本文關鍵詞：開放經濟中的貨幣政策問題研究　出處：《中央財經大學》2016年博士論文　論文類型：學位論文

  更多相關文章： 新開放宏觀經濟 匯率不完全傳遞 工資粘性 耐用消費品貿易 貨幣政策合作

【摘要】：進入21世紀以來,國家之間的商品貿易和資本流動日益頻繁,因此開放經濟中的貨幣政策研究,成為各國中央銀行和學術界關注的重要問題。Obstfeld和Rogoff(1995)提出了新開放宏觀經濟學的框架,首次為開放經濟分析引入了微觀經濟學基礎,并在模型中加入價格粘性、壟斷競爭扭曲和消費者的跨期最優(yōu)選擇行為。這一框架隨后成為開放宏觀經濟分析的主要方法。本文在此基礎上,研究了開放經濟中貨幣政策的三個問題:(1)在傳統(tǒng)的小國開放經濟模型中,引入了匯率不完全傳遞效應和貿易順差,使用貝葉斯方法估計了我國開放經濟的貨幣政策規(guī)則,探究了央行的名義利率是否對人民幣匯率波動進行調整,以及我國開放經濟的波動特征。(2)在Clarida等(2002)模型中引入工資粘性以及中美兩國勞動力要素投入比重差異,分析了生產函數的異質性對開放經濟福利水平的影響。我們對家庭的效用函數進行二階逼近,得到央行貨幣政策的目標函數(Rotermberg和Woodford,1997),并分析了兩國央行貨幣政策合作與不合作兩種情形,以及這兩種政策機制下中國的社會福利水平。(3)將Erceg和Levin(2006)關于耐用消費品對最優(yōu)貨幣政策的研究,推廣到開放經濟中。我們建立了兩國兩部門的開放經濟模型,引入耐用消費品的國際貿易,分析了當兩國進行貨幣政策合作時,它對兩國社會福利水平的影響。本文第二章在蘊含匯率不完全傳遞效應和貿易順差的小國開放經濟中,使用貝葉斯方法估計了我國開放經濟的結構參數,并基于參數估計結果分析了我國的貨幣政策規(guī)則和經濟波動特征,主要得到以下的結論:(1)貨幣政策在對CPI通脹和產出缺口進行反應之外,還會針對人民幣匯率波動進行小幅調整,名義利率對CPI通脹、產出缺口和匯率波動的反應系數分別是1.50,0.33和0.04;(2)匯率不完全傳遞效應在降低本國產出、CPI通脹和利率水平波動的同時,卻顯著的增加了名義匯率、實際匯率和一價定律缺口的波動;(3)國內沖擊是引起我國產出和利率波動的主要因素,技術沖擊能夠解釋我國產出波動的40%,貨幣政策沖擊能夠解釋利率波動的77%;(4)世界產出沖擊是引起名義匯率波動的主要因素,世界通脹沖擊則是引起CPI通脹的主要源泉。所以,我國的貨幣政策主要作用是熨平外部沖擊對我國經濟的影響。本文第三章將工資粘性和勞動要素投入比重差異引入到兩國開放經濟模型,分析它們對貨幣政策福利水平的影響,得到以下結論:(1)Clarida等(2002)認為在僅僅含有價格粘性的兩國開放經濟模型中,當家庭的風險規(guī)避系數等于1時,兩國并不存在貨幣政策的合作收益。但是基于同樣的模型,我們在引入了工資粘性后發(fā)現(xiàn),上述結論發(fā)生了改變。即使家庭的風險規(guī)避系數等于1時,依然存在著貨幣政策的合作收益,合作時的額外收益為穩(wěn)態(tài)消費水平的0.31%。(2)勞動力要素投入比重的差異,確實會影響貨幣政策合作的額外收益。在給定外國勞動力要素投入(*?(28)0.36),當?(28)0時,貨幣政策合作時的額外收益是0.51%,當?(28)0.25時,貨幣政策合作的額外收益上升到0.98%,但是在本文的標尺模型中,當?(28)0.5時,貨幣政策合作的收益卻下降到了0.36%。因此二者之間是否存在著規(guī)律性的結論,尚需更進一步的研究。(3)通過分析脈沖響應函數,我們討論了貨幣政策合作收益產生的內在機制。當不進行貨幣政策合作時,兩國央行只根據該國的經濟波動選擇貨幣政策規(guī)則,但是如果進行貨幣政策的合作,本國的貨幣政策同時需要考慮外國的經濟波動。以本國技術沖擊為例,由于存在價格粘性和工資粘性,本國產出缺口下降。在納什貨幣政策下,外國的產出保持在自然率產出水平,兩國產出相關系數幾乎為0;當進行貨幣政策合作時,外國的產出缺口上升,兩國產出的相關系數為負。因此,央行通過選擇使得產出負相關的貨幣政策,有效實現(xiàn)了兩國之間的風險分擔。本文第四章在兩國兩部門開放經濟模型中,討論了耐用消費品貿易對兩國貨幣政策合作收益水平的影響。通過參數校準和數值模擬,我們得到了以下結論:(1)erceg和levin(2006)在封閉經濟中發(fā)現(xiàn),耐用品的波動率是非耐用品波動率的3倍左右,我們在開放經濟也得到了類似的結論。例如,當兩國央行釘住價格和工資加權通脹時,本國非耐用品部門技術沖擊,使得非耐用品產出上升了4%,但耐用消費品卻上升了10%以上。(2)耐用品貿易能夠顯著提高貨幣政策合作的收益。例如,當耐用品的折舊率從[0.03,0.054]的區(qū)間內進行取值時,隨著耐用品折舊率的上升,貨幣政策合作時的福利收益隨之下降,原因在于折舊率的上升,降低了利率對耐用品用戶成本的影響,貨幣政策的調控作用也隨之減弱。(3)耐用品在家庭總消費中的比重,以及本國耐用品在總耐用品需求中的比重,對貨幣政策合作收益也有顯著的影響。由于只有耐用品可以進行國際貿易,因此上述兩個參數共同描述了本國經濟的開放程度。當耐用品在家庭總消費中的比重越高,且本國耐用品在總耐用品中的比重越低時,本國經濟的開放程度越高,此時貨幣政策合作時的福利損失下降。因此本文認為,伴隨著耐用品在國際貿易中的比重不斷上升,不同國家之間更有必要進行貨幣政策之間的合作。(4)我們發(fā)現(xiàn)釘住耐用品部門產出的貨幣政策規(guī)則,很好的逼近了最優(yōu)貨幣政策的福利水平,熨平耐用品產出是提高福利的有效途徑。但是,erceg和levin(2006)在封閉經濟中卻認為,釘住工資與價格加權通脹的簡單貨幣政策規(guī)則,能夠很好的逼近最優(yōu)貨幣政策,與此相反,釘住差異化的部門通脹,反而會增加部門的福利損失。然而,本文在開放經濟中得出了不同的結論,僅僅釘住耐用品部門的產出,就能夠有效抑制耐用品部門的波動,改進社會福利水平。
[Abstract]:Since entering the twenty-first Century, commodity trade and capital flow among countries are becoming more frequent. Therefore, the study of monetary policy in open economy has become an important issue concerned by central banks and academia. Obstfeld and Rogoff (1995) put forward the framework of the new open macroeconomics. For the first time, we introduced the foundation of Microeconomics for the opening economic analysis for the first time, and added price sticky, monopolistic competition distortion and consumers' intertemporal optimal choice in the model. This framework has subsequently become the main approach to open macroeconomic analysis. In this paper, three problems of monetary policy in the open economy: (1) in a small open economy model, the incomplete exchange rate pass through effect and the trade surplus, a Bayesian method to estimate the monetary policy rules in China's open economy, the central bank to explore whether to adjust the nominal interest rate the RMB exchange rate fluctuations, and the opening of China's economic fluctuation characteristics. (2) introducing wage stickiness in Clarida et al (2002) model and the difference of labor force factor input between China and America, we analyze the influence of heterogeneity of production function on the welfare level of open economy. We use the two order approximation of the family utility function to get the objective function of the central bank's monetary policy (Rotermberg and Woodford, 1997), and analyze the two cases of monetary policy cooperation and non cooperation between the two central banks, and the social welfare level of China under these two policy mechanisms. (3) the study of Erceg and Levin (2006) on the optimal monetary policy of durable consumer goods is extended to the open economy. We established an open economic model of the two sectors of the two countries, introduced the international trade of durable consumer goods, and analyzed the impact of the two countries' monetary policy cooperation on the two countries' social welfare level. In the second chapter of this paper contains incomplete exchange rate pass through effect and the trade surplus of the small open economy, the structure parameters of the open economy of our country is estimated using a Bayesian method based on parameter estimation results and analysis of China's monetary policy and economic fluctuation characteristics, mainly to the following conclusions: (1) in monetary policy CPI response to inflation and output gap, but also for the RMB exchange rate fluctuations were adjusted slightly, the nominal interest rate to the inflation response coefficient CPI, the output gap and exchange rate volatility is 1.50,0.33 and 0.04 respectively; (2) incomplete exchange rate pass through effect in reducing the domestic output, CPI inflation and interest rate fluctuations, but significantly increased the nominal exchange rate, real exchange rate and the law of one price gap fluctuations; (3) the impact is mainly caused by the factors of China's output and interest rate volatility, technology shocks can explain in China 40% of output volatility, monetary policy shocks can explain 77% of interest rate volatility. (4) world output shocks are the main factors that cause nominal exchange rate fluctuations, and world inflation shocks are the main source of CPI inflation. Therefore, the main role of China's monetary policy is to ironing the impact of external shocks on the economy of our country. In the third chapter, the wage stickiness and labor inputs of different proportions into two open economy model, the analysis of their impact on the welfare level of monetary policy, get the following conclusions: (1) Clarida (2002) in the two countries that open economy model contains only the price stickiness, when the family risk aversion coefficient is equal to 1 the two countries, monetary policy does not exist the benefits of cooperation. But based on the same model, we found a change in the conclusion after the introduction of the wage stickiness. Even if the risk aversion factor of a family is equal to 1, there is still a cooperative income of monetary policy, and the additional income of cooperation is 0.31% of the level of steady consumption. (2) the difference in the proportion of labor factor input does affect the extra income of monetary policy cooperation. In the given foreign labor elements (*? (28) 0.36), when? (28) 0, additional revenue monetary policy cooperation is 0.51%, when? (28) 0.25, additional revenue monetary policy cooperation rose to 0.98%, but the scale model of this paper, when? (28) 0.5, monetary policy cooperation revenue has dropped to 0.36%. Therefore, whether there is a regular conclusion between the two needs to be further studied. (3) through the analysis of the impulse response function, we discuss the inherent mechanism of the production of monetary policy cooperation. When there is no monetary policy cooperation, the Central Bank of the two countries only choose monetary policy rules according to the economic fluctuations of the country, but if we cooperate in monetary policy, we need to consider the foreign economic fluctuations at the same time. As an example, the domestic output gap has fallen due to the price stickiness and wage stickiness. Under Nash's monetary policy, foreign output remains at the natural rate of production, and the correlation coefficient between the two countries is almost 0. When the monetary policy cooperation is carried out, the output gap of foreign countries rises, and the correlation coefficient between the two countries is negative. Therefore, the central bank effectively realizes the risk sharing between the two countries through the choice of the monetary policy that makes the output negative. The fourth chapter discusses the impact of the durable consumer goods trade on the income level of the two countries' monetary policy cooperation in the open economy model of the two countries in the two sector. Through parameter calibration and numerical simulation, we get the following conclusions: (1) Erceg and Levin (2006) find that the volatility of durable goods is 3 times the volatility of non durable goods in closed economy, and we get similar conclusions in the open economy. For example, when the Central Bank of the two countries staple price and wage weighted inflation, the technology impact of the domestic non durable goods sector increased the output of non durable goods by 4%, but the durable consumer goods increased by more than 10%. (2) the trade in durable goods can significantly increase the benefits of monetary policy cooperation. For example, when the depreciation rate of durable goods is taken from the range of [0.03,0.054], with the increase of depreciation rate of durable goods, the benefit of monetary policy cooperation
【學位授予單位】：中央財經大學
【學位級別】：博士
【學位授予年份】：2016
【分類號】：F822.0
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本文編號：1343268