【作者】 闫思；

【导师】 艾洪德；

【作者基本信息】 东北财经大学 ， 金融学， 2013， 博士

【副题名】基于新开放经济宏观经济学视角

【摘要】 量化宽松(Quantitative Easing,即QE)是指中央银行通过直接进入市场购买债券等方法,增加基础货币供给,向市场直接注入流动性的货币政策干预方式。众所周知,政府调控经济的手段主要包括财政政策和货币政策。当政府债务居高不下,进入临界点时,财政政策的使用受到制约,或者政策效果已然不明显。而货币政策,大体包括间接货币政策和直接货币政策。间接货币政策是指调控“率”的政策,而直接货币政策,则是指公开市场业务包括量化宽松这一类的政策。NOEM,即New Open Economy Macroeconomics,也就是新开放经济宏观经济学,指的并不是一个学科,而是为了区别于在国际经济学中以M-F-D传统为代表的“旧”的研究范式。和被称为“新魏克塞尔主义”、“新凯恩斯主义”和“新新古典主义”的研究方法相比,NOEM模型更贴近于货币经济学,更关注开放经济中的情况。所以基本的NOEM模型也融合了劳动力市场和产品市场中的不完美竞争、名义刚性和最优价格设定导致的时变利润。新开放经济宏观经济学最显著的两个特点就是具有坚实的微观基础和能够进行明确的福利分析。后者则是以前者为基础的。正是因为具有坚实的微观基础,才能够通过进行总效用分析的方式进行福利分析,从而进行政策比较。目前全世界动态经济学、宏观经济学的一个重要甚至可以说是主流的分析方法莫过于DSGE方法,之所以称之为“方法”而不是模型,是因为其是由(Kydland FE, Prescott EC,1982)产生的一个研究方法,而后经济学者们又将这个方法应用到各自学派的模型中,形成了自己学派的相应的模型,所以笔者认为DSGE实际上是一种方法,而非特定的模型。但国内对于经济学的规范面的分析和研究、数理模型的推导等问题重视程度和认同程度都不是很高。本文更多的是希望能够推动采用DSGE方法研究开放经济中的货币政策的理论基础,并进行了一些实证检验。宏观经济学在凯恩斯学派诞生后就一直是经济学中尚未得出系统性定论的分支。货币,则是宏观经济学中炙手可热的研究主题。而货币在开放经济中的表现如何不同,也是理论界一个十分重要的话题。在国内,由于历史沿革和教学传承等关系,对于货币政策的研究一直是经济学界和金融学界(特别是宏观金融界)最主要的讨论话题之一,但是对于在开放条件下货币政策的研究则相对较少。另一方面,国内大量的科研资源和精力都投入到了实证研究和政策分析中,对于经济学理论最前沿的技术和理论引进得不足。更是由于各种争论等原因存在,不能及时将国外最先进、最前沿的理论和技术在中国的角度进行应用。本文利用新凯恩斯学派的观点,采用DSGE方法,开放经济中的NOEM框架,结合中国的实际参数值,对比较典型的冲击进行了模拟和分析。之后则提出了相关理论发展的一些设想。本文在对新开放经济宏观经济学(NOEM)模型的相关设定进行了简单的整理,并在此基础上,综合贸易品与非贸易品的设定和国家开放度来分析两国在非对称定价机制和价格粘性的情况下从福利角度对最优货币政策进行分析,充实了NOEM框架下对于在中国货币政策分析的经验证据。通过对中国与美、欧、日三国的经验数据进行对比研究除了得出利率对与货币供应量有显著影响的结论外,还得出了日本的货币政策对于中国的货币政策也有很强的影响力的结论。我们还发展了一个动态随机一般均衡(Dynamic Stochastic General Equilibrium,即DSGE)方法新开放经济宏观经济学(New Open Economy Macroeconomics,即NOEM)框架下的新凯恩斯粘性价格和粘性工资小国模型。本文的理论模型承继了带有习惯的封闭经济DSGE模型,将其用NOEM的框架扩展到小国开放经济中,并尝试在家庭预算约束中加入信贷变量,进而放松其约束,辅以具有中国特色的货币政策方程,考察冲击带来的模型反馈。重点是细致地分析理论模型,之后加入货币政策冲击,来讨论中国各参数的设定和通过脉冲相应方程来评价模型的特点。自DSGE方法提出以来,已有30年的时间,国外主流宏观经济学理论模型都已经过了该方法的改革,但目前国内对于该方法的使用还不是很广泛。我国建立能够得到相对广泛认可的较官方的DSGE方法的宏观理论模型也指日可待,本文希望能够在推动我国建立开放的新凯恩斯的DSGE方法下的模型略尽绵薄之力。多个发达和新兴国家或经济体的中央银行都对于DSGE方法给与了很高的重视,并且在不同程度上应用着采用DSGE方法建立的模型。大量的宏观经济学都是围绕着增长理论和货币模型展开的,而其近段时间的发展无外乎包括了不完美竞争、名义刚性等进入DSGE方法类模型的结构。货币政策成为了一个潜在的稳定性工具,但同时,它也是一把双刃剑,因为其也可以成为一个经济波动的独立来源。国内对于货币政策的研究也相当丰富,这其中包括对于相机抉择和规则的研究,不同的规则如货币供应量规则和泰勒规则的研究,不同中介目标的研究,货币政策有效性的研究,不同的泰勒规则细节的孰优孰劣的研究等。本文主要讨论了小型开放经济情形下的货币政策问题,包括模型内部的结构问题。对于两国模型的情形,则采取了宏观计量的方式进行了初探。在小型开放经济情形下,加入了粘性价格和粘性工资的情况,采取的方式是Calvo的交错价格方法。交错价格的引入粘性的方式,可以使货币政策对于真实经济变量的影响更为多样。新凯恩斯主义虽然在金融危机之后饱受质疑,但其仍然是经济学界的主流方法之一,特别是在目前的中国,其强调政府干预的观点正符合目前经济工作的思路。提到新凯恩斯主义,其最显著的三个特点为：一、名义刚性；二、市场结构是垄断竞争的,也就是说包含不完美竞争；三、货币政策非中性,事实上这一点是由于按照第一点的模型设定得到的,但也可以说是为了使货币政策非中性,而引入粘性。国内对于货币政策的研究的方法大多集中于计量方法,通过对不同指标进行检验,最后得出结论。虽然这种计量方法十分必要,但难免有对于“黑箱”的隔靴瘙痒之感,使之对于货币政策如何真正在经济运行中起到作用的理解帮助略显单薄。国内对于货币政策的数理模型推导和建立却显得重视不足,尤其是将货币政策方程(MPE)放到整个经济的方程系统中进行讨论的相关研究还较少。粘性是货币对实体经济产生影响的方式,也即是名义量对实际量产生影响的方式。而粘性,有两种主要的进入模型的方式,一种是粘性价格,另一种粘性工资。而开放模型,一般有两国模型和小国模型两种处理方式。这样就产生了粘性价格两国模型、粘性价格小国模型、粘性工资两国模型、粘性工资小国模型、粘性价格工资两国模型以及粘性价格工资小国模型六种组合。本文主要针对货币政策操作会产生怎样的货币政策冲击,以及在冲击下经济体各变量是如何反应的进行了分析。本文结构如下：首先第一章是导论部分,介绍了研究的背景和意义,研究的思路和采取的主要方法,可能存在的创新点以及有待改进之处。第二章是理论基础和文献综述部分。本文的理论基础是NOEM框架,对于该框架,分别从新凯恩斯主义学派角度、动态随机一般均衡方法角度和新开放经济宏观经济学三个角度对本文的理论基础进行一个梳理。接着对量化宽松相关的文献综述进行了讨论。第三章对新开放经济宏观经济学这个框架进行了分析,包括对其前身Redux模型的设定进行分析,接着对新开放经济宏观经济学的开山之作(Obstfeld M,RogoffK,1996)进行了详尽的分析和阐述。在DSGE方法的角度对模型的设定进行重新审视,对NOEM框架下即新凯恩斯DSGE方法类模型的基本设定和求解的技术手段进行一个一般性的阐述。该章对Redux模型产生以来的最新进展,各个方面进行综合分析和表述,特别是对于定价方法和货币政策分析部分进行了着重的表达。之后梳理了过去NOEM框架的发展历程,并展望了未来的发展方向。第四章对本文采用的基准模型进行了具体的设定和相应设定原因的剖析,并在NOEM框架下究竟本文要建立怎样的模型,小国模型和两国模型各有哪些优劣,模型的建立需要注意哪些方面,求解模型通过哪些技术手段进行实现等方面在本章进行阐述。第五章对NOEM框架下的中国模型的开发进行了尝试,并针对中国的具体情况进行了参数设定及校准,随后进行了模拟,并观察以货币供应量为代表的需求冲击对模型的影响和脉冲相应函数的表现情况。第六章对NOEM框架下的货币政策进行了一个简单的应用,可以说是小试牛刀,并且进行了一系列的相关宏观经验检验。第七章是本文的一些结论和后续研究的设想。最后是附录、参考文献和后记。更多还原

【Abstract】 Quantitative easing (QE) refers to the central bank purchasing bonds directly from the market, increasing the supply of base money, inject liquidity monetary policy intervention.As we all know, the means of government regulation of the economy, including fiscal policy and monetary policy. When the government debt is huge, to enter the critical point, the use of fiscal policy will be restricted, or the effects of policies are already limited. Monetary policy in general, includes indirect and direct monetary policy and monetary policy. Indirect monetary policy is the regulation of "rate" policy, and direct monetary policy, open market operations including quantitative easing policy.New Open Economy Macroeconomics, a.k.a. NOEM, does not refer to a new discipline, but in order to distinguish it from the international economics MFD traditional "old" research paradigm. And is known as the "the new Wicksell","New Keynesian " or " neo-classical "method, NOEM model is closer to monetary economics, and more concerned about the situation in an open economy. So basic NOEM model also combines imperfect competition in labor and product markets, nominal rigidities and the optimal price setting which due to time-varying profit. The new open economy macroeconomics most notable feature is the solid micro-foundation and can be used to do benefit analysis. The latter is based on the former is based. It is solid microscopic foundation through for total utility analysis for welfare analysis, policy comparison.Dynamic in the world of economics, macroeconomics is an important and even can be said that mainstream analysis method than the DSGE method is called a "process" rather than the model, because it is (Kydland FE, Prescott EC,1982), a research method, and then the economic scholars turn this method is applied to the respective school model, the corresponding model of the formation of their own school, so I think the DSGE is actually a method, rather than a specific model.But the degree of attention and recognition of the degree of domestic economics specification surface analysis and research, the derivation of the mathematical model is not very high. This article is more of a hope to promote the use of the DSGE method in an open economy monetary policy theoretical basis, and some empirical tests. Macroeconomics has been after the birth of the Keynesian economics has not yet come to systemic conclusion branch. Currency is a hot research topic in macroeconomics. How the money enters an open economy model is still a controversial topic among the theorists.In the country, due to the relationship between History and teaching inheritance, monetary policy has been one of the economists and financial circles (especially macro-financial sector), the most important topic of discussion, but for the study of monetary policy in open conditions is relatively small.On the other hand, a large number of domestic research resources and energy into empirical research and policy analysis, the lack of the most cutting-edge technology for economic theory and theoretical introduction. Is due to the various arguments and other reasons exist, the most advanced, most cutting-edge theories and techniques cannot be applied in China’s point of view.Using the point of view of the New Keynesians DSGE method, the NOEM framework of an open economy, combined with China’s actual parameter values, the typical impact simulation and analysis. The following is the theoretical development of ideas.In this paper, the new open economy macroeconomics (NOEM) model set of simple finishing, and on this basis, trade goods and the set of non-tradable goods and national openness to analyze the two countries in asymmetric pricing mechanism and price stickiness in the case of optimal monetary policy from a welfare point of view to analyze and enrich the evidence of experience in China’s monetary policy analysis in the framework of the NOEM. Comparative study with empirical data on China and the United States, Europe, and Japan in addition to draw interest rates have a significant effect on the money supply conclusion also reached Japan’s monetary policy also has a strong impact on China’s monetary policy Conclusions of the force. We have also developed a dynamic stochastic general equilibrium (Dynamic Stochastic General Equilibrium, namely DSGE) New Open Economy Macroeconomics (New Open Economy Macroeconomics, that NOEM) under the framework of the New Keynesian sticky prices and sticky-wage model of a small country. In this paper, a theoretical model inherited the closed economy DSGE model with habit, be extended to the small open economy with NOEM framework, and try to join the credit variable in the household budget constraint, then relax its constraints, supplemented with Chinese characteristics monetary policy equation, examine the impact of model feedback. Focus on detailed analysis of the theoretical model, by adding after the impact of monetary policy, to discuss each parameter setting and by pulses corresponding equation to evaluate the characteristics of the model.Since DSGE method has been proposed more than30years, the foreign mainstream macroeconomics theoretical models have been after the reform of the methods, but for the domestic use of the method is not very widely. This country was founded to be relatively widely recognized than the official the DSGE method of macro-theoretical model is also just around the corner, we hope to be able to promote China to establish an open New Keynesian DSGE model little humble.Many developed and emerging countries or economies of the Central Bank for DSGE method to give high attention and applied in varying degrees the DSGE established model.Growth theory revolves around a lot of macroeconomics and monetary model expanded Recently, the development of nothing less than including imperfect competition, nominal rigidities into the DSGE method class model structure. Monetary policy has become a potential stability tools, but at the same time, it is also a double-edged sword, because it can also become an economic fluctuations independent sources. Domestic monetary policy is quite rich, including discretionary rules, different rules, such as the money supply rules and the Taylor rule, the study of the different intermediate target of monetary policy effectiveness research, different Taylor rule, and the details of which one is better research. This paper mainly discusses the case of a small open economy monetary policy issues, including the internal structure of the model. For the case of the model of the two countries, to take the macro measured Exploration. In the case of a small open economy, joined the sticky prices and wages was modeled, taken Calvo staggered price method. Different settings of staggered sticky prices impact the monetary policy on real economic variables.New Keynesian suffered questioned after the financial crisis, but it is still one of the mainstream economists, especially in China, stressed the point of view of government intervention is in line with the idea of the current economic work. Said the New Keynesian three of its most notable features:First, nominal rigidities;, market structure is monopolistic competition, that is to say, a work containing the imperfect competition; Third, monetary policy is not neutral, in fact it is obtained in accordance with the first model set, but also can be said to make the non-neutral monetary policy, while the introduction of the viscous.Most of the domestic monetary policy focused on the measurement method, tested by different indicators, and finally concluded. Although this measure is necessary, but it is inevitable that a sense of itching across the "black box" boots, so that monetary policy how to really play a role in the economic operation help to understand a bit thin. Domestic monetary policy for the derivation and the establishment of the mathematical model seems insufficient attention to, especially monetary policy equation (MPE) on the entire economic system of equations are discussed in the relevant study also less.Nominal rigidity impact the real economy, that is, the nominal amount of the actual amount of impact. Stickiness, two main form of entry to the models is sticky prices and sticky wages.And open model, there are generally two approaches of the two models and the model of a small country. Thus, there are six combinations of creating sticky price and wage into small open economy model or two country model.In this paper, for the operation of monetary policy will produce what kind of monetary policy shocks, as well as economies under the impact of each variable is how the reaction was analyzed.The paper is structured as follows:The first chapter is the introduction part, introduced the background and significance of the research, the main method of research ideas and to take the possible existence of innovation as well as areas for improvement.The second chapter is the theoretical basis and the literature review section. Of this article the theoretical basis NOEM framework for this framework, new Keynesian perspective, the dynamic stochastic general equilibrium approach angle and the new open economy macroeconomics three angles a comb on the theoretical basis of this article. Then the literature review of quantitative easing was discussed.Chapter3is New Open Economy Macroeconomics framework analysis, including analysis of the set of its predecessor Redux model, and then the pioneer work on the new open economy macroeconomics (Obstfeld M, Rogoff K,1996) a detailed analysis and elaboration. Methodological point of view in the DSGE model set to re-examine the elaboration of a general model of the New Keynesian DSGE method in the framework of the NOEM basic settings and solving technical means. The chapter on the Redux model has been the latest developments in all aspects of a comprehensive analysis and presentation, especially for pricing methods and monetary policy analysis section focuses expression. After combing the past NOEM framework of development process, and look forward to the future direction of development.Chapter4is the baseline model used in this paper analysis of specific settings and the corresponding set of reasons, and what this article the NOEM framework to establish what kind of model, a small country model and the model of the two countries, which have their own advantages and disadvantages, model to establish the need to pay attention to what, to solve the model through which technical means to achieve other aspects described in this chapter.Chapter5the Chinese model developed under the framework of the NOEM try for specific parameter setting and calibration followed by a simulation and observe the money supply as the representative of the impact of demand shocks on the model and the performance of the impulse response function.Chapter6of monetary policy under the framework of the NOEM a simple application can be said that a small test chopper, and conducted a series of macro-empirical testing.Chapter7is some conclusions and follow-up studies the idea of this article.Finally, the appendices, references and Postscript come.更多还原