發(fā)布時(shí)間：2019-01-06 17:14

【摘要】：20世紀(jì)90年代以來(lái)，隨著金融市場(chǎng)和金融創(chuàng)新的發(fā)展，西方部分發(fā)達(dá)國(guó)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(jià)格型調(diào)控；同時(shí)，為了解決貨幣政策的動(dòng)態(tài)不一致問(wèn)題，學(xué)者和貨幣當(dāng)局逐步摒棄了“相機(jī)抉擇”的思想，主張實(shí)施規(guī)則型貨幣政策，在此背景下，泰勒規(guī)則成為一些國(guó)家中央銀行貨幣政策操作的主要原則。我國(guó)人民銀行在制定和實(shí)施貨幣政策時(shí)，存在獨(dú)立性較低、調(diào)控相對(duì)滯后等問(wèn)題，帶有明顯的“相機(jī)抉擇”色彩。隨著經(jīng)濟(jì)和金融體制的發(fā)展與完善，“相機(jī)抉擇”的政策效果也越發(fā)不明顯。因此，實(shí)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(jì)全球化以及資本市場(chǎng)迅猛發(fā)展，匯率及資產(chǎn)價(jià)格波動(dòng)給各國(guó)的宏觀經(jīng)濟(jì)和社會(huì)發(fā)展帶了深刻的影響，受到越來(lái)越多國(guó)家貨幣當(dāng)局的重視。因此，綜合考慮匯率和資產(chǎn)價(jià)格因素，構(gòu)建和選擇我國(guó)貨幣政策規(guī)則形式具有重要的理論和現(xiàn)實(shí)意義。 本文通過(guò)對(duì)貨幣政策規(guī)則理論的回顧分析，結(jié)合我國(guó)貨幣政策操作的實(shí)際情況，假設(shè)我國(guó)貨幣政策應(yīng)按泰勒型規(guī)則行事；同時(shí)，為了考察匯率和資產(chǎn)價(jià)格對(duì)貨幣政策的影響，將兩者引入到泰勒規(guī)則模型中。本文設(shè)計(jì)了包含利率平滑、匯率、資產(chǎn)價(jià)格的泰勒型規(guī)則，以我國(guó)1996年1季度至2011年4季度的宏觀經(jīng)濟(jì)數(shù)據(jù)為樣本，采用H-P濾波、X12季節(jié)調(diào)整等方法對(duì)數(shù)據(jù)進(jìn)行處理，再采用單位根檢驗(yàn)、協(xié)整檢驗(yàn)和廣義矩估計(jì)法，探究通貨膨脹率、產(chǎn)出缺口、匯率缺口和股票市場(chǎng)價(jià)格波動(dòng)對(duì)利率的影響，通過(guò)對(duì)回歸結(jié)果進(jìn)行動(dòng)態(tài)模擬和比較分析，進(jìn)而確定符合我國(guó)貨幣政策運(yùn)行的泰勒規(guī)則形式，并以此為基礎(chǔ)為我國(guó)貨幣政策提供一些政策建議。 實(shí)證研究表明，利率調(diào)控不僅對(duì)產(chǎn)出缺口和通貨膨脹做出反應(yīng)，，還要對(duì)匯率和股票價(jià)格做出反應(yīng)；我國(guó)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(guó)利率的運(yùn)行趨勢(shì)，為我國(guó)的貨幣政策實(shí)施提供一個(gè)參考尺度；我國(guó)的利率調(diào)控對(duì)通貨膨脹、產(chǎn)出缺口和匯率缺口的反應(yīng)系數(shù)較大，對(duì)股票價(jià)格的波動(dòng)反應(yīng)系數(shù)較小，說(shuō)明人民銀行沒(méi)有過(guò)多的關(guān)注股票價(jià)格的波動(dòng)；我國(guó)的貨幣政策是不穩(wěn)定貨幣政策，利率對(duì)于通脹的調(diào)節(jié)是自適應(yīng)性，且具有很強(qiáng)的平滑特征�？傮w來(lái)看，隨著經(jīng)濟(jì)的逐步開(kāi)放和金融體制改革的逐步深化，人民銀行還需要進(jìn)一步深化利率和匯率的市場(chǎng)化改革，提高貨幣政策獨(dú)立性、責(zé)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(jì)的長(zhǎng)期平穩(wěn)增長(zhǎng)。
[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(xué)位授予單位】：湘潭大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.0;F822.0

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