【摘要】：20世紀90年代以來，隨著金融市場和金融創(chuàng)新的發(fā)展，西方部分發(fā)達國家將貨幣政策的調(diào)控方式逐步由數(shù)量型轉(zhuǎn)向以利率為中心的價格型調(diào)控；同時，為了解決貨幣政策的動態(tài)不一致問題，學者和貨幣當局逐步摒棄了“相機抉擇”的思想，主張實施規(guī)則型貨幣政策，在此背景下，泰勒規(guī)則成為一些國家中央銀行貨幣政策操作的主要原則。我國人民銀行在制定和實施貨幣政策時，存在獨立性較低、調(diào)控相對滯后等問題，帶有明顯的“相機抉擇”色彩。隨著經(jīng)濟和金融體制的發(fā)展與完善，“相機抉擇”的政策效果也越發(fā)不明顯。因此，實現(xiàn)貨幣政策向規(guī)則型轉(zhuǎn)變，是今后貨幣政策操作的必然選擇。此外，伴隨經(jīng)濟全球化以及資本市場迅猛發(fā)展，匯率及資產(chǎn)價格波動給各國的宏觀經(jīng)濟和社會發(fā)展帶了深刻的影響，受到越來越多國家貨幣當局的重視。因此，綜合考慮匯率和資產(chǎn)價格因素，構(gòu)建和選擇我國貨幣政策規(guī)則形式具有重要的理論和現(xiàn)實意義。 本文通過對貨幣政策規(guī)則理論的回顧分析，結(jié)合我國貨幣政策操作的實際情況，假設我國貨幣政策應按泰勒型規(guī)則行事；同時，為了考察匯率和資產(chǎn)價格對貨幣政策的影響，將兩者引入到泰勒規(guī)則模型中。本文設計了包含利率平滑、匯率、資產(chǎn)價格的泰勒型規(guī)則，以我國1996年1季度至2011年4季度的宏觀經(jīng)濟數(shù)據(jù)為樣本，采用H-P濾波、X12季節(jié)調(diào)整等方法對數(shù)據(jù)進行處理，再采用單位根檢驗、協(xié)整檢驗和廣義矩估計法，探究通貨膨脹率、產(chǎn)出缺口、匯率缺口和股票市場價格波動對利率的影響，通過對回歸結(jié)果進行動態(tài)模擬和比較分析，進而確定符合我國貨幣政策運行的泰勒規(guī)則形式，并以此為基礎為我國貨幣政策提供一些政策建議。 實證研究表明，利率調(diào)控不僅對產(chǎn)出缺口和通貨膨脹做出反應，，還要對匯率和股票價格做出反應；我國貨幣政策操作具有一定的規(guī)則性，且包含匯率的利率平滑型泰勒規(guī)則能夠很好地描述我國利率的運行趨勢，為我國的貨幣政策實施提供一個參考尺度；我國的利率調(diào)控對通貨膨脹、產(chǎn)出缺口和匯率缺口的反應系數(shù)較大，對股票價格的波動反應系數(shù)較小，說明人民銀行沒有過多的關注股票價格的波動；我國的貨幣政策是不穩(wěn)定貨幣政策，利率對于通脹的調(diào)節(jié)是自適應性，且具有很強的平滑特征�？傮w來看，隨著經(jīng)濟的逐步開放和金融體制改革的逐步深化，人民銀行還需要進一步深化利率和匯率的市場化改革，提高貨幣政策獨立性、責任性和透明度，從而提高貨幣政策的調(diào)控能力，保持經(jīng)濟的長期平穩(wěn)增長。
[Abstract]:Since the 1990s, with the development of financial market and financial innovation, some developed countries have gradually changed their monetary policy from quantitative to price-oriented with interest rate as the center. At the same time, in order to solve the dynamic inconsistency of monetary policy, scholars and monetary authorities have gradually abandoned the idea of "discretionary choice" and advocated the implementation of rule-based monetary policy. Taylor rule has become the main principle of monetary policy operation of central banks in some countries. When the people's Bank of China formulates and implements monetary policy, it has some problems, such as low independence, relatively lagging control and so on. With the development and improvement of economic and financial system, the policy effect of "discretion" is becoming more and more indistinct. Therefore, it is the inevitable choice of monetary policy operation in the future to realize the change from monetary policy to regular type. In addition, with the rapid development of economic globalization and capital market, the fluctuation of exchange rate and asset price has a profound impact on the macroeconomic and social development of various countries, and has been paid more and more attention by the monetary authorities of more and more countries. Therefore, it is of great theoretical and practical significance to consider the factors of exchange rate and asset price and to construct and select the form of monetary policy rules. Based on the review and analysis of the theory of monetary policy rules and the actual situation of monetary policy operation in China, this paper assumes that China's monetary policy should act according to Taylor's rule. At the same time, in order to investigate the influence of exchange rate and asset price on monetary policy, we introduce them into Taylor rule model. In this paper, Taylor rules including interest rate smoothing, exchange rate and asset price are designed. Taking the macroeconomic data from the first quarter of 1996 to the fourth quarter of 2011 as a sample, H-P filter and X12 seasonal adjustment are used to process the data. Then we use the unit root test, cointegration test and generalized moment estimation method to explore the effect of inflation rate, output gap, exchange rate gap and stock market price fluctuation on interest rate. Through the dynamic simulation and comparative analysis of the regression results, we use the method of unit root test, cointegration test and generalized moment estimation. Furthermore, the Taylor rule which accords with the operation of monetary policy in China is determined, and some policy suggestions are provided for China's monetary policy on this basis. Empirical research shows that interest rate regulation not only responds to output gap and inflation, but also to exchange rate and stock price. The operation of monetary policy in our country has certain regularity, and the smooth Taylor rule of interest rate including exchange rate can well describe the trend of interest rate in our country and provide a reference scale for the implementation of monetary policy in our country. The response coefficient of interest rate regulation to inflation, output gap and exchange rate gap is larger than that to stock price fluctuation, which indicates that the people's Bank of China has not paid too much attention to the fluctuation of stock price. The monetary policy of our country is unstable monetary policy, the interest rate adjusts to the inflation is adaptive, and has the very strong smooth characteristic. In general, with the gradual opening up of the economy and the gradual deepening of the reform of the financial system, the people's Bank of China still needs to further deepen the market-oriented reform of interest rates and exchange rates, so as to enhance the independence, accountability and transparency of monetary policy. In order to improve the ability of monetary policy regulation and control, maintain long-term steady growth of the economy.
【學位授予單位】：湘潭大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.0;F822.0

【參考文獻】

相關期刊論文 前10條

1 王勝;鄒恒甫;;開放經(jīng)濟中的貨幣政策[J];管理世界;2006年02期

2 余元全;余元玲;;股價與我國貨幣政策反應:基于泰勒規(guī)則的實證研究[J];經(jīng)濟評論;2008年04期

3 謝平,羅雄;泰勒規(guī)則及其在中國貨幣政策中的檢驗[J];經(jīng)濟研究;2002年03期

4 孫華妤,馬躍;中國貨幣政策與股票市場的關系[J];經(jīng)濟研究;2003年07期

5 陸軍,鐘丹;泰勒規(guī)則在中國的協(xié)整檢驗[J];經(jīng)濟研究;2003年08期

6 呂江林;我國的貨幣政策是否應對股價變動做出反應?[J];經(jīng)濟研究;2005年03期

7 張屹山;張代強;;前瞻性貨幣政策反應函數(shù)在我國貨幣政策中的檢驗[J];經(jīng)濟研究;2007年03期

8 張屹山;張代強;;包含貨幣因素的利率規(guī)則及其在我國的實證檢驗[J];經(jīng)濟研究;2008年12期

9 李成;王彬;馬文濤;;資產(chǎn)價格、匯率波動與最優(yōu)利率規(guī)則[J];經(jīng)濟研究;2010年03期

10 曹元芳;吳超;王若平;;資產(chǎn)價格波動與貨幣政策選擇的思考[J];華北金融;2008年11期

相關博士學位論文 前1條

1 韋邦榮;貨幣政策規(guī)則理論及其在中國的應用[D];遼寧大學;2010年

本文編號：2403085