【摘要】：現(xiàn)代宏觀經(jīng)濟理論認(rèn)為經(jīng)濟學(xué)與自然科學(xué)的核心區(qū)別在于經(jīng)濟人所做出的前瞻性決定。在經(jīng)濟運行的每個環(huán)節(jié),預(yù)期起到了重要的作用。公眾的通貨膨脹預(yù)期是影響實際通貨膨脹率的關(guān)鍵因素,通過有效的貨幣政策手段管理公眾這一預(yù)期,是實現(xiàn)物價穩(wěn)定這一貨幣政策目標(biāo)的有效途徑。當(dāng)引導(dǎo)和管理市場通貨膨脹預(yù)期已成為發(fā)達(dá)國家提升貨幣政策效果的重要手段時,中國政府也應(yīng)與時俱進,推出自己的通脹預(yù)期管理措施。而預(yù)期管理政策有效性的關(guān)鍵在于知曉、秉承通貨預(yù)期與真實通貨膨脹的動態(tài)反應(yīng)路徑。預(yù)期理論經(jīng)歷了靜態(tài)預(yù)期、外推型預(yù)期、適應(yīng)性預(yù)期、理性預(yù)期。前三類預(yù)期將預(yù)期視為經(jīng)濟體系的外生變量,且沒有堅實的經(jīng)濟學(xué)理論基礎(chǔ)。而理性預(yù)期作為一種均衡的概念,假定公眾知曉一切的計量經(jīng)濟模型,任何時刻均可對經(jīng)濟系統(tǒng)做出無偏的估計。但是理性預(yù)期有如下缺陷:首先,公眾對真實經(jīng)濟結(jié)構(gòu)有完全認(rèn)知,信息獲取與處理能力強大到始終形成與真實經(jīng)濟一致的無偏結(jié)果,這明顯與事實不符。其次,沒有對公眾的預(yù)期形成機制進行具體描述,而只注重對預(yù)期結(jié)果的一系列規(guī)定。最后,大部分理性預(yù)期模型都存在多重均衡解的問題,到底出現(xiàn)哪種均衡存在任意性。學(xué)習(xí)型預(yù)期放松了理性預(yù)期假設(shè)暗含的一系列嚴(yán)格的條件,認(rèn)為公眾的預(yù)期形成機制是從感知運轉(zhuǎn)模型向?qū)嶋H運轉(zhuǎn)模型的映射過程,可以避免理性預(yù)期模型存在的多重均衡解問題。基于此,本文于三個層面(理性預(yù)期多重均衡解、學(xué)習(xí)型預(yù)期形成機制及穩(wěn)態(tài)條件、學(xué)習(xí)規(guī)則)系統(tǒng)地闡述了適應(yīng)性學(xué)習(xí)預(yù)期理論,并據(jù)此測度中國學(xué)習(xí)型通脹預(yù)期,進一步地對學(xué)習(xí)型通貨膨脹預(yù)期的特征進行分析與實證檢驗。在實證分析中,考慮央行貨幣政策的平滑傾向與通貨膨脹滯后因素,構(gòu)建狀態(tài)空間模型,利用卡爾曼濾波推導(dǎo)出公眾通脹預(yù)期的學(xué)習(xí)規(guī)則,測度中國學(xué)習(xí)型通貨膨脹預(yù)期,并結(jié)合韋達(dá)定理求解出學(xué)習(xí)規(guī)則的穩(wěn)態(tài)值。進一步地,根據(jù)理性預(yù)期假設(shè)滿足的無偏性、有效性及認(rèn)知偏差為0且無自相關(guān)的三個性質(zhì),通過設(shè)置不同顯著性水平,檢驗學(xué)習(xí)型通脹預(yù)期的近理性特征。
[Abstract]:Modern macroeconomic theory holds that the core difference between economics and natural science lies in the forward-looking decisions made by economic men. In every link of economic operation, expectation plays an important role. Public inflation expectation is the key factor affecting the actual inflation rate. Managing the public expectation through effective monetary policy means is an effective way to achieve the monetary policy goal of price stability. When guiding and managing market inflation expectations has become an important means for developed countries to improve the effectiveness of monetary policy, the Chinese government should also keep pace with the times and introduce its own inflation expectation management measures. The key to the effectiveness of expected management policy lies in knowing, adhering to the dynamic response path between currency expectation and real inflation. The theory of expectation has experienced static expectation, extrapolation expectation, adaptive expectation and rational expectation. The first three types of expectations regard expectations as exogenous variables of the economic system, and there is no solid economic theoretical basis. Rational expectation, as a concept of equilibrium, assumes that the public knows all econometric models and can make unbiased estimates of the economic system at any time. However, rational expectations have the following defects: first of all, the public has a complete understanding of the real economic structure, and the ability to obtain and process information is so strong that it always forms unbiased results consistent with the real economy, which is obviously inconsistent with the facts. Secondly, there is no specific description of the expected formation mechanism of the public, but only a series of provisions on the expected results. Finally, most rational expectation models have the problem of multiple equilibrium solutions, and which equilibrium is arbitrary. Learning expectation relaxes a series of strict conditions implied by rational expectation hypothesis, and holds that the expected formation mechanism of the public is the mapping process from perceptual operation model to actual operation model. The problem of multiple equilibrium solutions in rational expectation model can be avoided. Based on this, this paper systematically expounds the theory of adaptive learning expectation at three levels (multiple equilibrium solution of rational expectation, formation mechanism and steady-state condition of learning expectation, learning rule), and measures the expectation of learning inflation in China. Further analysis and empirical test of the characteristics of learning inflation expectations. In the empirical analysis, considering the smooth tendency of central bank monetary policy and the lagging factors of inflation, the state space model is constructed, and the learning rules of public inflation expectation are deduced by using Kalman filter to measure the learning inflation expectation of China. Combined with Weida theorem, the steady state value of the learning rule is solved. Furthermore, according to the three properties of unbiased, validity and cognitive deviation of 0 and no autocorrelation, the near rational characteristics of learning inflation expectation are tested by setting different significance levels.
【學(xué)位授予單位】：東北財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2016
【分類號】：F822.5

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