【摘要】：自泰勒提出泰勒規(guī)則以來,這個簡單的線性規(guī)則已經(jīng)成為研究中央銀行貨幣政策的重要工具。通過泰勒規(guī)則的估計公眾能夠得知央行在宏觀調(diào)控時賦予通貨膨脹和產(chǎn)出缺口的權(quán)重,這提高了貨幣政策的透明度,有利于央行引導(dǎo)公眾預(yù)期,從而可以達(dá)到更好的政策調(diào)控效果。然而,隨著金融自由化程度不斷加深,金融市場波動給宏觀經(jīng)濟(jì)運(yùn)行帶來極大風(fēng)險,美國次貸危機(jī)讓眾多央行意識到在進(jìn)行宏觀調(diào)控時必須重視引導(dǎo)和干預(yù)金融市場,以降低經(jīng)濟(jì)出現(xiàn)大波動的可能。在這種背景下,學(xué)者們紛紛就能否將金融形勢指數(shù)(FCI)納入貨幣政策制定框架進(jìn)行研究,對于泰勒規(guī)則的研究來說,把FCI加入利率反應(yīng)函數(shù)成為一個新的研究方向。除此以外,由于經(jīng)濟(jì)本身的變化具有非線性特征,且央行在不同經(jīng)濟(jì)形勢下的政策行為往往是非對稱的,在這種情況下利用非線性泰勒規(guī)則刻畫央行的政策行為是經(jīng)驗合意的。本文對傳統(tǒng)泰勒規(guī)則和改進(jìn)的泰勒規(guī)則進(jìn)行了綜合研究�？紤]到我國金融市場的重要性日益提升,本文首先構(gòu)建了一個包含利率、匯率、房價、股價和貨幣供應(yīng)量的金融形勢指數(shù),并對FCI的信息預(yù)測性進(jìn)行檢驗,發(fā)現(xiàn)我國FCI可以較好的預(yù)測未來通脹,但對產(chǎn)出增長的預(yù)測性較差。之后我們從兩個角度考察了FCI在我國貨幣政策中的應(yīng)用情況：(1)在對線性泰勒規(guī)則進(jìn)行矩估計時,將FCI加入工具變量集合可以顯著提高泰勒規(guī)則的擬合效果；(2)將FCI直接加入利率反應(yīng)函數(shù)的實證表明短期利率對FCI的反應(yīng)系數(shù)為正,利率調(diào)整有助于穩(wěn)定金融市場,將FCI加入泰勒規(guī)則具有可行性。最后,本文構(gòu)建了基于LSTR2模型的我國非線性泰勒規(guī)則。通過實證研究,我們發(fā)現(xiàn)了央行有一個通貨膨脹反應(yīng)區(qū)間：在區(qū)間內(nèi),央行主要以線性操作為主；當(dāng)通脹超過目標(biāo)區(qū)間,央行政策行為的非線性特征明顯�？傮w來看,非線性泰勒規(guī)則不僅可以刻畫出大部分時間里央行政策的線性調(diào)整,而且能夠捕捉到央行的時變行為,且擬合優(yōu)度更高超過0.9,因此更加符合現(xiàn)實情況。本文的主要政策建議是央行應(yīng)當(dāng)構(gòu)建一個監(jiān)測金融市場松緊程度的金融形勢指數(shù),同時繼續(xù)推進(jìn)利率市場化,為將來貨幣政策調(diào)控向價格型工具規(guī)則轉(zhuǎn)型奠定基礎(chǔ)。
[Abstract]:Since Taylor put forward the Taylor rule, this simple linear rule has become an important tool to study the monetary policy of the central bank. By estimating the Taylor rule, the public can know the weight that the central bank gives to inflation and output gaps in macroeconomic regulation, which enhances the transparency of monetary policy and helps the central bank to guide public expectations. In order to achieve better policy control effect. However, with the deepening of financial liberalization, the fluctuation of financial market brings great risks to the macro-economic operation. The subprime mortgage crisis in the United States has made many central banks realize that attention must be paid to guiding and intervening in the financial market when carrying out macro-control. To reduce the possibility of major fluctuations in the economy. Under this background, scholars have studied whether the financial situation index (FCI) can be incorporated into the framework of monetary policy formulation. For the study of Taylor's rule, adding FCI to the interest rate response function has become a new research direction. In addition, because the change of economy itself is nonlinear, and the policy behavior of central bank in different economic situations is often asymmetric, it is empirically desirable to use nonlinear Taylor rule to describe the policy behavior of central bank. In this paper, the traditional Taylor rule and the improved Taylor rule are comprehensively studied. Considering the increasing importance of China's financial market, this paper first constructs a financial situation index including interest rate, exchange rate, house price, stock price and money supply, and tests the information predictability of FCI. It is found that FCI can predict inflation in the future, but not in output growth. Then we investigate the application of FCI in China's monetary policy from two angles: (1) when estimating the moment of linear Taylor rule, adding FCI to the set of tool variables can significantly improve the fitting effect of Taylor rule; (2) the positive reaction coefficient of short-term interest rate to FCI is positive by adding FCI directly into the interest rate response function, and the adjustment of interest rate is helpful to stabilize the financial market, and it is feasible to add FCI to the Taylor rule. Finally, the nonlinear Taylor rule based on LSTR2 model is constructed in this paper. Through empirical research, we find that the central bank has an inflation response interval: in the range, the central bank mainly operates linearly, and when inflation exceeds the target range, the nonlinear characteristics of the central bank's policy behavior are obvious. In general, the nonlinear Taylor rule can not only depict the linear adjustment of central bank policy most of the time, but also capture the time-varying behavior of the central bank, and the goodness of fit is higher than 0.9, so it is more in line with the reality. The main policy suggestion of this paper is that the central bank should construct a financial situation index to monitor the degree of financial market tightness, and at the same time continue to promote the marketization of interest rate, which will lay the foundation for the future transition of monetary policy regulation to price-based instrument rules.
【學(xué)位授予單位】：南京財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832

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