本文選題：泰勒規(guī)則　切入點(diǎn)：Markov機(jī)制轉(zhuǎn)換DSGE模型　出處：《華中科技大學(xué)》2012年碩士論文

【摘要】：央行進(jìn)行貨幣調(diào)控遵循一定的規(guī)則，而不是相機(jī)抉擇，既有利于抑制物價(jià)的過快上漲，同時(shí)有利于經(jīng)濟(jì)的平穩(wěn)快速增長(zhǎng)。目前各國(guó)央行普遍采用的是利率規(guī)則和貨幣供應(yīng)量規(guī)則，也就是利率與貨幣供應(yīng)量隨著通脹缺口與產(chǎn)出缺口而調(diào)整。比較典型的有泰勒規(guī)則與麥克勒姆規(guī)則。本文以泰勒規(guī)則為例，認(rèn)為傳統(tǒng)的貨幣規(guī)則暗含的假設(shè)是央行的利率調(diào)整是一個(gè)線性的函數(shù)，這與人們的經(jīng)濟(jì)觀察不相符合。相反，央行根據(jù)通脹缺口與產(chǎn)出缺口進(jìn)行調(diào)整并不是穩(wěn)定不變的，而是呈現(xiàn)一定的非線性特征和結(jié)構(gòu)性變化。通過非線性的貨幣政策方程描述中國(guó)的貨幣政策，有利于市場(chǎng)主體形成正確的政策預(yù)期，也有利于央行更好的發(fā)揮宏觀經(jīng)濟(jì)調(diào)控的作用。本文假設(shè)兩種不同的新凱恩斯DSGE模型。一種是將貨幣政策設(shè)為線性的泰勒規(guī)則，另一種則將其設(shè)為Markov機(jī)制轉(zhuǎn)換的。在估計(jì)后一種模型時(shí)，我們將轉(zhuǎn)移概率嵌入到機(jī)制轉(zhuǎn)換模型當(dāng)中，從而巧妙的將非線性的理性預(yù)期方程轉(zhuǎn)化為線性的理性預(yù)期方程，并運(yùn)用基于隨機(jī)游走M(jìn)H抽樣的MCMC方法進(jìn)行參數(shù)估計(jì)。同時(shí)，，利用邊緣似然函數(shù)證明后者有更優(yōu)的數(shù)據(jù)擬合度，說明我國(guó)的貨幣政策存在兩種不同的機(jī)制，即存在“積極”與“消極”兩種狀態(tài)。
[Abstract]:The central bank's monetary regulation follows certain rules, not the discretion. It is not only conducive to curbing the excessive price rise, but also conducive to steady and rapid economic growth.At present, central banks generally adopt interest rate rules and money supply rules, that is, interest rates and money supply adjust with inflation gap and output gap.The typical ones are Taylor rule and McLum rule.Taking the Taylor rule as an example, this paper holds that the implicit assumption of the traditional monetary rules is that the interest rate adjustment of the central bank is a linear function, which is inconsistent with the economic observation.On the contrary, the central bank's adjustment based on the inflation gap and output gap is not stable, but shows certain nonlinear characteristics and structural changes.Describing China's monetary policy through nonlinear monetary policy equation is conducive to the formation of correct policy expectations by the market main body, and also to the central bank's role in macroeconomic regulation and control.This paper assumes two different new Keynesian DSGE models.One is to set monetary policy as linear Taylor rule, the other is to set it as Markov mechanism conversion.In estimating the latter model, we embed the transition probability into the mechanism transformation model, so that the nonlinear rational expectation equation can be transformed into the linear rational expectation equation.The MCMC method based on random walk MH sampling is used to estimate the parameters.At the same time, the edge likelihood function is used to prove that the latter has better data fit degree, which shows that there are two different mechanisms of monetary policy in China, that is, "positive" and "negative".
【學(xué)位授予單位】：華中科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F224;F822.0

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