetary policy does not meet and satisfy the McLaughlin rules. This article mainly aimed at the contradiction between the show before the conclusion in literature research put forward a reasonable explanation, and put forward the evaluation opinions on the effectiveness of China current "double track system" of interest rate policy. The Taylor rule conclusion in the research on the problem of the application of China contradiction is mainly caused by two reasons. The first reason is the literature research Measurement and data processing method of the output gap in the study. Another reason is the object of literature research is used in market interbank rates, but interbank interest rate is endogenous economic variables, and can not represent the Chinese benchmark interest rate policy, the previous research conclusion is not true China evaluation stage in the actual implementation of the effect of monetary policy. Conflicting conclusions in literature research reflects two aspects. First, the applicability of Taylor rule in Chinese, is whether the market equilibrium interest rate Chinese can be described as stable Taylor rule form. Secondly, how to evaluate the effectiveness of the current stage of the "dual track China" the interest rate policy issues. Taylor rule has better stability, if Chinese benchmark interest rate policy does not comply with the Taylor rule in some form, so Chinese stage benefit Rate policy may not be optimal, or not effective. But the key problem is whether the interest rate policy Chinese must comply with the Taylor rule? In fact, conflicting conclusions in literature research shows that previous literature is not a good solution to this two aspects. Because of this, the policy rule evolution vein it's found that the Taylor rule is set form a summary of past policies after the advantages of a long and operable policy rules, the short-term adjustment effect. Based on the Clarda et al. (1999) and Woodford (2003) based on the research, the monetary utility function, monopolistic competition and price stickiness with commodity market hypothesis it forms a linear new Keynes model, the optimization method is used to prove that the optimal policy rule is the Taylor rule, and compared with the actual data Chinese empirical Taylor rule and other rules on economic policy China Stable effect. Then, according to the output gap measurement and data processing methods to highlight the problem in the literature research, using the method of state space model and rational expectations, re examined the applicability of Taylor rule in China. However, the conclusion is still affected by the same industry lending rates, the problem is not well resolved. Therefore, according to this problem, select the China benchmark interest rate policy, credit interest rate, as the research object, the effective evaluation of the China "double track system" of interest rate policy. The main conclusions are as follows: 1. the Taylor rule, monetary policy in practice gradually evolved, and Gu Long, short-term adjustment the policy rules, and the rules can effectively buffer the effects of random shocks to the economy. If the empirical tests show that the benchmark interest rate policy to meet the Taylor rule, that the monetary policy This conclusion can provide effective decision-making. The market-oriented reform of interest rate has the significance of reference.2. China Chinese is the implementation of the "double track" interest rate policy. China effect of interest rate policy should be evaluated by the interest rate of real credit China as the research object, and not to China the highest level of market interbank interest rates as the research object. The reasons of literature research in the conflicting conclusions is that the research object confusion.3. empirical test of Taylor rule in form, usually by the output gap measurement problems. With the trend decomposition sense of the output gap instead of the output gap theory to test the Taylor rule form there is a theory of "trap". The previous literature did not notice the decomposition of the trend. The output gap is then formed by the impact of economic theory, and the interest rate is not relevant. Therefore, should be careful of To decompose the output gap Taylor rule sense that the trend of conclusion.4. was affected by the measurement of the output gap, this paper argues that Taylor is unable to conclude the Chinese actual credit rules. Taylor rules form the actual interest rate of credit Chinese obtained by econometric test, in theory, can not explain the actual credit Chinese. Whether to follow the Taylor rule, similarly, the empirical test negative real interest rates of credit China Taylor rules form, also can not fundamentally negate the actual credit China may follow the Taylor rule. The standard.5. evaluation can not effectively so China evaluation of the "dual track" policy by Taylor rules for monetary policy (including the "Chinese the two track system") the effectiveness of interest rate policy, the most concise way is an empirical test of the effect of monetary policy mechanism. By using impulse response points This paper empirically tests the effectiveness of China's monetary policy. The results show that China's monetary policy can effectively promote stable economic growth and is an effective economic policy to meet the requirements of China's economic goals at this stage.

【学位授予单位】：辽宁大学
【学位级别】：博士
【学位授予年份】：2016
【分类号】：F822.0

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