本文選題：真實利率 + 泰勒規(guī)則��； 參考：《中國海洋大學(xué)》2014年碩士論文

【摘要】：在貨幣政策制定和執(zhí)行過程中，名義利率是常用的中介指標(biāo)之一。雖然名義利率具有易測、易操作等優(yōu)點，但是在我國的現(xiàn)實背景下，也存在諸多缺點：名義利率的影響因素多，政策效果難以把控；我國名義利率含有較多的管制成分，不能真實反應(yīng)市場運行情況。本文提出的真實利率，不僅含有傳統(tǒng)經(jīng)濟(jì)理論中的利率決定機(jī)制，而且受外生變量的影響，是一個能夠全面的反映經(jīng)濟(jì)基本面運行情況的利率。在貨幣政策的理論和實證研究中將真實利率作為調(diào)控的中介指標(biāo)更有助于以更低的政策成本實現(xiàn)貨幣政策的最終目標(biāo)。 本文的研究主要分為以下幾個方面。首先，本文結(jié)合真實經(jīng)濟(jì)周期理論，將真實利率界定為一個具有內(nèi)生的基本變動趨勢的利率，這個內(nèi)生變動趨勢代表的是不同時點上市場上的均衡利率的變化，但是這個趨勢項本身不存在改變的動力，它的變動是由來自利率市場以外的沖擊所引起的。第二，本文通過分析指出一般化了的泰勒規(guī)則是一個符合真實利率基本含義的表達(dá)式，并運用該式對我國1996-2013年的真實利率進(jìn)行了測度。第三，從基本特征和區(qū)制特征兩個角度出發(fā)，對真實利率的特征進(jìn)行了分析。其中，基本特征分析顯示，真實利率能較好的反應(yīng)我國宏觀經(jīng)的總體運行情況，具有較強(qiáng)的通貨膨脹的彌補(bǔ)能力和對宏觀經(jīng)濟(jì)政策的響應(yīng)能力，而且具有較好的穩(wěn)定性和對趨勢項的回歸能力。對區(qū)制特征的分析采用的是帶有馬爾可夫區(qū)制轉(zhuǎn)換的自回歸模型，模型結(jié)果顯示，我國過去的真實利率遵循兩區(qū)制三階滯后的自回歸模型，且在每個區(qū)制內(nèi)具有較高的持續(xù)性；同時，根據(jù)真實利率的區(qū)制分布特點，可以將1996-2013年分為四個經(jīng)濟(jì)發(fā)展區(qū)間，這四個區(qū)間的演化顯示了真實利率的走勢是一個不斷趨向合理化的過程，而且與我國的實際經(jīng)濟(jì)運行情況和政策取向相符。第四，文章根據(jù)研究內(nèi)容和結(jié)果提出了相應(yīng)的政策建議，認(rèn)為貨幣當(dāng)局在指定和執(zhí)行貨幣政策時，可以將貨幣政策的中長期中介指標(biāo)選定為真實利率，不宜再將過多的注意力放在短期利率的波動上，，而只應(yīng)在必要的時候做出對名義利率的預(yù)調(diào)和微調(diào)；同時，應(yīng)從提高政策透明度、平穩(wěn)轉(zhuǎn)換貨幣政策中介指標(biāo)的轉(zhuǎn)換，加強(qiáng)預(yù)調(diào)微調(diào)等方面來提高政策效果、降低政策成本。
[Abstract]:In the process of monetary policy formulation and implementation, nominal interest rate is one of the commonly used intermediary indicators. Although nominal interest rate has the advantages of easy to measure and operate, but in our country's realistic background, there are many disadvantages: there are many influence factors of nominal interest rate, the effect of policy is difficult to control, the nominal interest rate of our country contains more regulatory elements. Can not truly reflect the operation of the market. The real interest rate proposed in this paper not only contains the interest rate decision mechanism in the traditional economic theory, but also is an interest rate which can reflect the operation of the economic fundamentals comprehensively, which is influenced by exogenous variables. In the theoretical and empirical study of monetary policy, taking the real interest rate as the intermediary index of regulation and control is more helpful to achieve the ultimate goal of monetary policy with lower policy cost. The research of this paper is divided into the following aspects. First of all, combining with the real business cycle theory, this paper defines the real interest rate as an interest rate with an endogenous basic trend of change, which represents the change of equilibrium interest rate at different points in the market. But the trend itself is not motivated by change, which is caused by shocks from outside the interest rate market. Secondly, this paper points out that the generalized Taylor rule is an expression consistent with the basic meaning of real interest rate, and measures the real interest rate in China from 1996 to 2013. Thirdly, this paper analyzes the characteristics of real interest rate from the basic characteristics and regional characteristics. Among them, the analysis of basic characteristics shows that the real interest rate can better reflect the overall operation of China's macro economy, and has a strong ability to compensate for inflation and to respond to macroeconomic policies. And it has good stability and regression ability to trend term. The autoregressive model with Markov transformation is used to analyze the characteristics of regional system. The results show that the real interest rate in China followed the three-order autoregressive model of two-region system and has a high persistence in each district system. At the same time, according to the regional distribution characteristics of real interest rates, the period 1996-2013 can be divided into four economic development zones. The evolution of these four regions shows that the trend of real interest rates is a process of continuous rationalization. And with our country's actual economic operation and policy orientation in line with. Fourthly, according to the research content and the results, the paper puts forward the corresponding policy recommendations, and holds that the monetary authority can select the medium and long term intermediate index of monetary policy as the real interest rate when it designates and implements monetary policy. We should not pay too much attention to the fluctuation of short-term interest rates, but should only make pre-adjustment and fine-tuning of nominal interest rates when necessary; at the same time, we should make a smooth transition to the intermediate indicators of monetary policy by enhancing policy transparency. To improve the policy effect and reduce the policy cost by strengthening the pre-adjustment and fine-tuning.
【學(xué)位授予單位】：中國海洋大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F822.0;F224

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