本文選題：“混合型”泰勒規(guī)則　切入點(diǎn)：中美實(shí)際匯率　出處：《華東師范大學(xué)》2012年碩士論文

【摘要】：20世紀(jì)90年代以來,利率逐漸成為一些國家中央銀行進(jìn)行貨幣政策操作的主要貨幣中介,1993年泰勒提出的“泰勒規(guī)則”成為央行進(jìn)行貨幣操作的主要理論依據(jù)。最初的泰勒規(guī)則是在封閉的經(jīng)濟(jì)環(huán)境下提出的,并不存在匯率因素。隨著經(jīng)濟(jì)全球化的推進(jìn),匯率對(duì)一國國內(nèi)的影響越來越顯著。利率政策與匯率政策成為一國金融政策的重要組成部分,利率和匯率分別成為本國貨幣對(duì)內(nèi)和對(duì)外價(jià)格的兩種不同表現(xiàn)形式,是宏觀經(jīng)濟(jì)變量中金融信號(hào)的核心。 本文將著重于研究泰勒規(guī)則的各影響因素與中美實(shí)際匯率之間的波動(dòng)關(guān)系,以“前瞻性”泰勒規(guī)則為基本分析框架,納入中美實(shí)際匯率與貨幣供給量因素,將“前瞻性”泰勒規(guī)則轉(zhuǎn)化為開放經(jīng)濟(jì)條件下的“混合型”泰勒規(guī)則。最終通過無拋補(bǔ)利率平價(jià)理論,將單一的泰勒規(guī)則轉(zhuǎn)化為分析中美實(shí)際匯率與中美產(chǎn)出缺口、中美預(yù)期通貨膨脹率缺口以及貨幣增長率缺口之間的波動(dòng)關(guān)系。在實(shí)證分析中,通過構(gòu)造協(xié)整向量自回歸模型,分析中美實(shí)際匯率與產(chǎn)出缺口、通貨膨脹率缺口以及貨幣增長率缺口之間的協(xié)整關(guān)系。分析結(jié)果顯示,在長期關(guān)系中實(shí)證分析結(jié)果基本符合理論模型的結(jié)論,即產(chǎn)出缺口、預(yù)期通貨膨脹缺口與中美實(shí)際匯率負(fù)相關(guān),表示隨著我國匯率與利率市場化進(jìn)程的推進(jìn),中美實(shí)際匯率的波動(dòng)與國內(nèi)貨幣政策、產(chǎn)出水平以及價(jià)格水平的聯(lián)系越來越緊密。但是貨幣增長率缺口與中美實(shí)際匯率正相關(guān),與理論分析結(jié)果不相符。短期內(nèi)實(shí)證分析結(jié)果基本符合理論模型的結(jié)論,即產(chǎn)出缺口以及預(yù)期通脹與中美實(shí)際匯率負(fù)相關(guān)。但同時(shí)受我國具體國情的影響,我國的“混合型”泰勒規(guī)則與中美實(shí)際匯率的波動(dòng)也顯現(xiàn)出一些比較特殊的地方。文章的最后一部分,作者得出了相關(guān)結(jié)論并提出了相關(guān)政策含義。
[Abstract]:Since 1990s, interest rate has gradually become the main monetary intermediary for the central banks of some countries to carry out monetary policy operations. Taylor's "Taylor Rule" put forward by Taylor in 1993 has become the main theoretical basis for the central banks to carry out monetary operations.The original Taylor rule was put forward in a closed economic environment and there was no exchange rate factor.With the advancement of economic globalization, the exchange rate has a more and more significant impact on a country.Interest rate policy and exchange rate policy become an important part of a country's financial policy. Interest rate and exchange rate become two different forms of the internal and external price of the national currency, and are the core of the financial signal in the macroeconomic variables.This paper will focus on the study of the fluctuation relationship between the Taylor rule and the real exchange rate between China and the United States, taking the "forward-looking" Taylor rule as the basic analytical framework, including the real exchange rate and the money supply factor of China and the United States.The "forward-looking" Taylor rule is transformed into the "hybrid" Taylor rule in open economy.Finally, through the theory of no-subsidy interest rate parity, the single Taylor rule is transformed into the analysis of the fluctuation relationship between the real exchange rate of China and the United States and the output gap between China and the United States, the gap between the expected inflation rate between China and the United States and the gap in the rate of monetary growth.The results show that the empirical analysis results in the long term relationship basically accord with the conclusion of the theoretical model, that is, the output gap, the expected inflation gap and the real exchange rate of China and the United States are negatively correlated, indicating that with the advancement of the marketization process of the exchange rate and interest rate in China,The volatility of the real exchange rate between China and the United States is more and more closely related to domestic monetary policy, output level and price level.However, the gap of currency growth rate is positively related to the real exchange rate between China and the United States, which is inconsistent with the theoretical analysis.The results of the empirical analysis in the short term basically accord with the conclusion of the theoretical model, that is, the output gap and expected inflation are negatively correlated with the real exchange rate of China and the United States.But at the same time, under the influence of China's specific national conditions, the "mixed" Taylor rule and the fluctuation of the real exchange rate between China and the United States also show some special places.In the last part of the article, the author draws some conclusions and puts forward the relevant policy implications.
【學(xué)位授予單位】：華東師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.6;F224

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