【摘要】：本文在分析當(dāng)前國內(nèi)外貨幣政策規(guī)則的設(shè)計(jì)、選擇和操作的基礎(chǔ)上，重點(diǎn)研究了泰勒規(guī)則在我國的適用性問題。通過對泰勒規(guī)則的擴(kuò)展，利用數(shù)理經(jīng)濟(jì)學(xué)和計(jì)量經(jīng)濟(jì)學(xué)方法進(jìn)行理論推導(dǎo)和實(shí)證分析，獲得了一些重要的理論判斷和經(jīng)驗(yàn)證據(jù)。本文從泰勒規(guī)則總體特征、匯率管制下的泰勒規(guī)則、非線性的泰勒規(guī)則、在粘性信息框架內(nèi)的泰勒規(guī)則、泰勒規(guī)則對宏觀經(jīng)濟(jì)的穩(wěn)定性以及具有太陽黑子沖擊的泰勒規(guī)則等六個(gè)方面的分析，主要工作和結(jié)論如下： 一、鑒于泰勒規(guī)則作為貨幣政策規(guī)則所因具備的條件，我們研究了泰勒規(guī)則的八個(gè)總體特征，，以及這些特征在中國的實(shí)證檢驗(yàn)。研究結(jié)果表明，泰勒規(guī)則并不具有穩(wěn)定經(jīng)濟(jì)的能力，但是利率傳導(dǎo)機(jī)制的作用正在增強(qiáng)，可以作為我國貨幣政策規(guī)則的參考。于此同時(shí)，加入貨幣供應(yīng)量因素的泰勒規(guī)則可以更好地反映我國的貨幣政策規(guī)則有效性。 二、在開放條件下動態(tài)宏觀經(jīng)濟(jì)模型中引入具有管制的匯率因素，通過央行的損失函數(shù)獲得最優(yōu)的貨幣政策規(guī)則函數(shù)——泰勒規(guī)則，并對匯率管制對貨幣政策規(guī)則進(jìn)行了計(jì)量分析，試圖檢驗(yàn)匯率對貨幣政策規(guī)則的效應(yīng)。我們對最優(yōu)泰勒規(guī)則進(jìn)行擬合估計(jì)，結(jié)果表明，在匯率管制下，匯率傳導(dǎo)機(jī)制對泰勒規(guī)則作用并不顯著，利率主要還是受通貨膨脹的影響。因此，我們在新開放經(jīng)濟(jì)宏觀經(jīng)濟(jì)學(xué)框架下分析利率沖擊對經(jīng)濟(jì)的影響，通過DSGE模擬分析得到，具有管理的浮動匯率制度能有效地隔離國內(nèi)外沖擊，從而印證了泰勒規(guī)則中利率對匯率反應(yīng)不足的現(xiàn)實(shí)。 三、研究對貨幣政策規(guī)則的非線性傳導(dǎo)機(jī)制重視不足，央行可能會對目標(biāo)變量的偏離具有不同的反應(yīng)。我們通過在一般均衡框架中適當(dāng)修改央行的損失函數(shù)或是在約束條件中引入非線性菲利普斯限制，考察非線性最優(yōu)泰勒規(guī)則。同時(shí)利用對數(shù)平滑轉(zhuǎn)換自回歸(LSTAR)模型對非線性泰勒規(guī)則進(jìn)行實(shí)證檢驗(yàn)，計(jì)量結(jié)果表明我國泰勒規(guī)則存在明顯的非線性特征。而且在非線性泰勒規(guī)則中，無論名義利率、貨幣供應(yīng)量變動還是匯率變動作為非線性轉(zhuǎn)換變量，利率對通貨膨脹反應(yīng)均不足，可能引發(fā)經(jīng)濟(jì)不穩(wěn)定困境。中國泰勒規(guī)則有效性不足，說明我國的利率傳導(dǎo)機(jī)制可能還存在諸多障礙。 四、新宏觀經(jīng)濟(jì)理論的發(fā)展使我們重新開始審視貨幣政策規(guī)則在粘性信息條件下的作用效果。我們在包括產(chǎn)品、勞動和債券三個(gè)均衡市場的粘性信息一般均衡(SIGE)框架下研究中國經(jīng)濟(jì)。通過引入廠商、勞動者和消費(fèi)者三種信息更新概率，并假設(shè)貨幣當(dāng)局以利率規(guī)則作為操作工具，經(jīng)過校準(zhǔn)處理，并在SIGE(粘性信息一般均衡框架)模型下分析了各種沖擊下的脈沖相應(yīng)函數(shù)。研究得出，(1)生產(chǎn)率變化最為敏感；(2)貨幣政策松緊隨著不同的沖擊呈現(xiàn)不同狀態(tài)；(3)勞動供給和產(chǎn)出(缺口)增加所引起的經(jīng)濟(jì)影響是相似的，但是幅度大小不同；(4)產(chǎn)品價(jià)格和工資在各種因素沖擊下影響不大；(5)各變量的波動主要來自總生產(chǎn)率沖擊。 五、研究泰勒規(guī)則對宏觀經(jīng)濟(jì)系統(tǒng)穩(wěn)定性均衡問題時(shí)，利率與非政策經(jīng)濟(jì)變量的長期關(guān)系并不是研究的焦點(diǎn)，它們的短期關(guān)系才是重要的。因此，我們在新凱恩斯動態(tài)隨機(jī)一般均衡模型框架內(nèi)，分別研究了泰勒規(guī)則和具有平滑效應(yīng)泰勒規(guī)則對宏觀經(jīng)濟(jì)系統(tǒng)的穩(wěn)定性問題，通過簡單的脈沖反應(yīng)圖，發(fā)現(xiàn)具有平滑的泰勒規(guī)則在降低貨幣政策沖擊對經(jīng)濟(jì)的影響程度外，還具有使經(jīng)濟(jì)變量回歸穩(wěn)態(tài)放緩的可能。并在DSGE中討論了貨幣內(nèi)生性問題，只要央行按照利率政策調(diào)控經(jīng)濟(jì)，并且經(jīng)濟(jì)是滿足跨期最優(yōu)的，那么貨幣供應(yīng)量就具有內(nèi)生性。同時(shí)適當(dāng)增加其他經(jīng)濟(jì)擾動項(xiàng)，可以提高模型對現(xiàn)實(shí)的解釋能力。 六、為了研究中國泰勒規(guī)則對宏觀經(jīng)濟(jì)系統(tǒng)的不確定性均衡，我們在新凱恩斯動態(tài)隨機(jī)均衡模型基礎(chǔ)上引入太陽黑子沖擊，運(yùn)用貝葉斯統(tǒng)計(jì)推斷方法估計(jì)DSGE模型，考察經(jīng)濟(jì)系統(tǒng)的穩(wěn)定性均衡和不確定性均衡。通過引入貨幣政策沖擊、供給沖擊、需求沖擊以及太陽黑子沖擊，利用1996—2012年的數(shù)據(jù)，檢驗(yàn)了我國泰勒規(guī)則的不確定性均衡。研究結(jié)果表明，我國泰勒規(guī)則具有不確定性，太陽黑子沖擊能導(dǎo)致“自我實(shí)現(xiàn)”均衡，雖然太陽黑子沖擊能對內(nèi)生變量產(chǎn)生明顯的影響，但是對基本沖擊的傳導(dǎo)作用有限，因此，經(jīng)濟(jì)系統(tǒng)的不確定性主要還是受基本沖擊的影響。
[Abstract]:Based on the analysis of the design, selection and operation of the current rules of monetary policy at home and abroad, this paper focuses on the applicability of the Taylor rule in China. Through the extension of Taylor's rule, the theoretical and empirical analysis is carried out by using the method of economics and econometrics, and some important theoretical judgment and empirical evidence are obtained. In this paper, from the general characteristics of the Taylor rule, the Taylor rule under the control of the exchange rate, the Taylor rule of the non-linearity, the Taylor rule in the framework of the sticky information, the stability of the Taylor rule on the macro-economy and the Taylor rule with sunspot impact, The main work and conclusions are as follows: I have studied the eight general features of the Taylor rule and the positive test of these features in China, given the conditions of the Taylor rule as a rule of monetary policy. The results of the study show that the Taylor rule does not have the ability to stabilize the economy, but the role of the interest rate conduction mechanism is increasing, which can be used as a reference for the monetary policy rules of our country. At the same time, the Taylor rule, which is the factor of the supply of money, can better reflect the effective rules of monetary policy in our country. Secondly, in the dynamic macro-economic model under the open condition, the control exchange rate factor is introduced, the optimal monetary policy rule function _ Taylor rule is obtained through the loss function of the central bank, and the rules of the monetary policy are calculated by the exchange rate control quantitative analysis, try to check the exchange rate to the monetary policy rule The result shows that under the control of exchange rate, the effect of the exchange rate conduction mechanism on the Taylor rule is not significant, and the interest rate is mainly due to inflation Therefore, we analyze the impact of interest rate on the economy under the framework of the new open economic macroeconomics, and through the DGE simulation analysis, the floating exchange rate system with the management can effectively isolate the impact at home and abroad, thus confirming that the interest rate in the Taylor rule is not enough for the exchange rate. .............................................................................. Different reactions. We investigate the non-linearity by appropriately modifying the central bank's loss function in the general equilibrium framework or by introducing the non-linear Phillips limit in the constraint conditions The Taylor rule is tested by using the Logarithmic smooth transition autoregressive (LSTAR) model. The results show that the Taylor rule in our country is obvious. Nonlinear features. Also, in the non-linear Taylor rule, the rate of interest rate is not enough for inflation, regardless of the nominal interest rate, the change in the money supply, or the exchange rate change as a non-linear conversion variable, which may trigger the economy. Unsteady predicament. The validity of Taylor's rule in China is not enough, which means that the interest rate transmission mechanism of our country may still exist. In many obstacles, the development of the new macro-economy theory has enabled us to re-examine the monetary policy rules in the sticky information strip The effect of the effect under the part. We have a general equilibrium (SIE) framework for the viscosity information of the three balanced markets, including products, labor and bonds. The paper studies the Chinese economy. By introducing the three kinds of information update probability of the Chinese manufacturers, the workers and the consumers, it is assumed that the monetary authorities act as the operating tool with the interest rate rule, and then, under the model of the SIE (general equilibrium framework of the viscosity information), the various kinds of impact are analyzed. The results are as follows: (1) the most sensitive to the change of productivity; (2) the elasticity of the monetary policy is different from the different impact; (3) the economic impact caused by the increase of labor supply and output (gap) is similar, but (4) The price of the product and the wage have little effect on the impact of various factors; (5) the fluctuation of each variable is mainly The long-term relationship between the interest rate and the non-policy economic variable is not the focus of the study when the stability of the macro-economic system is balanced by the Taylor rule. The short-term relationship is important. Therefore, in the framework of the new Keynes dynamic stochastic general equilibrium model, we respectively study the Taylor rule and the stability problem of the Taylor rule with the smoothing effect to the macro-economy system. After a simple pulse response graph, it is found that a smooth Taylor rule has the effect of reducing the impact of the monetary policy on the economy, and also has the advantage of making the economic variable It is possible to return to steady-state slow-down. In the DSGE, the problem of internal currency is discussed, so long as the central bank regulates the economy in line with the interest rate policy, and the economy is the best in the span, the currency The supply is endogenous, and other economic disturbance items are appropriately added, so that the mode can be improved. In order to study the equilibrium of the uncertainty of China's Taylor rules on the macro-economy system, we introduce the sunspot impact on the basis of the new Keynes dynamic stochastic equilibrium model, and use the Bayesian statistical method Estimation of the DSGE Model and the Stability of the Economic System By introducing the impact of monetary policy, the supply of shocks, the impact of demand and the impact of sunspots, the data of 1996-2012 were used to test our country. The uncertainty of the Taylor rule is the result of the study. The results show that the Taylor rule of our country has the uncertainty. The impact of the sunspot can lead to the balance of the "self-actualization", although the sunspot impact can have a clear effect on the endogenous variable, but the basic punch The conduction effect of the attack is limited, therefore, the uncertainty of the economic system
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2013
【分類號】：F224;F822.0

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