本文關(guān)鍵詞：開(kāi)放經(jīng)濟(jì)中的貨幣政策問(wèn)題研究　出處：《中央財(cái)經(jīng)大學(xué)》2016年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 新開(kāi)放宏觀經(jīng)濟(jì) 匯率不完全傳遞 工資粘性 耐用消費(fèi)品貿(mào)易 貨幣政策合作

【摘要】：進(jìn)入21世紀(jì)以來(lái),國(guó)家之間的商品貿(mào)易和資本流動(dòng)日益頻繁,因此開(kāi)放經(jīng)濟(jì)中的貨幣政策研究,成為各國(guó)中央銀行和學(xué)術(shù)界關(guān)注的重要問(wèn)題。Obstfeld和Rogoff(1995)提出了新開(kāi)放宏觀經(jīng)濟(jì)學(xué)的框架,首次為開(kāi)放經(jīng)濟(jì)分析引入了微觀經(jīng)濟(jì)學(xué)基礎(chǔ),并在模型中加入價(jià)格粘性、壟斷競(jìng)爭(zhēng)扭曲和消費(fèi)者的跨期最優(yōu)選擇行為。這一框架隨后成為開(kāi)放宏觀經(jīng)濟(jì)分析的主要方法。本文在此基礎(chǔ)上,研究了開(kāi)放經(jīng)濟(jì)中貨幣政策的三個(gè)問(wèn)題:(1)在傳統(tǒng)的小國(guó)開(kāi)放經(jīng)濟(jì)模型中,引入了匯率不完全傳遞效應(yīng)和貿(mào)易順差,使用貝葉斯方法估計(jì)了我國(guó)開(kāi)放經(jīng)濟(jì)的貨幣政策規(guī)則,探究了央行的名義利率是否對(duì)人民幣匯率波動(dòng)進(jìn)行調(diào)整,以及我國(guó)開(kāi)放經(jīng)濟(jì)的波動(dòng)特征。(2)在Clarida等(2002)模型中引入工資粘性以及中美兩國(guó)勞動(dòng)力要素投入比重差異,分析了生產(chǎn)函數(shù)的異質(zhì)性對(duì)開(kāi)放經(jīng)濟(jì)福利水平的影響。我們對(duì)家庭的效用函數(shù)進(jìn)行二階逼近,得到央行貨幣政策的目標(biāo)函數(shù)(Rotermberg和Woodford,1997),并分析了兩國(guó)央行貨幣政策合作與不合作兩種情形,以及這兩種政策機(jī)制下中國(guó)的社會(huì)福利水平。(3)將Erceg和Levin(2006)關(guān)于耐用消費(fèi)品對(duì)最優(yōu)貨幣政策的研究,推廣到開(kāi)放經(jīng)濟(jì)中。我們建立了兩國(guó)兩部門(mén)的開(kāi)放經(jīng)濟(jì)模型,引入耐用消費(fèi)品的國(guó)際貿(mào)易,分析了當(dāng)兩國(guó)進(jìn)行貨幣政策合作時(shí),它對(duì)兩國(guó)社會(huì)福利水平的影響。本文第二章在蘊(yùn)含匯率不完全傳遞效應(yīng)和貿(mào)易順差的小國(guó)開(kāi)放經(jīng)濟(jì)中,使用貝葉斯方法估計(jì)了我國(guó)開(kāi)放經(jīng)濟(jì)的結(jié)構(gòu)參數(shù),并基于參數(shù)估計(jì)結(jié)果分析了我國(guó)的貨幣政策規(guī)則和經(jīng)濟(jì)波動(dòng)特征,主要得到以下的結(jié)論:(1)貨幣政策在對(duì)CPI通脹和產(chǎn)出缺口進(jìn)行反應(yīng)之外,還會(huì)針對(duì)人民幣匯率波動(dòng)進(jìn)行小幅調(diào)整,名義利率對(duì)CPI通脹、產(chǎn)出缺口和匯率波動(dòng)的反應(yīng)系數(shù)分別是1.50,0.33和0.04;(2)匯率不完全傳遞效應(yīng)在降低本國(guó)產(chǎn)出、CPI通脹和利率水平波動(dòng)的同時(shí),卻顯著的增加了名義匯率、實(shí)際匯率和一價(jià)定律缺口的波動(dòng);(3)國(guó)內(nèi)沖擊是引起我國(guó)產(chǎn)出和利率波動(dòng)的主要因素,技術(shù)沖擊能夠解釋我國(guó)產(chǎn)出波動(dòng)的40%,貨幣政策沖擊能夠解釋利率波動(dòng)的77%;(4)世界產(chǎn)出沖擊是引起名義匯率波動(dòng)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(guó)的貨幣政策主要作用是熨平外部沖擊對(duì)我國(guó)經(jīng)濟(jì)的影響。本文第三章將工資粘性和勞動(dòng)要素投入比重差異引入到兩國(guó)開(kāi)放經(jīng)濟(jì)模型,分析它們對(duì)貨幣政策福利水平的影響,得到以下結(jié)論:(1)Clarida等(2002)認(rèn)為在僅僅含有價(jià)格粘性的兩國(guó)開(kāi)放經(jīng)濟(jì)模型中,當(dāng)家庭的風(fēng)險(xiǎn)規(guī)避系數(shù)等于1時(shí),兩國(guó)并不存在貨幣政策的合作收益。但是基于同樣的模型,我們?cè)谝肓斯べY粘性后發(fā)現(xiàn),上述結(jié)論發(fā)生了改變。即使家庭的風(fēng)險(xiǎn)規(guī)避系數(shù)等于1時(shí),依然存在著貨幣政策的合作收益,合作時(shí)的額外收益為穩(wěn)態(tài)消費(fèi)水平的0.31%。(2)勞動(dòng)力要素投入比重的差異,確實(shí)會(huì)影響貨幣政策合作的額外收益。在給定外國(guó)勞動(dòng)力要素投入(*?(28)0.36),當(dāng)?(28)0時(shí),貨幣政策合作時(shí)的額外收益是0.51%,當(dāng)?(28)0.25時(shí),貨幣政策合作的額外收益上升到0.98%,但是在本文的標(biāo)尺模型中,當(dāng)?(28)0.5時(shí),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(jié)論,尚需更進(jìn)一步的研究。(3)通過(guò)分析脈沖響應(yīng)函數(shù),我們討論了貨幣政策合作收益產(chǎn)生的內(nèi)在機(jī)制。當(dāng)不進(jìn)行貨幣政策合作時(shí),兩國(guó)央行只根據(jù)該國(guó)的經(jīng)濟(jì)波動(dòng)選擇貨幣政策規(guī)則,但是如果進(jìn)行貨幣政策的合作,本國(guó)的貨幣政策同時(shí)需要考慮外國(guó)的經(jīng)濟(jì)波動(dòng)。以本國(guó)技術(shù)沖擊為例,由于存在價(jià)格粘性和工資粘性,本國(guó)產(chǎn)出缺口下降。在納什貨幣政策下,外國(guó)的產(chǎn)出保持在自然率產(chǎn)出水平,兩國(guó)產(chǎn)出相關(guān)系數(shù)幾乎為0;當(dāng)進(jìn)行貨幣政策合作時(shí),外國(guó)的產(chǎn)出缺口上升,兩國(guó)產(chǎn)出的相關(guān)系數(shù)為負(fù)。因此,央行通過(guò)選擇使得產(chǎn)出負(fù)相關(guān)的貨幣政策,有效實(shí)現(xiàn)了兩國(guó)之間的風(fēng)險(xiǎn)分擔(dān)。本文第四章在兩國(guó)兩部門(mén)開(kāi)放經(jīng)濟(jì)模型中,討論了耐用消費(fèi)品貿(mào)易對(duì)兩國(guó)貨幣政策合作收益水平的影響。通過(guò)參數(shù)校準(zhǔn)和數(shù)值模擬,我們得到了以下結(jié)論:(1)erceg和levin(2006)在封閉經(jīng)濟(jì)中發(fā)現(xiàn),耐用品的波動(dòng)率是非耐用品波動(dòng)率的3倍左右,我們?cè)陂_(kāi)放經(jīng)濟(jì)也得到了類似的結(jié)論。例如,當(dāng)兩國(guó)央行釘住價(jià)格和工資加權(quán)通脹時(shí),本國(guó)非耐用品部門(mén)技術(shù)沖擊,使得非耐用品產(chǎn)出上升了4%,但耐用消費(fèi)品卻上升了10%以上。(2)耐用品貿(mào)易能夠顯著提高貨幣政策合作的收益。例如,當(dāng)耐用品的折舊率從[0.03,0.054]的區(qū)間內(nèi)進(jìn)行取值時(shí),隨著耐用品折舊率的上升,貨幣政策合作時(shí)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(duì)耐用品用戶成本的影響,貨幣政策的調(diào)控作用也隨之減弱。(3)耐用品在家庭總消費(fèi)中的比重,以及本國(guó)耐用品在總耐用品需求中的比重,對(duì)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(jìn)行國(guó)際貿(mào)易,因此上述兩個(gè)參數(shù)共同描述了本國(guó)經(jīng)濟(jì)的開(kāi)放程度。當(dāng)耐用品在家庭總消費(fèi)中的比重越高,且本國(guó)耐用品在總耐用品中的比重越低時(shí),本國(guó)經(jīng)濟(jì)的開(kāi)放程度越高,此時(shí)貨幣政策合作時(shí)的福利損失下降。因此本文認(rèn)為,伴隨著耐用品在國(guó)際貿(mào)易中的比重不斷上升,不同國(guó)家之間更有必要進(jìn)行貨幣政策之間的合作。(4)我們發(fā)現(xiàn)釘住耐用品部門(mén)產(chǎn)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(chǎn)出是提高福利的有效途徑。但是,erceg和levin(2006)在封閉經(jīng)濟(jì)中卻認(rèn)為,釘住工資與價(jià)格加權(quán)通脹的簡(jiǎn)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(mén)通脹,反而會(huì)增加部門(mén)的福利損失。然而,本文在開(kāi)放經(jīng)濟(jì)中得出了不同的結(jié)論,僅僅釘住耐用品部門(mén)的產(chǎn)出,就能夠有效抑制耐用品部門(mén)的波動(dòng),改進(jìn)社會(huì)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(xué)位授予單位】：中央財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2016
【分類號(hào)】：F822.0
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本文編號(hào)：1343268