本文選題：泰勒規(guī)則　切入點：貨幣政策規(guī)則　出處：《遼寧大學》2016年博士論文

【摘要】：近年來,中國人民銀行已經(jīng)連續(xù)幾次擴大存款利率的浮動空間,加快中國利率市場化的進程。各商業(yè)銀行可以根據(jù)自己的實際情況,在更大范圍內自主確定其存款利率,表明金融主體自主定價進一步放開。然而,這不能表明中國利率市場化已經(jīng)完成。利率市場化是指金融市場上的主體機構在政策基準利率的指導下,根據(jù)市場的需求狀況完全自主定價,自負盈虧。如今,中國的政策基準利率仍不是由市場決定的,且不同利率之間的關聯(lián)并不顯著,人民銀行執(zhí)行的是“雙軌制”利率政策,沒有根據(jù)市場化利率的行為特征來確定基準利率。調控行為還保留較多的行政成分。放開存款利率上限只是利率市場化過程中重要的一步,不能代表利率市場化的結束。中國的利率市場化仍然任重而道遠。利率市場化改革仍然是經(jīng)濟改革的一項重要內容。因此,在此形勢下,進一步研究中國市場化利率的行為規(guī)則,可以為深化利率市場化改革提供堅實的理論基礎。自中國進行利率市場化改革以來,對于中國利率泰勒規(guī)則形式的研究相繼展開。近些年來,雖然我國學者對泰勒規(guī)則的研究已經(jīng)比較全面,但研究結論仍然存在矛盾。文獻研究主要是采用中國市場化程度較高的同業(yè)拆借利率做為研究對象,討論泰勒規(guī)則在中國的適用性問題。謝平、羅雄(2002),陸軍、鐘丹(2003)和王建國(2006)認為,中國市場化的同業(yè)拆借利率雖然滿足泰勒規(guī)則的形式,但是對中國經(jīng)濟而言,它是不穩(wěn)定的政策規(guī)則。卞志村(2006),趙進文、范繼濤(2007),楊國中(2009),徐亞平(2009),石柱鮮(2009),萬曉莉(2013),袁野(2014)的研究認為,中國市場化的同業(yè)拆借利率,不僅滿足泰勒規(guī)則形式,而且是一個穩(wěn)定的政策規(guī)則。楊柳(2013)認為中國的貨幣政策不滿足泰勒規(guī)則而滿足麥克勞林規(guī)則。本文主要針對以前文獻研究結論中表現(xiàn)出的相互矛盾的問題提出合理解釋,并對中國現(xiàn)行“雙軌制”利率政策的有效性提出評價觀點。泰勒規(guī)則在中國適用性問題的研究結論出現(xiàn)矛盾主要是由兩個原因造成的。第一個原因是文獻研究中對產(chǎn)出缺口的計量與數(shù)據(jù)的處理方法。另一個原因是文獻研究的對象采用的是市場化的同業(yè)拆借利率,但是同業(yè)拆借利率是經(jīng)濟的內生變量,并不能代表中國的政策基準利率,先前文獻研究的結論并不能真實評價中國現(xiàn)階段實際中實行的貨幣政策的效果。文獻研究中互相矛盾的結論反映出兩個層面的問題。首先,泰勒規(guī)則在中國的適用性問題,就是中國市場均衡利率是否可以被描述成穩(wěn)定的泰勒規(guī)則形式。其次,如何來評價中國現(xiàn)階段的“雙軌制”利率政策的有效性問題。泰勒規(guī)則具有較好的穩(wěn)定性質,如果中國政策基準利率不符合泰勒規(guī)則的某種形式,那么中國現(xiàn)階段的利率政策可能不是最優(yōu)的,或不是有效的。但問題的關鍵是中國的利率政策是否必須符合泰勒規(guī)則?事實上,文獻研究中互相矛盾的結論表明以往的文獻研究并沒有很好的解決這兩個層面的問題。因此,通過對政策規(guī)則演進脈落的梳理發(fā)現(xiàn)泰勒規(guī)則是總結以往政策的優(yōu)點后形成的一個兼顧長、短期調節(jié)作用的可操作的政策規(guī)則。文章在Clarda et al. (1999)和Woodford(2003)的研究基礎上,將貨幣效用函數(shù)、壟斷競爭商品市場假設和價格粘性結合起來,形成簡單的線性新凱恩斯模型,用最優(yōu)化方法證明最優(yōu)的政策規(guī)則是泰勒規(guī)則,并用中國實際數(shù)據(jù)實證比較泰勒規(guī)則和其他政策規(guī)則對中國經(jīng)濟的穩(wěn)定效果。然后,針對文獻研究中突顯的產(chǎn)出缺口計量與數(shù)據(jù)處理方法的問題,采用狀態(tài)空間模型和理性預期的方法,重新檢驗了泰勒規(guī)則在中國的適用性問題。但是,所得的結論仍然受到采用同業(yè)拆借利率的影響,問題沒有得到很好的解決。因此,根據(jù)這個問題,選擇了中國的政策基準利率——信貸利率,為研究對象,對中國的“雙軌制”利率政策進行有效的評價。研究得到的主要結論如下：1.泰勒規(guī)則是貨幣政策在實踐中逐漸演化形成,能兼顧長,短期調整的政策規(guī)則,并且該規(guī)則能有效緩沖隨機沖擊對經(jīng)濟的影響。如果實證檢驗表明政策基準利率滿足泰勒規(guī)則形式,則表明該貨幣政策有效。這個結論可以為中國的利率市場化改革提供有意義的參考。2.中國執(zhí)行的是“雙軌制”利率政策。評價中國利率政策效果應該以中國實際信貸利率為研究對象,而不是以中國市場化程度最高的同業(yè)拆借利率為研究對象。文獻研究中得出了互相矛盾的結論的原因在于研究對象的混淆。3.實證檢驗泰勒規(guī)則形式時,通常受到產(chǎn)出缺口計量問題的困擾。用趨勢分解意義上的產(chǎn)出缺口代替理論上產(chǎn)出缺口來檢驗泰勒規(guī)則形式時存在一個理論“陷阱”。這個問題以往文獻沒有注意到。趨勢分解意義上的產(chǎn)出缺口實際上是經(jīng)濟隨即沖擊形成的,理論上與利率不相關。因此,應該謹慎的對待,使用趨勢分解意義上的產(chǎn)出缺口檢驗泰勒規(guī)則得出的結論。4.受產(chǎn)出缺口計量問題影響,本文認為,無法得出中國實際信貸的泰勒規(guī)則形式。由計量檢驗得到的中國實際信貸利率的泰勒規(guī)則形式,從理論上,并不能說明中國的實際信貸的是否遵循泰勒規(guī)則形式,同理,實證檢驗否定中國實際信貸利率的泰勒規(guī)則形式,也不能從根本上否定中國的實際信貸可能遵循泰勒規(guī)則形式。所以評價中國“雙軌制”的利率政策的有效性不能采用泰勒規(guī)則的標準。5.評價中國的貨幣政策(包含“雙軌制”的利率政策)的有效性,最簡潔的方式,就是實證檢驗貨幣政策的作用機制。本文用脈沖響應分析實證地檢驗了中國貨幣政策的有效性,結果表明,中國的貨幣政策能夠有效的促進經(jīng)濟穩(wěn)定的增長,是滿足現(xiàn)階段中國經(jīng)濟目標要求的有效經(jīng)濟政策。
[Abstract]:In recent years, the people's Bank of China has several times to expand the deposit interest rate floating in space, accelerate the process of marketization of interest rates. Chinese commercial banks can according to their actual situation, determined independently of their deposit rates in a wider range, that financial subject independent pricing further liberalization. However, it is not that the interest rate market Chinese has been completed. The interest rate market refers to the financial market main body in the benchmark interest rate policy guidance, according to the market demand situation completely independent pricing, self financing. Nowadays, the Chinese benchmark interest rate policy is not determined by the market, and the correlation between the different interest rate is not significant, is the implementation of the "people's Bank dual track interest rate policy, not according to the behavior characteristics of the market interest rate to determine the benchmark interest rate regulation. Also retain administrative ingredients. To release the deposit rate ceiling In the process of interest rate liberalization is an important step, the end can not represent the interest rate market. Chinese the interest rate market is still a long way to go. The interest rate marketization reform is still an important part of economic reform. Therefore, in this situation, further study of the interest rate Chinese market behavior rules, can provide a solid theoretical foundation to deepen the reform of interest rate liberalization. Since the interest rate marketization of interest rate from Chinese, for China Taylor rules in the form of expansion. In recent years, although the study of Taylor rule in China has been more comprehensive, but the conclusion still exist contradictions. Literature research is mainly used Chinese a higher degree of market interbank lending the interest rate as the research object, discuss the applicability of Taylor rule in Chinese. Xie Ping, Luo Xiong (2002), the army, the bell Dan (2003) and Wang Jianguo (2006) believes that Chinese Although the market of interbank interest rate satisfies the Taylor rule, but for China economy, it is not a stable policy rules. Zhicun Bian (2006), Zhao Jinwen, Fan Jitao (2007), Yang Guozhong (2009), Xu Yaping (2009), stone (2009), fresh 000 Xiaoli (2013). Yuan Ye (2014) study that China market interbank rates, not only satisfies the Taylor rule, and is a stable policy rule. Willow (2013) that the Taylor rule Chinese monetary policy does not meet and satisfy the McLaughlin rules. This article mainly aimed at the contradiction between the show before the conclusion in literature research put forward a reasonable explanation, and put forward the evaluation opinions on the effectiveness of China current "double track system" of interest rate policy. The Taylor rule conclusion in the research on the problem of the application of China contradiction is mainly caused by two reasons. The first reason is the literature research Measurement and data processing method of the output gap in the study. Another reason is the object of literature research is used in market interbank rates, but interbank interest rate is endogenous economic variables, and can not represent the Chinese benchmark interest rate policy, the previous research conclusion is not true China evaluation stage in the actual implementation of the effect of monetary policy. Conflicting conclusions in literature research reflects two aspects. First, the applicability of Taylor rule in Chinese, is whether the market equilibrium interest rate Chinese can be described as stable Taylor rule form. Secondly, how to evaluate the effectiveness of the current stage of the "dual track China" the interest rate policy issues. Taylor rule has better stability, if Chinese benchmark interest rate policy does not comply with the Taylor rule in some form, so Chinese stage benefit Rate policy may not be optimal, or not effective. But the key problem is whether the interest rate policy Chinese must comply with the Taylor rule? In fact, conflicting conclusions in literature research shows that previous literature is not a good solution to this two aspects. Because of this, the policy rule evolution vein it's found that the Taylor rule is set form a summary of past policies after the advantages of a long and operable policy rules, the short-term adjustment effect. Based on the Clarda et al. (1999) and Woodford (2003) based on the research, the monetary utility function, monopolistic competition and price stickiness with commodity market hypothesis it forms a linear new Keynes model, the optimization method is used to prove that the optimal policy rule is the Taylor rule, and compared with the actual data Chinese empirical Taylor rule and other rules on economic policy China Stable effect. Then, according to the output gap measurement and data processing methods to highlight the problem in the literature research, using the method of state space model and rational expectations, re examined the applicability of Taylor rule in China. However, the conclusion is still affected by the same industry lending rates, the problem is not well resolved. Therefore, according to this problem, select the China benchmark interest rate policy, credit interest rate, as the research object, the effective evaluation of the China "double track system" of interest rate policy. The main conclusions are as follows: 1. the Taylor rule, monetary policy in practice gradually evolved, and Gu Long, short-term adjustment the policy rules, and the rules can effectively buffer the effects of random shocks to the economy. If the empirical tests show that the benchmark interest rate policy to meet the Taylor rule, that the monetary policy This conclusion can provide effective decision-making. The market-oriented reform of interest rate has the significance of reference.2. China Chinese is the implementation of the "double track" interest rate policy. China effect of interest rate policy should be evaluated by the interest rate of real credit China as the research object, and not to China the highest level of market interbank interest rates as the research object. The reasons of literature research in the conflicting conclusions is that the research object confusion.3. empirical test of Taylor rule in form, usually by the output gap measurement problems. With the trend decomposition sense of the output gap instead of the output gap theory to test the Taylor rule form there is a theory of "trap". The previous literature did not notice the decomposition of the trend. The output gap is then formed by the impact of economic theory, and the interest rate is not relevant. Therefore, should be careful of To decompose the output gap Taylor rule sense that the trend of conclusion.4. was affected by the measurement of the output gap, this paper argues that Taylor is unable to conclude the Chinese actual credit rules. Taylor rules form the actual interest rate of credit Chinese obtained by econometric test, in theory, can not explain the actual credit Chinese. Whether to follow the Taylor rule, similarly, the empirical test negative real interest rates of credit China Taylor rules form, also can not fundamentally negate the actual credit China may follow the Taylor rule. The standard.5. evaluation can not effectively so China evaluation of the "dual track" policy by Taylor rules for monetary policy (including the "Chinese the two track system") the effectiveness of interest rate policy, the most concise way is an empirical test of the effect of monetary policy mechanism. By using impulse response points This paper empirically tests the effectiveness of China's monetary policy. The results show that China's monetary policy can effectively promote stable economic growth and is an effective economic policy to meet the requirements of China's economic goals at this stage.

【學位授予單位】：遼寧大學
【學位級別】：博士
【學位授予年份】：2016
【分類號】：F822.0

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