【作者】 闵远光；

【导师】 胡海鸥；

【作者基本信息】 上海交通大学 ， 金融学， 2009， 博士

【摘要】 货币政策的目标是保持本国币值稳定,是货币当局藉由各种货币政策工具来实现的。货币政策的实际效果既与实现货币政策目标的政策工具选择是否恰当直接相关,也与货币当局调控经济运行所运用的货币政策操作方式紧密相关。货币政策理论及其政策实践在我国仍然是一个新兴的课题,货币政策目标、货币政策操作以及货币政策框架的各个方面都有待学术界和货币当局去研究和探索。在市场经济建设不断深化、经济转轨已经进入攻坚阶段的我国经济中,研究货币政策操作方式,研究如何提高货币政策效率、增强货币政策有效性,对于促进我国关于货币政策理论和宏观经济理论的发展,以经济理论和货币理论为我国经济增长和经济发展提供理论支持,具有非常深远的意义。利率平滑操作方式是西方主要国家中央银行在最优货币政策理论指导下,不断深化认识和理解经济运行的规律和特征,从货币政策实践中总结出的政策操作的经验性方法,已经成为西方主要国家普遍采用的政策操作方式。近年来,我国中央银行转变利率调整方式,连续以0.27个百分点的幅度调整一年期商业银行存贷款利率影响经济运行,显示出我国中央银行已经注意到政策调整的操作方式对经济运行的影响,期望政策变化能够使经济运行在不同状态间平滑过渡,既实现货币政策调控宏观经济的目标,又能够降低政策变化本身对于经济的冲击,降低宏观经济波动。利率平滑操作是我国货币政策操作的选择方向。本论文就是通过运用货币政策理论从中央银行和市场微观主体两个角度研究基准利率平滑操作方式的运行机制,探索我国经济转轨过程中货币政策平滑操作的特点、规律和所需要的市场经济条件,以及利率平滑操作所产生的政策效应,为我国中央银行形成货币政策框架,完善货币政策操作,降低政策调整本身对于经济运行的冲击,防止经济出现大起大落,将宏观经济运行渐进地调整到市场总量资金供求大体均衡的短期均衡状态上来,最终有效调控经济、实现经济平稳快速健康发展和推进市场经济体制的建设提供理论支撑和决策思路。本论文遵循宏观经济理论关注微观基础的发展趋势,从中央银行的角度和微观基础的角度,运用计量分析工具,从以下几个角度对利率平滑作用于宏观经济的影响机制以及在我国的适用性进行了探讨:(1)对我国经济转轨进入攻坚阶段,改进货币政策操作增强货币政策有效性的必要性和重要性进行分析;(2)以美国季度经济数据重点考察了利率平滑操作与经济运行规律的吻合程度,论证了利率平滑的微观合意性,指出我国应继续深化企业改革以改善微观环境对于经济政策信号的敏感性;(3)基于利率平滑操作宏观合意性和微观合意性的宏观经济均衡搜寻机制进行了梳理和分析,以搜寻机制将利率平滑产生的政策效应系统化为一个有机整体;(4)从利率平滑操作提高货币政策效率、改善货币政策调整经济的过程的角度探讨增强货币政策有效性,进一步深入研究利率平滑政策机制的政策效应;(5)对我国经济转轨阶段支持利率平滑操作和制约利率平滑操作的经济环境和市场条件进行分析,提出基于利率平滑操作的我国货币政策设计以及利率平滑操作应用的阶段性。在理论分析利率平滑操作的宏观合意性和微观合意性的基础上,本文探讨利率平滑操作的作用宏观经济的影响机制以及如何应用于我国转轨经济的宏观调控,从五个部分展开论述和分析,内容结构安排和主要观点如下:文章第一部分(绪论)对利率平滑操作的概念内涵进行界定,围绕利率平滑操作方式运用于我国的重要性和现实意义进行了阐述。第二部分(第二章)是对利率平滑操作作为一种货币政策操作方式,其产生发展的历史渊源和经济环境变迁进行梳理,由此考察我国建国以来利率调控的思路演变,说明了随着我国经济转轨的深入利率管制逐步放松和发挥作用的过程,同时也对利率管制对于利率作用的发挥和利率平滑操作在我国运用的制约做出铺垫。第三部分(第三章和第四章)分别从中央银行最优货币政策的角度和微观均衡的角度构建蕴含有利率平滑操作的货币政策规则模型和动态一般均衡模型论证利率平滑操作的宏观合意性和微观合意性。基于最优货币政策理论,比较泰勒型货币政策规则中引入和不引入利率平滑操作对于宏观经济效应的差别,引入利率平滑操作后通货膨胀动态表现出更大的稳定性,目标利率受到长期自然利率的影响比没有利率平滑操作时权重更大,利率平滑操作具有宏观合意性。关于利率平滑操作的认识得以在完整的理论框架内以货币政策规则为载体展开研究,使得利率平滑操作由不确定经济环境中的一种货币当局经验性的谨慎操作进化为以最优货币政策理论为坚实理论支撑的规范政策行为。基于动态一般均衡理论,在含有消费外部性的简单货币经济的基础上分别引入粘性价格、不完全竞争等因素,模拟货币经济在遭受冲击情形下各重要变量的反应轨迹,选取美国实际数据进行校准,揭示了利率反应轨迹较好地拟合了美国实际数据,利率平滑操作也具有微观合意性。利率操作具有宏观合意性和微观合意性,为利率平滑操作的进一步应用提供了理论支持。第四部分(第五章和第六章)是第三部分的逻辑延续。在利率平滑操作宏观合意性和微观合意性的基础之上,第五章提出利率平滑操作是宏观经济短期均衡状态的搜寻机制的创新观点,从而提升了利率平滑操作在最优货币政策框架内的地位和作用。利率平滑操作不仅仅是一种中央银行在不确定经济环境中的最优政策操作方式,利率平滑操作凭借自身所具有的微小幅度特征、同方向性特征和连续性特征以渐进式的最短路径搜寻和逼近宏观经济短期均衡状态。利率平滑搜寻机制的实质是货币政策最终目标由单一目标到多目标再到单目标的发展演变中“中性”货币政策理念的政策实践,是货币当局尊重经济持续性规律和遵循微观主体行为特征,避免政策调整本身对于经济规律的扭曲和破坏的政策体现。第六章进一步深入研究利率平滑操作的宏观经济均衡状态搜寻机制对于货币政策效率和货币政策有效性的影响,利率平滑搜寻机制通过提高货币政策效率、改进货币政策作用于经济的过程来增强货币政策有效性,有助于降低经济波动以促进经济增长,从而将利率平滑操作所产生的良好政策效应统领起来,构成一个系统性的作用于经济的政策机制。第五部分(第七章)探讨利率平滑操作在我国经济转轨中的适用性和基于利率平滑操作的货币政策设计。我国经济转型近30年,市场化程度已经能够支持市场配置资源的基础性作用,利率平滑操作在不同层次和深度上应用于我国的宏观经济调控具有必要性和适用性。经济转轨中的制度变迁和多种来源的冲击因素使得中央银行需要在技巧性层次上分散地运用利率平滑操作的各个特征。我国货币政策中介目标由货币供应量转向利率之后,利率平滑操作在机制性层次上才能得到系统深入稳定的应用。由此,基于利率平滑操作的我国货币政策设计应继续推进市场基准利率的建设,推进利率市场化进程,并推进国有企业改革,增强微观主体对于经济信号变化的敏感性,营造适合利率平滑操作从货币政策操作方式深化到宏观经济均衡状态搜寻机制的经济环境和市场条件。本文的论述注重理论揭示与实践应用的结合,集中深入地分析了利率平滑操作的理论依托、作用机制和实践应用的问题。从宏观和微观角度对利率平滑操作经济合意性进行了系统性论述,两个角度相得益彰,共同丰富了利率平滑操作的理论内涵,并特别针对利率平滑操作搜寻宏观经济均衡状态的政策功能进行了详细深入的剖析,以及紧密结合我国转轨经济的支持制约条件,提出我国应用利率平滑操作的货币政策设计。其中可能的创新之处在于三个方面:从宏观和微观角度为利率平滑操作寻求理论支持,论证了利率平滑操作的合意性;提出利率平滑操作是短期宏观经济均衡状态的搜寻机制的观点,将利率平滑操作由货币政策操作方式提升到货币政策搜寻机制的高度,从而系统化利率平滑操作所具有的良好政策效应;另外,基于利率平滑操作的角度区分货币政策效率与货币政策有效性的不同内涵,利率平滑操作以改进货币政策效率的作用机制增强货币政策有效性,使得中央银行注重政策调整作用于经济运行的过程具备了更为深入的理论支持。更多还原

【Abstract】 Monetary policy, as an important macroeconomic policy, is subject to stabilizing the value of money by all kinds of monetary policy tools. The practical effect of monetary policy is not only related to the desirable policy tools,but also to the conducting pattern or martingale by which monetary authorities affect the macro-economy. And monetary policy theory and practice is still a burgeoning task in China. During the course of economic transition to market-oriented economy, it is very profound to enhance monetary policy effectiveness by bettering monetary policy efficiency and to advance the economic growth and economic development of China.Interest rate smoothing is the inevitable direction of our monetary policy conduction. Interest rate smoothing has been a ubiquitous conducting pattern in the main developed countries such as America, England, Canada, EU etc. In these years, the People’s Bank of China changed its pattern of base rate adjustment by 0.27 percent, which shows that central bank has paid attention to the effect of conducting pattern to economic performance. Central Bank wants to reduce the economic shocks from policy change to macroeconomic volatility. Based on two perspectives as central bank and micro foundation, the dissertation is focused on the conducting mechanism of interest rate smoothing and emplore the combination between interest rate smoothing and our transitional economy. Furthermore, the dissertation shows another path for improving the market-oriented economic system construction from monetary policy conduction. In transitional economy, there are many kinds of shock source come from aggregate supply and aggregate needs and systematic transition and external economy disequilibrium. Our monetary policy framework has not come into being, money quantity is the intermedial goal of monetary policy, which characterizes our monetary policy as quantitatively conducting. Thus it is difficult to search for the equilibrium state of economic supply and needs.Following the trend of macroeconomic theory showing its main attention to micro-foundation, the dissertation discusses several problems about the action mechanism of interest rate smoothing on macro-economy and its desirability for our transitional economy: (1) Discussing the importance and necessity of enhancing our country’s monetary policy effectiveness. (2) Demonstrating the desirability of interest rate smoothing with US quarterly data and our continuing to deepen enterprises reform to boost up the sensibility of micro body to economic and policy’s signal. (3) Analyzing the searching mechanism for macroeconomic equilibrium of interest rate smoothing based on its macro desirability and micro desirability, and integrating the separate policy effects into a systematic framework. (4)Exploring the path for interest rate smoothing to enhance the monetary policy effectiveness by bettering the monetary policy efficiency and smoothing the adjustment routine, and further the effectiveness of searching mechanism. (5)Analyzing the supporting and restricting condition in our transitional economy, and prospecting the monetary policy design based on the effectiveness of interest rate smoothing and the necessity to gradually apply interest rate smoothing to our monetary policy conduction.In order to analyze the problem of applying interest rate smoothing to our country’s macroeconomic adjustment based on its macro and micro desirability, this thesis is constituted by five parts. The main structure and viewpoint is arranged as follows:In the first part, it discusses the essentiality and realism significance of our country’s monetary policy conduction by interest rate smoothing based on defining its concept.In the second part, it analyzes the historical origin and the changing environment of the conducting pattern as interest rate smoothing from the foundation of FRB of America in 1914, then this part reviews the gradually changing process of interest rates from controlling to marketing with adjusting the macro-economy at the beginning of our Republic Country. Before the reform and opening to the aboard, interest rates were completely controlled at a certain level ,which made interest rates not able to adjust the economic performance. So this part picks out an important question that marketerization is the necessary condition for interest rate smoothing, and it is a gradual process to introduce smoothing into our monetary policy framework.In the third part, monetary policy rule model with interest rate smoothing is constructed to show the logic process of macro desirability of smoothing and dynamic general stochastic equilibrium model is used to show the logic process of micro desirability of smoothing. By contrast of macroeconomic policy effect between introducing and not introducing interest rate smoothing in Taylor-type monetary policy rule, we have the conclusion that with interest rate smoothing the dynamic inflation shows more stability, and the goal interest rate is more heavily affected by the long-run natural interest rate, and interest rate smoothing has a strong characteristics of macro desirability by being introduced into monetary policy rule. The concept and its meaning of interest rate smoothing can be studied in the complete theoretical framework of monetary policy rule, which makes interest rate smoothing change from an experiential and prudent conduction pattern of monetary authorities to a canonical policy measure supported by a strong theory as optimal monetary policy. Based on the dynamic general equilibrium theory, introducing some factors such as stick price and incomplete competition into a simple monetary economy with consumption externality, the simulation of US economy shows that the response of many important macroeconomic variables to technological shocks are very similar with the actual track of US economy. Also, interest rate smoothing has a strong characteristic of micro desirability. The macro and micro desirability of interest rate smoothing supply strong theoretical support for further application of interest rate smoothing in our transitional economy.The forth part is the logic extension of the third part. Based on the macro desirability and micro desirability of interest rate smoothing, the fifth chapter brings forward the innovation viewpoint that interest rate smoothing is a searching mechanism of macro economic equilibrium state in the short-run, which upgrade the status of interest rate smoothing in the optimal monetary policy framework. Not only interest rate smoothing is the optimal monetary policy conduction pattern of monetary authorities in the uncertain economic environment, but also it is a searching mechanism of macroeconomic equilibrium by means of its three typical characteristic including tiny extent and accordant direction and continuity. The essence of the searching mechanism of interest rate smoothing is the practical embodiment of“neutral”monetary policy during single-goal changing to the multi-goals and then changing to single-goal again of monetary policy, and reflect the evolution of monetary policy concept about economic persistence and micro-foundations’economic behavior. And the sixth chapter focuses further attention on monetary policy efficiency and monetary policy effectiveness of the searching mechanism of macroeconomic equilibrium for interest rate smoothing. The searching mechanism can enhance monetary policy effectiveness by bettering monetary policy efficiency and smoothing the adjustment process of economy as well as reducing social welfare loss. Interest rate smoothing relates the economic volatility to economic growth by inducing the economic direction to equilibrium which is helpful to going on developing along the long-run growth path that is subject to economic resources endowment such as population and technology and land.The fifth part explores the applicability of interest rate smoothing in our transitional economy and construct a systematic monetary policy design based on interest rate smoothing. It is necessary and applicable to depend on interest rate smoothing at different level as we have gone on transition to market-oriented economy and market has been playing the fundamental action in resources allocation. In our transitional economy, monetary authority has to make disperse use of the characteristics of interest rate smoothing at martingale level because of institutional transition and many kinds of shocks. Until monetary policy intermedial target has been transformed from money supply quantity (M2) to interest rate, interest rate smoothing then can be used systematically and steadily. According to the above analysis, our monetary policy design based on interest rate smoothing should be promoted from the following aspects: constructing the market-oriented base interest rate , and accelerating interest rate marketerization process, and deepening the state-owned enterprises reform, and enhancing the sensibility to economic change signal of micro-foundation. All these transitional condition can support interest rate smoothing to be used from martingale to mechanism with desirable economic environment and suitable market condition.The dissertation pays attention to the combination of theoretical understanding and practical application, with concentratively analyzing on the problems of optimality of interest rate smoothing and its application to our transitional economy. Two prospects as macro and micro desirability enrich the connotation of interest rate smoothing systematically. And the dissertation aim at the searching mechanism for macro-economic equilibrium of interest rate smoothing that is a helpful to our monetary policy conduction to adjust the macro-economy. Among the analysis, the possible innovation is theoretical support for interest rate smoothing from macro and micro aspects and the searching mechanism of macro-economy equilibrium state as well as distinguishing monetary policy efficiency from monetary policy effectiveness. Thus the difference between monetary policy effectiveness and monetary policy efficiency make us pay more attention to the adjusting process of macro-economy conduced by monetary policy. This dissertation maybe able to give some reference to monetary authority with theoretical support when depending on interest rate smoothing in monetary policy conduction.更多还原