本文關(guān)鍵詞：中央銀行信息交流對(duì)通貨膨脹不確定性的影響研究　出處：《湖南大學(xué)》2015年碩士論文　論文類型：學(xué)位論文

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【摘要】：隨著貨幣政策理論與實(shí)踐的發(fā)展,各國(guó)中央銀行逐漸認(rèn)識(shí)到央行信息交流作為傳統(tǒng)貨幣政策的補(bǔ)充,對(duì)于穩(wěn)定通脹發(fā)揮出積極的作用。隨著中國(guó)經(jīng)濟(jì)進(jìn)入“新常態(tài)”,宏觀經(jīng)濟(jì)政策的密集出臺(tái)為經(jīng)濟(jì)平穩(wěn)較快增長(zhǎng)保駕護(hù)航,但同時(shí)也可能引發(fā)由政策不確定性帶來(lái)的經(jīng)濟(jì)不確定性。面對(duì)政策不確定性與經(jīng)濟(jì)不確定性的雙重壓力下,貨幣政策如何穩(wěn)定通貨膨脹預(yù)期,防通脹促增長(zhǎng),對(duì)我國(guó)央行是一項(xiàng)嚴(yán)峻的挑戰(zhàn)。因此,在“新常態(tài)”的背景下,研究央行信息交流對(duì)于通脹不確定性的影響具有很強(qiáng)的現(xiàn)實(shí)意義與學(xué)術(shù)價(jià)值,這有助于進(jìn)一步完善我國(guó)的中央銀行信息交流機(jī)制,制定更有效、更具前瞻性的信息交流策略,從而穩(wěn)定通脹。本文在對(duì)中央銀行信息交流與通貨膨脹不確定性的內(nèi)涵作理論界定之后,基于Friedman-Ball假說(shuō)對(duì)中央銀行信息交流對(duì)通貨膨脹不確定性影響的理論機(jī)制進(jìn)行了闡釋。本文提出了中央銀行信息交流影響通貨膨脹不確定性的傳導(dǎo)路徑。在實(shí)證部分,通過(guò)提取中國(guó)人民銀行《貨幣政策執(zhí)行報(bào)告》中關(guān)于貨幣政策立場(chǎng)與貨幣政策交流的措辭,構(gòu)建了中國(guó)2001年—2014年的中央銀行信息交流指數(shù),利用GARCH(1,1)模型估計(jì)了通貨膨脹不確定性,對(duì)中央銀行信息交流影響我國(guó)通貨膨脹不確定性進(jìn)行了實(shí)證分析。在此基礎(chǔ)上,選取中央銀行信息交流指數(shù)、通貨膨脹不確定性、政策不確定性、通貨膨脹水平與通貨膨脹預(yù)期建立實(shí)證模型。對(duì)數(shù)據(jù)進(jìn)行平穩(wěn)性檢驗(yàn)并建立VAR模型,同時(shí)利用脈沖響應(yīng)函數(shù)、格蘭杰因果檢驗(yàn)與方法分解方法進(jìn)一步挖掘各個(gè)變量之間的動(dòng)態(tài)相關(guān)性。實(shí)證結(jié)果表明:在政策不確定性增加,從而觸發(fā)通脹不確定性的市場(chǎng)條件下,央行信息交流可以穩(wěn)定公眾和市場(chǎng)預(yù)期,降低通脹水平,從而讓通脹不確定性維持在較低的水平。最后本文對(duì)我國(guó)中央銀行信息交流現(xiàn)狀進(jìn)行了簡(jiǎn)要的分析,并提出一些政策建議。鑒于我國(guó)央行貨幣交流機(jī)制還不完善,我國(guó)央行需要發(fā)揮貨幣政策交流的預(yù)期引導(dǎo)機(jī)制,提高貨幣政策交流的公開(kāi)透明機(jī)制,培育貨幣政策交流的良性互動(dòng)機(jī)制,建立一個(gè)更為透明、效率更高的政策調(diào)控機(jī)制。
[Abstract]:With the development of the theory and practice of monetary policy, the central bank central bank gradually realize the exchange of information as a supplement to traditional monetary policy to stabilize inflation, play a positive role. With the China economy into the new normal, macroeconomic policy intensive introduction to stable and rapid economic growth escort, but also may be caused by policy uncertainty of economic uncertainty. Facing the double pressure policy uncertainty and economic uncertainty, monetary policy to stabilize inflation expectations, anti inflation growth, is a severe challenge to China's central bank. Therefore, in the "new normal" under the background of the research, the central bank has practical significance and academic information exchange the value of a strong impact on inflation uncertainty, which helps to further improve the central bank information exchange mechanism in our country, to develop more effective and more Forward-looking information communication strategy, so as to stabilize inflation. After the theoretical definition to the central bank information exchange and inflation uncertainty, the theoretical hypothesis on the mechanism of Friedman-Ball effect of central bank communication on inflation uncertainty in the interpretation. This paper proposes based on central bank communication effect conduction path of inflation uncertainty in the empirical part, through the words about the monetary policy stance of monetary policy and exchange from monetary policy of the people's Bank "Chinese implementation report", 2001 - 2014 Chinese established central bank communication index by GARCH (1,1) model to estimate the uncertainty of inflation, the Central Bank of China's inflation is not the exchange of information the uncertainty is analyzed. On this basis, select the central bank communication index through inflation Inflation uncertainty, policy uncertainty, the level of inflation and inflation expectations to establish an empirical model. Data stationarity test and VAR model, the impulse response function, Grainger causality test and method of decomposition method to further tap the dynamic correlation between the variables. The empirical results show that: the increase in policy uncertainty, thus triggering inflation the uncertainty of the market conditions, the central bank and public information exchange can stabilize market expectations, reduce the level of inflation, so that inflation uncertainty remained at a low level. The information exchange based on the status quo of China's central bank made a brief analysis, and puts forward some policy suggestions. In view of China's central bank currency exchange mechanism our country is not perfect, the central bank needs to play monetary policy communication is expected to guide mechanism, open and transparent mechanism to improve monetary policy exchange, To foster a benign interaction mechanism for exchange of monetary policy and to establish a more transparent and efficient policy regulation mechanism.

【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2015
【分類號(hào)】：F822.5

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本文編號(hào)：1377366