1996-2013年我国真实利率测度及特征研究

发布时间：2018-04-29 08:21

本文选题：真实利率 + 泰勒规则　；参考：《中国海洋大学》2014年硕士论文

【摘要】：在货币政策制定和执行过程中，名义利率是常用的中介指标之一。虽然名义利率具有易测、易操作等优点，但是在我国的现实背景下，也存在诸多缺点：名义利率的影响因素多，政策效果难以把控；我国名义利率含有较多的管制成分，不能真实反应市场运行情况。本文提出的真实利率，不仅含有传统经济理论中的利率决定机制，而且受外生变量的影响，是一个能够全面的反映经济基本面运行情况的利率。在货币政策的理论和实证研究中将真实利率作为调控的中介指标更有助于以更低的政策成本实现货币政策的最终目标。本文的研究主要分为以下几个方面。首先，本文结合真实经济周期理论，将真实利率界定为一个具有内生的基本变动趋势的利率，这个内生变动趋势代表的是不同时点上市场上的均衡利率的变化，但是这个趋势项本身不存在改变的动力，它的变动是由来自利率市场以外的冲击所引起的。第二，本文通过分析指出一般化了的泰勒规则是一个符合真实利率基本含义的表达式，并运用该式对我国1996-2013年的真实利率进行了测度。第三，从基本特征和区制特征两个角度出发，对真实利率的特征进行了分析。其中，基本特征分析显示，真实利率能较好的反应我国宏观经的总体运行情况，具有较强的通货膨胀的弥补能力和对宏观经济政策的响应能力，而且具有较好的稳定性和对趋势项的回归能力。对区制特征的分析采用的是带有马尔可夫区制转换的自回归模型，模型结果显示，我国过去的真实利率遵循两区制三阶滞后的自回归模型，且在每个区制内具有较高的持续性；同时，根据真实利率的区制分布特点，可以将1996-2013年分为四个经济发展区间，这四个区间的演化显示了真实利率的走势是一个不断趋向合理化的过程，而且与我国的实际经济运行情况和政策取向相符。第四，文章根据研究内容和结果提出了相应的政策建议，认为货币当局在指定和执行货币政策时，可以将货币政策的中长期中介指标选定为真实利率，不宜再将过多的注意力放在短期利率的波动上，，而只应在必要的时候做出对名义利率的预调和微调；同时，应从提高政策透明度、平稳转换货币政策中介指标的转换，加强预调微调等方面来提高政策效果、降低政策成本。
[Abstract]:In the process of monetary policy formulation and implementation, nominal interest rate is one of the commonly used intermediary indicators. Although nominal interest rate has the advantages of easy to measure and operate, but in our country's realistic background, there are many disadvantages: there are many influence factors of nominal interest rate, the effect of policy is difficult to control, the nominal interest rate of our country contains more regulatory elements. Can not truly reflect the operation of the market. The real interest rate proposed in this paper not only contains the interest rate decision mechanism in the traditional economic theory, but also is an interest rate which can reflect the operation of the economic fundamentals comprehensively, which is influenced by exogenous variables. In the theoretical and empirical study of monetary policy, taking the real interest rate as the intermediary index of regulation and control is more helpful to achieve the ultimate goal of monetary policy with lower policy cost. The research of this paper is divided into the following aspects. First of all, combining with the real business cycle theory, this paper defines the real interest rate as an interest rate with an endogenous basic trend of change, which represents the change of equilibrium interest rate at different points in the market. But the trend itself is not motivated by change, which is caused by shocks from outside the interest rate market. Secondly, this paper points out that the generalized Taylor rule is an expression consistent with the basic meaning of real interest rate, and measures the real interest rate in China from 1996 to 2013. Thirdly, this paper analyzes the characteristics of real interest rate from the basic characteristics and regional characteristics. Among them, the analysis of basic characteristics shows that the real interest rate can better reflect the overall operation of China's macro economy, and has a strong ability to compensate for inflation and to respond to macroeconomic policies. And it has good stability and regression ability to trend term. The autoregressive model with Markov transformation is used to analyze the characteristics of regional system. The results show that the real interest rate in China followed the three-order autoregressive model of two-region system and has a high persistence in each district system. At the same time, according to the regional distribution characteristics of real interest rates, the period 1996-2013 can be divided into four economic development zones. The evolution of these four regions shows that the trend of real interest rates is a process of continuous rationalization. And with our country's actual economic operation and policy orientation in line with. Fourthly, according to the research content and the results, the paper puts forward the corresponding policy recommendations, and holds that the monetary authority can select the medium and long term intermediate index of monetary policy as the real interest rate when it designates and implements monetary policy. We should not pay too much attention to the fluctuation of short-term interest rates, but should only make pre-adjustment and fine-tuning of nominal interest rates when necessary; at the same time, we should make a smooth transition to the intermediate indicators of monetary policy by enhancing policy transparency. To improve the policy effect and reduce the policy cost by strengthening the pre-adjustment and fine-tuning.
【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F822.0;F224

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