开放经济中的货币政策问题研究

发布时间：2017-12-27 21:33

  本文关键词：开放经济中的货币政策问题研究　出处：《中央财经大学》2016年博士论文　论文类型：学位论文

  更多相关文章： 新开放宏观经济 汇率不完全传递 工资粘性 耐用消费品贸易 货币政策合作

【摘要】：进入21世纪以来,国家之间的商品贸易和资本流动日益频繁,因此开放经济中的货币政策研究,成为各国中央银行和学术界关注的重要问题。Obstfeld和Rogoff(1995)提出了新开放宏观经济学的框架,首次为开放经济分析引入了微观经济学基础,并在模型中加入价格粘性、垄断竞争扭曲和消费者的跨期最优选择行为。这一框架随后成为开放宏观经济分析的主要方法。本文在此基础上,研究了开放经济中货币政策的三个问题:(1)在传统的小国开放经济模型中,引入了汇率不完全传递效应和贸易顺差,使用贝叶斯方法估计了我国开放经济的货币政策规则,探究了央行的名义利率是否对人民币汇率波动进行调整,以及我国开放经济的波动特征。(2)在Clarida等(2002)模型中引入工资粘性以及中美两国劳动力要素投入比重差异,分析了生产函数的异质性对开放经济福利水平的影响。我们对家庭的效用函数进行二阶逼近,得到央行货币政策的目标函数(Rotermberg和Woodford,1997),并分析了两国央行货币政策合作与不合作两种情形,以及这两种政策机制下中国的社会福利水平。(3)将Erceg和Levin(2006)关于耐用消费品对最优货币政策的研究,推广到开放经济中。我们建立了两国两部门的开放经济模型,引入耐用消费品的国际贸易,分析了当两国进行货币政策合作时,它对两国社会福利水平的影响。本文第二章在蕴含汇率不完全传递效应和贸易顺差的小国开放经济中,使用贝叶斯方法估计了我国开放经济的结构参数,并基于参数估计结果分析了我国的货币政策规则和经济波动特征,主要得到以下的结论:(1)货币政策在对CPI通胀和产出缺口进行反应之外,还会针对人民币汇率波动进行小幅调整,名义利率对CPI通胀、产出缺口和汇率波动的反应系数分别是1.50,0.33和0.04;(2)汇率不完全传递效应在降低本国产出、CPI通胀和利率水平波动的同时,却显著的增加了名义汇率、实际汇率和一价定律缺口的波动;(3)国内冲击是引起我国产出和利率波动的主要因素,技术冲击能够解释我国产出波动的40%,货币政策冲击能够解释利率波动的77%;(4)世界产出冲击是引起名义汇率波动的主要因素,世界通胀冲击则是引起CPI通胀的主要源泉。所以,我国的货币政策主要作用是熨平外部冲击对我国经济的影响。本文第三章将工资粘性和劳动要素投入比重差异引入到两国开放经济模型,分析它们对货币政策福利水平的影响,得到以下结论:(1)Clarida等(2002)认为在仅仅含有价格粘性的两国开放经济模型中,当家庭的风险规避系数等于1时,两国并不存在货币政策的合作收益。但是基于同样的模型,我们在引入了工资粘性后发现,上述结论发生了改变。即使家庭的风险规避系数等于1时,依然存在着货币政策的合作收益,合作时的额外收益为稳态消费水平的0.31%。(2)劳动力要素投入比重的差异,确实会影响货币政策合作的额外收益。在给定外国劳动力要素投入(*?(28)0.36),当?(28)0时,货币政策合作时的额外收益是0.51%,当?(28)0.25时,货币政策合作的额外收益上升到0.98%,但是在本文的标尺模型中,当?(28)0.5时,货币政策合作的收益却下降到了0.36%。因此二者之间是否存在着规律性的结论,尚需更进一步的研究。(3)通过分析脉冲响应函数,我们讨论了货币政策合作收益产生的内在机制。当不进行货币政策合作时,两国央行只根据该国的经济波动选择货币政策规则,但是如果进行货币政策的合作,本国的货币政策同时需要考虑外国的经济波动。以本国技术冲击为例,由于存在价格粘性和工资粘性,本国产出缺口下降。在纳什货币政策下,外国的产出保持在自然率产出水平,两国产出相关系数几乎为0;当进行货币政策合作时,外国的产出缺口上升,两国产出的相关系数为负。因此,央行通过选择使得产出负相关的货币政策,有效实现了两国之间的风险分担。本文第四章在两国两部门开放经济模型中,讨论了耐用消费品贸易对两国货币政策合作收益水平的影响。通过参数校准和数值模拟,我们得到了以下结论:(1)erceg和levin(2006)在封闭经济中发现,耐用品的波动率是非耐用品波动率的3倍左右,我们在开放经济也得到了类似的结论。例如,当两国央行钉住价格和工资加权通胀时,本国非耐用品部门技术冲击,使得非耐用品产出上升了4%,但耐用消费品却上升了10%以上。(2)耐用品贸易能够显著提高货币政策合作的收益。例如,当耐用品的折旧率从[0.03,0.054]的区间内进行取值时,随着耐用品折旧率的上升,货币政策合作时的福利收益随之下降,原因在于折旧率的上升,降低了利率对耐用品用户成本的影响,货币政策的调控作用也随之减弱。(3)耐用品在家庭总消费中的比重,以及本国耐用品在总耐用品需求中的比重,对货币政策合作收益也有显著的影响。由于只有耐用品可以进行国际贸易,因此上述两个参数共同描述了本国经济的开放程度。当耐用品在家庭总消费中的比重越高,且本国耐用品在总耐用品中的比重越低时,本国经济的开放程度越高,此时货币政策合作时的福利损失下降。因此本文认为,伴随着耐用品在国际贸易中的比重不断上升,不同国家之间更有必要进行货币政策之间的合作。(4)我们发现钉住耐用品部门产出的货币政策规则,很好的逼近了最优货币政策的福利水平,熨平耐用品产出是提高福利的有效途径。但是,erceg和levin(2006)在封闭经济中却认为,钉住工资与价格加权通胀的简单货币政策规则,能够很好的逼近最优货币政策,与此相反,钉住差异化的部门通胀,反而会增加部门的福利损失。然而,本文在开放经济中得出了不同的结论,仅仅钉住耐用品部门的产出,就能够有效抑制耐用品部门的波动,改进社会福利水平。
[Abstract]:Since entering the twenty-first Century, commodity trade and capital flow among countries are becoming more frequent. Therefore, the study of monetary policy in open economy has become an important issue concerned by central banks and academia. Obstfeld and Rogoff (1995) put forward the framework of the new open macroeconomics. For the first time, we introduced the foundation of Microeconomics for the opening economic analysis for the first time, and added price sticky, monopolistic competition distortion and consumers' intertemporal optimal choice in the model. This framework has subsequently become the main approach to open macroeconomic analysis. In this paper, three problems of monetary policy in the open economy: (1) in a small open economy model, the incomplete exchange rate pass through effect and the trade surplus, a Bayesian method to estimate the monetary policy rules in China's open economy, the central bank to explore whether to adjust the nominal interest rate the RMB exchange rate fluctuations, and the opening of China's economic fluctuation characteristics. (2) introducing wage stickiness in Clarida et al (2002) model and the difference of labor force factor input between China and America, we analyze the influence of heterogeneity of production function on the welfare level of open economy. We use the two order approximation of the family utility function to get the objective function of the central bank's monetary policy (Rotermberg and Woodford, 1997), and analyze the two cases of monetary policy cooperation and non cooperation between the two central banks, and the social welfare level of China under these two policy mechanisms. (3) the study of Erceg and Levin (2006) on the optimal monetary policy of durable consumer goods is extended to the open economy. We established an open economic model of the two sectors of the two countries, introduced the international trade of durable consumer goods, and analyzed the impact of the two countries' monetary policy cooperation on the two countries' social welfare level. In the second chapter of this paper contains incomplete exchange rate pass through effect and the trade surplus of the small open economy, the structure parameters of the open economy of our country is estimated using a Bayesian method based on parameter estimation results and analysis of China's monetary policy and economic fluctuation characteristics, mainly to the following conclusions: (1) in monetary policy CPI response to inflation and output gap, but also for the RMB exchange rate fluctuations were adjusted slightly, the nominal interest rate to the inflation response coefficient CPI, the output gap and exchange rate volatility is 1.50,0.33 and 0.04 respectively; (2) incomplete exchange rate pass through effect in reducing the domestic output, CPI inflation and interest rate fluctuations, but significantly increased the nominal exchange rate, real exchange rate and the law of one price gap fluctuations; (3) the impact is mainly caused by the factors of China's output and interest rate volatility, technology shocks can explain in China 40% of output volatility, monetary policy shocks can explain 77% of interest rate volatility. (4) world output shocks are the main factors that cause nominal exchange rate fluctuations, and world inflation shocks are the main source of CPI inflation. Therefore, the main role of China's monetary policy is to ironing the impact of external shocks on the economy of our country. In the third chapter, the wage stickiness and labor inputs of different proportions into two open economy model, the analysis of their impact on the welfare level of monetary policy, get the following conclusions: (1) Clarida (2002) in the two countries that open economy model contains only the price stickiness, when the family risk aversion coefficient is equal to 1 the two countries, monetary policy does not exist the benefits of cooperation. But based on the same model, we found a change in the conclusion after the introduction of the wage stickiness. Even if the risk aversion factor of a family is equal to 1, there is still a cooperative income of monetary policy, and the additional income of cooperation is 0.31% of the level of steady consumption. (2) the difference in the proportion of labor factor input does affect the extra income of monetary policy cooperation. In the given foreign labor elements (*? (28) 0.36), when? (28) 0, additional revenue monetary policy cooperation is 0.51%, when? (28) 0.25, additional revenue monetary policy cooperation rose to 0.98%, but the scale model of this paper, when? (28) 0.5, monetary policy cooperation revenue has dropped to 0.36%. Therefore, whether there is a regular conclusion between the two needs to be further studied. (3) through the analysis of the impulse response function, we discuss the inherent mechanism of the production of monetary policy cooperation. When there is no monetary policy cooperation, the Central Bank of the two countries only choose monetary policy rules according to the economic fluctuations of the country, but if we cooperate in monetary policy, we need to consider the foreign economic fluctuations at the same time. As an example, the domestic output gap has fallen due to the price stickiness and wage stickiness. Under Nash's monetary policy, foreign output remains at the natural rate of production, and the correlation coefficient between the two countries is almost 0. When the monetary policy cooperation is carried out, the output gap of foreign countries rises, and the correlation coefficient between the two countries is negative. Therefore, the central bank effectively realizes the risk sharing between the two countries through the choice of the monetary policy that makes the output negative. The fourth chapter discusses the impact of the durable consumer goods trade on the income level of the two countries' monetary policy cooperation in the open economy model of the two countries in the two sector. Through parameter calibration and numerical simulation, we get the following conclusions: (1) Erceg and Levin (2006) find that the volatility of durable goods is 3 times the volatility of non durable goods in closed economy, and we get similar conclusions in the open economy. For example, when the Central Bank of the two countries staple price and wage weighted inflation, the technology impact of the domestic non durable goods sector increased the output of non durable goods by 4%, but the durable consumer goods increased by more than 10%. (2) the trade in durable goods can significantly increase the benefits of monetary policy cooperation. For example, when the depreciation rate of durable goods is taken from the range of [0.03,0.054], with the increase of depreciation rate of durable goods, the benefit of monetary policy cooperation
【学位授予单位】：中央财经大学
【学位级别】：博士
【学位授予年份】：2016
【分类号】：F822.0
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本文编号：1343268