發(fā)布時間：2018-05-04 17:11

  本文選題：貨幣政策中介指標 + IS-Phillips模型　； 參考：《東華大學(xué)》2017年碩士論文

【摘要】：貨幣政策中介指標的有效性體現(xiàn)在其對貨幣政策最終目標的調(diào)控上。股票價格對中介指標有效性的影響主要由于股價對貨幣政策最終目標——產(chǎn)出和通脹產(chǎn)生影響,進而導(dǎo)致貨幣政策的實施不達預(yù)期效果。本文在理論分析的基礎(chǔ)上,量化貨幣政策反應(yīng)機制,從而明確股價因素對中介指標有效性的影響程度。本文首先理論闡述不同貨幣政策中介指標的理論基礎(chǔ)包括其傳導(dǎo)機制以及與股票價格的相關(guān)關(guān)系。其次分析股價如何影響中介指標的有效性,包括對實際產(chǎn)出以及通貨膨脹的影響,分析財富效應(yīng)、通貨膨脹效應(yīng)、托賓Q理論和流動性效應(yīng),即探討股票市場傳導(dǎo)路徑。同時,對我國股票市場的發(fā)展規(guī)模、股價與經(jīng)濟發(fā)展目標關(guān)聯(lián)性以及中介指標與經(jīng)濟發(fā)展目標關(guān)聯(lián)性進行現(xiàn)狀分析。實證分析中首先通過相關(guān)性和回歸分析明確股價因素對貨幣政策最終目標存在影響但并不完全顯著。其次,構(gòu)建一個封閉經(jīng)濟體下的IS-Phillips模型,通過總需求方程、通脹方程、資產(chǎn)價格方程、央行損失函數(shù),求解包含股價因素和不包含股價因素的最優(yōu)貨幣供應(yīng)量反應(yīng)函數(shù)以及最優(yōu)利率反應(yīng)函數(shù),并把泰勒規(guī)則、貨幣政策如何反應(yīng)股價因素的間接和直接融于一體。運用兩階段最小二乘法進行聯(lián)立方程的估計,推導(dǎo)貨幣政策最優(yōu)反應(yīng)函數(shù),通過參數(shù)設(shè)定和結(jié)果的模擬,發(fā)現(xiàn)股價對中介指標有效性的影響與央行的目標函數(shù)設(shè)定相關(guān):(1)當央行嚴格盯住通貨膨脹目標時,股價因素會使得實際產(chǎn)出更貼合預(yù)期值,從而提升中介指標有效性;(2)當央行的貨幣政策目標兼顧通貨膨脹和產(chǎn)出缺口穩(wěn)定時,股價因素會導(dǎo)致通貨膨脹的更不可控,因而降低中介指標的有效性。再者,比較利率和貨幣供應(yīng)量,貨幣供應(yīng)量對通脹的控制程度優(yōu)于利率,而利率對產(chǎn)出缺口的控制更優(yōu),考慮我國目前貨幣政策采取雙重目標制,利率的有效性高于貨幣供應(yīng)量,采取利率中介指標央行的損失函數(shù)更小,并且表明我國目前的貨幣政策不應(yīng)對股票價格做出反應(yīng)。最后,基于上述結(jié)論,對我國貨幣政策中介指標選擇、貨幣政策應(yīng)對股票市場波動以及股市發(fā)展提出政策建議。
[Abstract]:The effectiveness of monetary policy intermediary index is reflected in its regulation and control of monetary policy ultimate goal. The effect of stock price on the effectiveness of intermediary index is mainly due to the influence of stock price on the final target of monetary policy-output and inflation, which leads to the implementation of monetary policy not reaching the expected effect. On the basis of theoretical analysis, this paper quantifies the monetary policy response mechanism to clarify the influence of stock price factors on the effectiveness of intermediary indicators. In this paper, the theoretical basis of different monetary policy intermediation indicators including the transmission mechanism and the correlation with stock price is discussed theoretically. Secondly, it analyzes how the stock price affects the effectiveness of intermediary indicators, including the effect on actual output and inflation, the wealth effect, inflation effect, Tobin Q theory and liquidity effect, that is, to explore the transmission path of stock market. At the same time, the paper analyzes the development scale of stock market, the relationship between stock price and economic development target, and the relationship between intermediary index and economic development target. In the empirical analysis, firstly, through correlation and regression analysis, it is clear that stock price factors have an impact on monetary policy's ultimate goal, but it is not completely significant. Secondly, the IS-Phillips model of a closed economy is constructed, which is based on the aggregate demand equation, inflation equation, asset price equation and central bank loss function. The optimal money supply response function and the optimal interest rate response function including and without stock price factors are solved, and the Taylor rule, how monetary policy reflects the indirect and direct share price factors is integrated. The two-stage least square method is used to estimate the simultaneous equation, and the optimal response function of monetary policy is derived. It is found that the effect of stock price on the effectiveness of intermediary indicators is related to the objective function of the central bank. (1) when the central bank is strictly pegged to the inflation target, the stock price factor will make the actual output more in line with the expected value. When the monetary policy objective of the central bank considers inflation and output gap to be stable, the stock price factor will lead to the uncontrollable inflation, thus reducing the effectiveness of the intermediate index. Moreover, compared with the interest rate and the money supply, the money supply controls the inflation better than the interest rate, and the interest rate has better control on the output gap. The effectiveness of interest rate is higher than that of money supply, and the loss function of the central bank using interest rate intermediary index is even smaller, which indicates that China's current monetary policy should not react to the stock price. Finally, based on the above conclusions, the paper puts forward some policy suggestions on the choice of intermediate index of monetary policy in China, which should include the fluctuation of stock market and the development of stock market.
【學(xué)位授予單位】：東華大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F822.0;F832.51

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本文編號：1843871