【作者】 韦邦荣；

【导师】 杨玉生；

【作者基本信息】 辽宁大学 ， 经济思想史， 2010， 博士

【摘要】 在货币政策的研究领域中,规则与相机抉择之间的争论,已有很长的历史。自20世纪70年代以来,货币政策规则理论研究取得了突破性进展,尤其是动态不一致性理论的提出,使人们认识到相机抉择的货币政策易于引起时间不一致性和通货膨胀倾向。20世纪90年代,货币政策规则在理论和实践方面的重要进展表现在：Taylor(1993)提出了以利率为政策工具的泰勒规则、1990年新西兰在世界上率先实行通货膨胀目标制的货币政策、以Svensson等为代表的经济学家对通货膨胀目标制进行了较为深入的理论研究,所有这些都极大地推动了货币政策规则理论的研究。自新西兰实行通货膨胀目标制以来,许多国家纷纷采用了这种新的货币政策框架,其货币政策操作具有规则性的因素,这种货币政策的实施,对于这些国家成功控制通货膨胀,实现宏观经济的稳定具有极其重要的作用。自1984年中国人民银行履行中央银行职能以来,我国的货币政策的操作具有相机抉择的特点,宏观经济处在冷热交替之中,宏观经济时常面临着不稳定性的威胁。从20世纪90年代中期开始,我国开始实行以货币供应量为中介目标的货币政策框架,货币供应量在宏观调控中重要性日益显示。然而,近年来的货币政策实践表明,货币供应量指标与货币政策最终目标之间关系的稳定性在下降,中央银行对货币供应量的控制越来越困难,货币供应量的内生性在增强,中央银行通过控制货币供应量以实现货币政策目标的有效性正在下降,因此迫切需要对现行的货币政策框架进行调整和完善。由于相机抉择的货币政策容易产生动态不一致性和通货膨胀倾向,因此,在货币政策框架中引入规则的因素显得尤为必要。在进行货币政策框架的设计时,需要弄清楚的问题是：货币政策规则的类型有哪些?每一种类型的货币政策规则的适用条件是什么?其实践效果如何?我国现行的货币政策框架有效吗?如果我国现行的货币政策框架缺乏效率的话,那么在我国未来的货币政策框架选择中,应该考虑选择哪种货币政策规则?所有这些正是本文需要研究的问题。本文研究的主要内容为：导论部分主要介绍论文的研究背景与研究意义,对国内外在货币政策规则方面的研究进行了较为全面的综述,简要阐述了论文的主要内容以及研究方法,指出了论文的主要创新与不足。第1章给出了货币政策规则的概念,并对货币政策规则进行了分类,尤其是对目标规则与工具规则进行了详细的介绍。工具规则不仅包括传统规则,如泰勒规则、McCallum规则、弗里德曼规则、梅尔泽规则,而且包括非传统规则,如汇率规则和货币条件指数。目标规则主要涉及通货膨胀目标规则、价格水平目标规则、货币增长目标规则、名义GDP目标规则、汇率目标规则和通货膨胀-价格水平混合目标规则。第2章是货币政策规则理论研究的起点,通常来说,货币政策存在两种操作方式,一种是以规则的方式进行,一种是以相机抉择的方式进行,究竟哪种方式更可取?对此,学术界曾进行过长期的争论。动态不一致性理论的提出,结束了规则与相机抉择之间的长期的争论。该理论认为,相机抉择的货币政策容易导致时间不一致性和通货膨胀倾向。巴罗和戈登的研究进一步证明了规则优于相机抉择；为了克服货币政策的通货膨胀倾向,除了采用规则性的货币政策外,从理论上来说,还有其它多种方案可供选择,如声誉约束、雇佣保守中央银行家进行货币政策操作、采用带有免责条款的委托代理、设计最优激励性契约和实行通货膨胀目标制。第3章分别从图形和数理模型的视角对货币政策工具选择理论进行分析,研究认为,利率与货币量的选择取决于IS曲线和LM曲线的稳定性。对于著名工具规则泰勒规则的推导,本文采用两种方法,一是从货币数量论的角度推导出泰勒规则,二是从动态宏观经济模型的角度进行推导。自泰勒提出泰勒规则以来,经济学家广泛地运用泰勒规则对各国的货币政策进行实证分析和政策评价,同时对泰勒规则进行修正与扩展。关于泰勒规则在实证方面的应用,本文主要从以下几个方面进行分析：泰勒规则在发达经济体的应用；泰勒规则在新兴市场经济体的应用；泰勒规则在中国的应用。第4章主要研究最流行的目标规则：通货膨胀目标制。主要内容包括通货膨胀目标制的内涵与特点、实行通货膨胀目标制的前提条件、通货膨胀目标制对宏观经济影响的效果。由于近年来价格水平目标制和名义收入目标制这两个目标规则在理论研究中的重要性日益显现,国外近年来对这两个目标规则关注的文献日益增多,本文在国外文献研究的基础上,对通货膨胀目标制与这两个目标规则的比较进行了归纳。第5章对我国现行的货币政策框架的有效性进行实证分析,研究认为我国现行货币政策框架的有效性在下降,有必要对现行货币政策框架进行改革与完善,建议我国未来货币政策框架的改革方向是向通货膨胀目标制转变。本文的创新主要表现在：第一,利用时变参数模型估计中国的货币政策反应函数。目前国内主要利用不变参数的泰勒规则对中国货币政策进行检验。而中国是一个处于转型中的发展中国家,中央银行的货币政策目标处在调整变化中,货币政策的框架在渐进调整之中,中央银行对各宏观经济变量的变化的反应也随着时间的变化而发生变化,使用不变参数的泰勒规则对中国的货币政策反应函数进行估计可能不太恰当,因此,本文使用状态空间模型和Kalman滤波估计的时变参数的泰勒规则可能更加符合中国的实际。第二,利用平滑转换回归模型估计非线性的泰勒规则。国内现有的文献,大多采用线性泰勒规则来估计中国中央银行的反应函数。实际上,中央银行在面对不同的通货膨胀压力和经济增长环境下,对宏观经济变量的反应可能不同,线性规则难以对这种情形加以刻画。本文利用平滑转换回归模型对我国中央银行的货币政策反应函数进行检验,认为我国中央银行的货币政策具有非线性的特点。第三,对通货膨胀目标制与其他目标规则的比较进行归纳。国内现有文献对目标规则的研究主要集中在对通货膨胀目标制的介绍上。其它两个目标规则,价格水平目标制和名义GDP目标制虽然没有在实践中得到应用,但却具有重要的理论研究价值。国外近年来对这两个目标规则研究的兴趣正在日益增强。本文在现有国外文献研究的基础上,对通货膨胀目标制与价格水平目标制和名义收入目标制这两个目标规则之间的比较给予介绍,以引起国内学术界对这两个目标规则的研究进行关注。更多还原

【Abstract】 The controversy between rules and discretion in the monetary policy research has a long history. Since the seventies of the 20th century, monetary policy rule has made breakthrough progress in theoretical research, after the theory of dynamic inconsistency being put forward, people began to realize that discretionary prone to time inconsistency of monetary policy and inflation bias. The significant progress of monetary policy rules in theory and practice in the 1990s reflected in the following:Taylor (1993) put forward a Taylor rule that interest rate as policy instrument, New Zealand took the lead in the world to establish inflation targeting monetary policy in 1990. Svensson, as a representative, had been intensive studying the theory of inflation targeting. All of these greatly promoted the research in monetary policy rule theory. After New Zealand first implementation of inflation targeting, many other countries have also adopted this new monetary policy framework, The implementation of monetary policy that include rule in these countries can successfully control inflation and achieve macroeconomic stability.After 1984, the People’s Bank of China to perform the functions of the Central Bank, the operation of monetary policy decisions with the discretion features, The macro-economy state had been changing between hot and cold, and macroeconomic instability faced with the threat. In the mid-90s from the 20th century, China began to implement monetary policy framework that money supply is the intermediate target, it became important for money supply in the macro-control. However, the performance of monetary policy in recent years shows that relationship between the money supply indicators and the ultimate objective of monetary policy had become instable, it is become more and more difficulty for the central bank to control money supply, the endogenous of money supply is increasing, the efficiency of central bank through controlling money supply to achieve monetary policy objectives is declining, it is an urgent for monetary authority to adjust and improve the current monetary policy framework.. Because of discretionary monetary policy being prone to inconsistency and inflationary bias, therefore, it is important for China to introduce rule in the monetary policy framework. During the design of monetary policy framework, it is necessary to clarify the following question:Which kind of monetary policy rules there is? What is the application of each type of monetary policy rules? How about effective of each type of monetary policy rules in practice? Is China’s current monetary policy framework effective? If China’s current monetary policy framework lack of efficient, then which monetary policy rule should be selected for the China’s, future monetary policy framework design? The dissertation will study all above issue. The main content of this dissertation is:Introduction section introduces the research background and significance, overviews monetary policy rules research home and aboard, briefly describes the main contents and research methods in this dissertation, points out the major innovation and deficiencies of the dissertation.Chapter 1 gives the concept of monetary policy rules, and monetary policy rules are classified, in particular to introduce in detail about the instrument rules and targeting rules. Instrument rules not only include the traditional rules, such as Taylor rules, McCallum rules, Friedman rule, Melzer rules, but also non-traditional rules, such as exchange rate rules and monetary conditions index. Targeting rules Mainly include following rules, such as inflation targeting rule, price level targeting rules, monetary growth targeting, nominal GDP targeting rule, exchange rate targeting and hybrid inflation and price-level targeting.Chapter 2 is the starting point for monetary policy rule theory research. in general, There are two way to implement monetary policy,one way is with rules, the other way is with discretion. The question is which way is more appropriate? Various economics schools had been debating in this subject for a long time. The dynamic inconsistency theory ended the long time dispute between rules and discretion. The dynamic inconsistency theory suggest that discretionary monetary policies is easily result in time inconsistency and inflation bias. Barro and Gordon’s research further verified the rules is better than discretionary; In order to overcome the inflationary bias in monetary policy, in addition to use monetary policy rules, there are other options available in theory, such as the reputation constraints, hiring a conservative central bankers to implement monetary policy, the use of the Principal-agent Theory with escape clause, design the optimal incentive contract and the implementation of inflation targeting. Chapter 3, The theory of monetary policy instrument choice is analyzed both from the perspective of graphical and from mathematical model. The research suggest that the instrument choice between money supply and interest rate depends on the stability of IS curve and LM curve. To derive the famous instrument rule:Taylor rule. There are two method can be used, one is from the perspective of the quantity theory of money, the other is from the perspective of dynamic macroeconomic models. Since Taylor put forward his famous instrument rule, the Taylor rule has been extensively used in studying and evaluating most of countries’monetary policy, in empirical study economist also modified and extended Taylor rule. About the application of Taylor rules in empirical study,this dissertation main include the following studies:Taylor rule is applied to estimate the developed economies’monetary police reaction functions; Taylor rules is applied in estimating emerging market economies’monetary policy rule; Taylor rule is applied to estimate China’s monetary police reaction functions.Chapter 4 is mainly study the most popular targeting rule:inflation targeting. The main content of research include the content and features of inflation targeting, the prerequisite conditions for inflation targeting implementation, the effect of inflation targeting impact on macro-economy. It is growing important for two targeting rule (price level targeting and nominal income targeting rules) in recent years. For this reason, It is necessary to make a comparative analysis for inflation targeting and these two targeting rules.Chapter 5, we make a empirical research about the effectiveness of our current monetary policy framework. The research show that the effectiveness of the current monetary policy framework is decline, it is necessary to reform and improve the current monetary policy framework, the research suggest that the reform direction of China’s future monetary policy framework is to transfer to inflation targeting. The innovation of this dissertation is mainly manifested in:Firstly, we use time-varying parameter model to estimate China’s monetary policy reaction function. At present, most researchers mainly use time-invariant parameter Taylor rule to test China’s monetary policy. China is a developing country in transition, the central bank’s monetary policy objective is always changes and adjustment, the monetary policy framework in the gradual adjustment, the responses of central bank to the changes of macroeconomic variables is changing, using the time-invariant parameter Taylor rule to estimate China’s monetary policy reaction function may not be appropriate, therefore, It may be more in line with China’s actual for using state-space model and Kalman filter to estimate time-varying parameters Taylor rule.Secondly, we use smooth transition regression model to estimate the nonlinear Taylor rule. At present, most researcher use linear Taylor rule to estimate China’s central bank’s reaction function. In fact, the central bank in the face of different inflationary pressures and different growth conditions, the response of the central bank to macroeconomic variables are also different, it is difficult for the linear rule to describe this situation. In this paper, we use smooth transition regression model to estimate the China’s central bank’s monetary policy reaction function. The research shows that the China’s central bank’s monetary policy reaction has nonlinear characteristics.Finally, we summarize the comparative studies between inflation targeting and the other two targeting rules. Existing literature on the targeting rules have focused on the introduction of inflation targeting. Although the other two targeting rules, such as price level targeting and nominal GDP targeting, is not applied in practice, but it has important theoretical research value. The research interests about the two targeting rules has been growing in recent years abroad. Based on the existing of Foreign literature, we give a comparison between inflation targeting and two targeting rules (price level targeting and nominal GDP targeting). The aim is to attract researcher to study.the two targeting rules.更多还原