基于STR模型的泰勒規(guī)則非線性建模與應(yīng)用
發(fā)布時(shí)間：2018-07-31 15:57
【摘要】：貨幣政策,是中央銀行為實(shí)現(xiàn)既定的經(jīng)濟(jì)目標(biāo)運(yùn)用各種工具調(diào)節(jié)貨幣供給和利率,進(jìn)而影響宏觀經(jīng)濟(jì)的方針和措施的總和。通常來看,各市場(chǎng)經(jīng)濟(jì)國家的貨幣政策存在過兩種類型：相機(jī)抉擇型和規(guī)則型。一項(xiàng)貨幣政策規(guī)則就是描述中央銀行是如何根據(jù)GDP或通貨膨脹等經(jīng)濟(jì)變量相應(yīng)設(shè)定貨幣工具或設(shè)定利率函數(shù),以實(shí)現(xiàn)保持低而穩(wěn)定的通貨膨脹以及較小的GDP波動(dòng)的貨幣政策最終目標(biāo)。根據(jù)在貨幣政策實(shí)施中的不同作用層次,貨幣政策規(guī)則可分為目標(biāo)規(guī)則和工具規(guī)則。目標(biāo)規(guī)則是指貨幣政策中間目標(biāo)的確定；工具規(guī)則是指中央銀行貨幣政策工具的操作規(guī)范。 泰勒規(guī)則是一個(gè)簡單的貨幣政策工具規(guī)則,它對(duì)貨幣政策要實(shí)現(xiàn)的兩個(gè)目標(biāo)進(jìn)行了概括,即保證經(jīng)濟(jì)實(shí)現(xiàn)最大化和可持續(xù)增長,同時(shí)維持低而穩(wěn)定的通貨膨脹。這就是線性的泰勒規(guī)則或線性的利率規(guī)則。 然而線性的泰勒規(guī)則在解決貨幣政策操作工具使用中往往宏觀調(diào)控效應(yīng)滯后,彈性小。因此,各國專家學(xué)者旨在研究探索能切合本國實(shí)際情況的泰勒規(guī)則指導(dǎo)本國的宏觀調(diào)控效應(yīng)和利率機(jī)制慣性問題。Levin, WielandWilliam (1998)分析美國貨幣政策時(shí)發(fā)現(xiàn)滯后利率的反應(yīng)系數(shù)很大,說明美聯(lián)儲(chǔ)利率機(jī)制具有顯著的慣性。米什金(Mishkin,1999)對(duì)泰勒規(guī)則進(jìn)行了擴(kuò)展,在泰勒規(guī)則中加入利率平滑因子。Clarida, Gali and Gertler(1998,2000)建立了前瞻性的貨幣政策反應(yīng)函數(shù),估算結(jié)果表明沃克爾-格林斯潘時(shí)期的利率政策比之前的利率政策對(duì)預(yù)期通脹的反應(yīng)更敏感。 以上研究大多是對(duì)線性泰勒規(guī)則進(jìn)行修正和拓展,而研究和探討泰勒規(guī)則非線性問題卻少之甚少。由于中國貨幣政策操作和實(shí)施時(shí)間較短,也就十幾年時(shí)間,因此,在金融宏觀調(diào)控操作過程中調(diào)控效應(yīng)差、利率彈性低等問題始終沒有得到有效解決,因此,專家學(xué)者在這方面研究和探討一直是熱點(diǎn)話題。又由于中國已進(jìn)入市場(chǎng)經(jīng)濟(jì)多年,金融宏觀調(diào)控手段得到廣泛應(yīng)用,各宏觀經(jīng)濟(jì)變量互相之間交織在一起,形成復(fù)雜系統(tǒng),泰勒規(guī)則中類似反應(yīng)函數(shù)和利率機(jī)制慣性等問題用線性手段根本無法解決,應(yīng)考慮非線性手段和方法來解決,這是一個(gè)處理復(fù)雜系統(tǒng)的有效工具,以達(dá)到中國泰勒規(guī)則應(yīng)用靈活性的目的。由于研究方法定量的局限性,因此,泰勒規(guī)則非線性問題研究論文很是少見。 本文分析了非線性泰勒規(guī)則的引源、適用條件及成因,明晰了非線性泰勒規(guī)則的理論脈絡(luò),同時(shí)對(duì)非線性時(shí)間序列計(jì)量模型進(jìn)行了選擇和比較,給出了平滑機(jī)制轉(zhuǎn)換(STR)模型,在此基礎(chǔ)上進(jìn)行了優(yōu)化和改進(jìn),建立了泰勒規(guī)則非線性STR的模型,采用了中國從1996年至2011年近64個(gè)季度GDP、同業(yè)拆借利率、CPI及上證綜合指數(shù)(參考變量)等宏觀經(jīng)濟(jì)變量對(duì)論文所建模型進(jìn)行了實(shí)證檢驗(yàn),研究同時(shí)也證明了該模型的合理性。論文對(duì)本文所構(gòu)造模型與線性泰勒規(guī)則模型進(jìn)行對(duì)比,通過線性和非線性模型得到的利率值和實(shí)際利率值的比較證明了非線性模型的有效性、正確性,并給出相關(guān)政策建議。 論文分七章展開：第1章緒論；第2章泰勒規(guī)則及STR模型等相關(guān)備用知識(shí)；第3章非線性泰勒規(guī)則的引源、適用條件及其非線性的原因分析；第4章非線性時(shí)間序列計(jì)量模型的選擇；第5章泰勒規(guī)則非線性STR模型的建立；第6章泰勒規(guī)則非線性STR模型的應(yīng)用；第7章結(jié)束語。
[Abstract]:Monetary policy is the sum of the policies and measures that the central bank uses various tools to regulate the money supply and interest rate and then affect the macro-economy. Generally speaking, there are two types of monetary policy in each market economy country: discretionary and regular. A monetary policy rule is the description of the central government. How do banks set monetary instruments or set interest rates according to the economic variables such as GDP or inflation to achieve the ultimate goal of monetary policy, which maintains low and stable inflation and small GDP fluctuations. According to the different levels of action in the implementation of monetary policy, the rules of currency policy can be divided into target rules and tool rules. Target rules refer to the determination of intermediate objectives of monetary policy, and instrumental rules refer to the operational norms of monetary policy instruments of the central bank.
The Taylor rule is a simple rule of monetary policy tool. It generalizes the two objectives of monetary policy realization, that is to ensure that the economic realization is maximized and sustainable, while maintaining low and stable inflation. This is the linear Taylor rule or linear profit rate rule.
However, the linear Taylor rule is often lagging behind in the use of monetary policy operating tools, and the flexibility is small. Therefore, experts and scholars of various countries aim to explore the macroeconomic regulation effect and interest rate mechanism inertia of the Taylor rules that can be combined with the actual situation of the country.Levin, WielandWilliam (1998) analysis of American goods. The reaction coefficient of the lagging interest rate found in the currency policy is very large, indicating that the Fed interest rate mechanism has significant inertia. Taylor (Mishkin, 1999) has expanded the Taylor rule, added the interest rate smoothing factor.Clarida to the Taylor rule, and Gali and Gertler (19982000) to establish a forward-looking monetary policy response function. The estimation results show that The interest rate policy in the Volcker Greenspan era is more sensitive than the previous interest rate policy to the expected inflation.
Most of the above studies are the correction and expansion of the linear Taylor rule, while the study and discussion of the nonlinear problem of Taylor rule are very few. Because of the short operation and implementation time of China's monetary policy, it is also more than ten years. Therefore, the problem of adjustment and control in the operation of financial macro-control and the low rate of interest rate have never been obtained. To solve the problem effectively, the experts and scholars have been a hot topic in this field. And because China has entered the market economy for many years, the financial macro-control means have been widely used. The macroeconomic variables are interwoven together to form a complex system, and the Taylor rules are similar to the reaction function and the interest rate mechanism. Linear means can not be solved at all. Nonlinear means and methods should be considered. This is an effective tool to deal with complex systems to achieve the purpose of the flexibility of the application of Taylor rules in China. Because of the limitations of the quantitative research method, the research papers on the nonlinear problem of Taylor rule are very rare.
In this paper, the origin, conditions and causes of nonlinear Taylor rule are analyzed. The theoretical context of nonlinear Taylor rule is clarified. At the same time, the nonlinear time series model is selected and compared, and the smooth mechanism transformation (STR) model is given. On this basis, the model is optimized and improved, and the model of the Taylor rule nonlinear STR is established. By using the macroeconomic variables such as GDP, interbank interest rate, CPI and the Shanghai Composite Index (reference variable) from 1996 to 2011, the model is proved to be reasonable. The paper compares the model with the linear Taylor rule model in this paper. The comparison between the interest rate value and the real interest rate value obtained by the nonlinear and nonlinear models proves the validity and correctness of the nonlinear model, and gives relevant policy recommendations.
The thesis is divided into seven chapters: the first chapter introduction; the second chapter Taylor rules and the STR model and other related spare knowledge; the third chapter the source of the nonlinear Taylor rule, the application conditions and the nonlinear reason analysis; the fourth chapter nonlinear time series model selection; the fifth chapter Taylor rule non linear STR model establishment; the sixth chapter Taylor rule. The application of the nonlinear STR model; the end of the seventh chapter.
【學(xué)位授予單位】：東北大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F820;F224
本文編號(hào)：2156075
[Abstract]:Monetary policy is the sum of the policies and measures that the central bank uses various tools to regulate the money supply and interest rate and then affect the macro-economy. Generally speaking, there are two types of monetary policy in each market economy country: discretionary and regular. A monetary policy rule is the description of the central government. How do banks set monetary instruments or set interest rates according to the economic variables such as GDP or inflation to achieve the ultimate goal of monetary policy, which maintains low and stable inflation and small GDP fluctuations. According to the different levels of action in the implementation of monetary policy, the rules of currency policy can be divided into target rules and tool rules. Target rules refer to the determination of intermediate objectives of monetary policy, and instrumental rules refer to the operational norms of monetary policy instruments of the central bank.
The Taylor rule is a simple rule of monetary policy tool. It generalizes the two objectives of monetary policy realization, that is to ensure that the economic realization is maximized and sustainable, while maintaining low and stable inflation. This is the linear Taylor rule or linear profit rate rule.
However, the linear Taylor rule is often lagging behind in the use of monetary policy operating tools, and the flexibility is small. Therefore, experts and scholars of various countries aim to explore the macroeconomic regulation effect and interest rate mechanism inertia of the Taylor rules that can be combined with the actual situation of the country.Levin, WielandWilliam (1998) analysis of American goods. The reaction coefficient of the lagging interest rate found in the currency policy is very large, indicating that the Fed interest rate mechanism has significant inertia. Taylor (Mishkin, 1999) has expanded the Taylor rule, added the interest rate smoothing factor.Clarida to the Taylor rule, and Gali and Gertler (19982000) to establish a forward-looking monetary policy response function. The estimation results show that The interest rate policy in the Volcker Greenspan era is more sensitive than the previous interest rate policy to the expected inflation.
Most of the above studies are the correction and expansion of the linear Taylor rule, while the study and discussion of the nonlinear problem of Taylor rule are very few. Because of the short operation and implementation time of China's monetary policy, it is also more than ten years. Therefore, the problem of adjustment and control in the operation of financial macro-control and the low rate of interest rate have never been obtained. To solve the problem effectively, the experts and scholars have been a hot topic in this field. And because China has entered the market economy for many years, the financial macro-control means have been widely used. The macroeconomic variables are interwoven together to form a complex system, and the Taylor rules are similar to the reaction function and the interest rate mechanism. Linear means can not be solved at all. Nonlinear means and methods should be considered. This is an effective tool to deal with complex systems to achieve the purpose of the flexibility of the application of Taylor rules in China. Because of the limitations of the quantitative research method, the research papers on the nonlinear problem of Taylor rule are very rare.
In this paper, the origin, conditions and causes of nonlinear Taylor rule are analyzed. The theoretical context of nonlinear Taylor rule is clarified. At the same time, the nonlinear time series model is selected and compared, and the smooth mechanism transformation (STR) model is given. On this basis, the model is optimized and improved, and the model of the Taylor rule nonlinear STR is established. By using the macroeconomic variables such as GDP, interbank interest rate, CPI and the Shanghai Composite Index (reference variable) from 1996 to 2011, the model is proved to be reasonable. The paper compares the model with the linear Taylor rule model in this paper. The comparison between the interest rate value and the real interest rate value obtained by the nonlinear and nonlinear models proves the validity and correctness of the nonlinear model, and gives relevant policy recommendations.
The thesis is divided into seven chapters: the first chapter introduction; the second chapter Taylor rules and the STR model and other related spare knowledge; the third chapter the source of the nonlinear Taylor rule, the application conditions and the nonlinear reason analysis; the fourth chapter nonlinear time series model selection; the fifth chapter Taylor rule non linear STR model establishment; the sixth chapter Taylor rule. The application of the nonlinear STR model; the end of the seventh chapter.
【學(xué)位授予單位】：東北大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F820;F224
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