汇率传递、货币错配与最优货币规则
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摘要
本文将不完全汇率传递引入中国的货币政策规则分析中,利用DSGE模型深入探讨了开放经济中不同货币政策规则的福利效应。研究表明,在简单利率规则中引入三种不同形式的汇率调整项都能够有效地提高社会福利水平。特别是在汇率传递程度不高时,引入货币错配的利率规则能最有效地减缓本国经济中的福利损失;而且随着汇率传递程度的下降,加入货币错配的利率规则对福利的改进效果也越明显。因此,本文认为在人民币汇率传递程度较低的现阶段,中国货币当局应当加大利率与汇率的联动机制,把货币错配引入我国最优货币政策规则的调控中。
引文
Adolfson,M.,2007,“Incomplete Exchange Rate Pass-Through and Simple Monetary Policy Rules,”Journal of International Money and Finance,26(3) : 468-494.
Ball,L.,1999,Policy Rules for Open Economies,University of Chicago Press.
Benigno,G. and P. Benigno,2001,“Monetary Policy Rules and the Exchange Rate,”CEPR Discussion Paper,No. 2807.
Betts,C. and M. Devereux,2000,“Exchange Rate Dynamics in A Model of Pricing-to-Market,”Journal of International Economic,50,215-244.
Calvo,G.,1983,“Staggered Prices in a Utility Maximizing Framework,”Journal of Monetary Economics,12,983-998.
Cecchetti,S.,H. Genberg,J. Lipsky and S. Wadhwani,2000,“Asset Prices and Central Bank Policy,”The Geneva Report on the World Economy,No. 2.
Clarida,R.,J. Gali and M. Gertler,2000. “Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory,”Quarterly Journal of Economics,115,147-180.
Corsetti,G. and P. Pesenti,2005,“International Dimensions of Optimal Monetary Policy,”Journal of Monetary Economics,52,281-305.
Devereux,M. B. and C. Engel,2003,“Monetary Policy in the Open Economy Revisited: Price Setting and Exchange-rate Flexibility,”The Review of Economic Studies,70,765-783.
Devereux,M. B. and J. Yetman,2014,“Globalisation,Pass-Through and the Optimal Policy Response to Exchange Rates,”Journal of International Money and Finance,49,104-128.
Edwards,S.,2006,“The Relationship between Exchange Rates and Inflation Targeting Revisited,”NBER Working Paper,No. 12163.
Engel,C.,2011,“Currency Misalignments and Optimal Monetary Policy: A Reexamination,”American Economic Review,101,2796-2822.
Engel,C.,2014,“Exchange Rate Stabilization and Welfare,”The Annual Review of Economics,6,155-177.
Gali,J. and T. Monacelli,2005,“Monetary Policy and Exchange Rate Volatility in A Small Open Economy,”Review of Economic Studies,72,707-734.
Garcia,C.,J. Restrepo and S. Roger,2011,“How Much Should Inflation Targeters Care about the Exchange Rate? ”Journal of International Money and Finance,30,1590-1617.
Jang,Tae-Seok and E. Okano,2013,“Productivity Shocks and Monetary Policy in A Two-Country Model,”Dynare Working Papers Series,No. 29.
Kim,M.,D. Nam,J. Wang and J. Wu,2013,“International Trade Price Stickiness and Exchange Rate and Pass-Through in Micro Data: A Case Study on US-China Trade,”Federal Reserve Bank of Dallas Globalization and Monetary Policy Institute Working Papers,No. 135.
Koivu,T.,A. Mehrotra and R. Nuutilainen,2009,“An Analysis of Chinese Money and Prices Using A McC allum-type Rule,”Journal of Chinese Economics and Business Studies,7(2) : 219-235.
Mishkin,F.,2000,“Inflation Targeting in Emerging Market Countries,”American Economic Review,90,105-109.
Monacelli,T.,1999,Open Economy Policy Rules under Imperfect Pass-Through,Manuscript,Universita` Bocconi.
Smets,F. and W. Rafael,2007,“Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach,”American Economic Review,97,586-606.
Sutherland,A.,2005,“Incomplete Pass-Through and the Welfare Effects of Exchange Rate Variability,”Journal of International Economics,65(2) : 375-399.
Svensson,L. E. O.,2003,“What is Wrong with Taylor Rules? Using Judgment in Monetary Policy through Targeting Rules,”Journal of Economic Literature,41(2) : 426-477.
Taylor,J. B.,1993,“Discretion versus Policy Rules in Practice,”Carnegie-Rochester Conference Series on Public Policy,39,195-214.
Taylor,J. B.,2001,“The Role of the Exchange Rate in Monetary-Policy Rules,”American Economic Review,91(2) : 263-267.
Tervala,J.,2012,“International Welfare Effects of Monetary Policy,”Journal of International Money and Finance,31(2) : 356-376.
Zhang,W.,2009,“China's Monetary Policy: Quantity versus Price Rules,”Journal of Macroeconomics,31(3) : 473-484.
毕玉江和朱钟棣,2007,《人民币汇率变动对中国商品出口价格的传递效应》,《世界经济》第 5 期 3-15 页。
卞志村,2008,《开放经济下的最优货币政策,MCI 及在中国的检验》,《数量经济技术经济究》第 4 期 17-28 页。
卞志村和胡恒强,2015,《中国货币政策工具的选择: 数量型还是价格型? ——基于 DSGE 模型的分析》,《国际金融研究》第 6 期 12-20 页。
陈师、郑欢和郭丽丽,2015,《中国货币政策规则、最优单一规则与宏观效应》,《统计研究》第 1 期 41-51 页。
陈学彬、李世刚和芦东,2007,《中国出口汇率传递率和盯市能力的实证研究》,《经济研究》第 12 期 106-117 页。
胡再勇,2013,《人民币对美元实际汇率变化: 巴拉萨-萨缪尔森效应还是一价定律偏离?》,《世界经济研究》第 3 期16-21 页。
黄志刚,2011,《货币政策与贸易不平衡的调整》,《经济研究》第 3 期 32-47 页。
李春吉和孟晓宏,2006,《中国经济波动——基于新凯恩斯主义垄断竞争模型的分析》,《经济研究》第 10 期 72-82 页。
刘斌,2008,《我国 DSGE 模型的开发及在货币政策分析中的应用》,《金融研究》第 9 期 1-21 页。
王文甫,2010,《价格粘性、流动性约束与中国财政政策的宏观效应——动态新凯恩斯主义视角》,《管理世界》第 9期 11-25 页。
奚君羊和贺云松,2010,《中国货币政策的福利损失及中介目标的选择——基于新凯恩斯 DSGE 模型的分析》,《财经研究》第 2 期 89-98 页。
徐长生和苏应蓉,2006,《从新斯旺模型看我国利率与汇率政策的组合》,《国际金融研究》第 12 期 52-58 页。
袁伟彦和李文溥,2010,《中国货币政策的汇率传递效应及形成机制——基于 SVAR 与动态一般均衡(DGE) 模型的分析》,《管理世界》第 12 期 53-64 页。
岳超云和牛霖琳,2014,《中国货币政策规则的估计与比较》,《数量经济技术经济研究》第 3 期 119-133 页。
Ball,L.,1999,Policy Rules for Open Economies,University of Chicago Press.
Benigno,G. and P. Benigno,2001,“Monetary Policy Rules and the Exchange Rate,”CEPR Discussion Paper,No. 2807.
Betts,C. and M. Devereux,2000,“Exchange Rate Dynamics in A Model of Pricing-to-Market,”Journal of International Economic,50,215-244.
Calvo,G.,1983,“Staggered Prices in a Utility Maximizing Framework,”Journal of Monetary Economics,12,983-998.
Cecchetti,S.,H. Genberg,J. Lipsky and S. Wadhwani,2000,“Asset Prices and Central Bank Policy,”The Geneva Report on the World Economy,No. 2.
Clarida,R.,J. Gali and M. Gertler,2000. “Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory,”Quarterly Journal of Economics,115,147-180.
Corsetti,G. and P. Pesenti,2005,“International Dimensions of Optimal Monetary Policy,”Journal of Monetary Economics,52,281-305.
Devereux,M. B. and C. Engel,2003,“Monetary Policy in the Open Economy Revisited: Price Setting and Exchange-rate Flexibility,”The Review of Economic Studies,70,765-783.
Devereux,M. B. and J. Yetman,2014,“Globalisation,Pass-Through and the Optimal Policy Response to Exchange Rates,”Journal of International Money and Finance,49,104-128.
Edwards,S.,2006,“The Relationship between Exchange Rates and Inflation Targeting Revisited,”NBER Working Paper,No. 12163.
Engel,C.,2011,“Currency Misalignments and Optimal Monetary Policy: A Reexamination,”American Economic Review,101,2796-2822.
Engel,C.,2014,“Exchange Rate Stabilization and Welfare,”The Annual Review of Economics,6,155-177.
Gali,J. and T. Monacelli,2005,“Monetary Policy and Exchange Rate Volatility in A Small Open Economy,”Review of Economic Studies,72,707-734.
Garcia,C.,J. Restrepo and S. Roger,2011,“How Much Should Inflation Targeters Care about the Exchange Rate? ”Journal of International Money and Finance,30,1590-1617.
Jang,Tae-Seok and E. Okano,2013,“Productivity Shocks and Monetary Policy in A Two-Country Model,”Dynare Working Papers Series,No. 29.
Kim,M.,D. Nam,J. Wang and J. Wu,2013,“International Trade Price Stickiness and Exchange Rate and Pass-Through in Micro Data: A Case Study on US-China Trade,”Federal Reserve Bank of Dallas Globalization and Monetary Policy Institute Working Papers,No. 135.
Koivu,T.,A. Mehrotra and R. Nuutilainen,2009,“An Analysis of Chinese Money and Prices Using A McC allum-type Rule,”Journal of Chinese Economics and Business Studies,7(2) : 219-235.
Mishkin,F.,2000,“Inflation Targeting in Emerging Market Countries,”American Economic Review,90,105-109.
Monacelli,T.,1999,Open Economy Policy Rules under Imperfect Pass-Through,Manuscript,Universita` Bocconi.
Smets,F. and W. Rafael,2007,“Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach,”American Economic Review,97,586-606.
Sutherland,A.,2005,“Incomplete Pass-Through and the Welfare Effects of Exchange Rate Variability,”Journal of International Economics,65(2) : 375-399.
Svensson,L. E. O.,2003,“What is Wrong with Taylor Rules? Using Judgment in Monetary Policy through Targeting Rules,”Journal of Economic Literature,41(2) : 426-477.
Taylor,J. B.,1993,“Discretion versus Policy Rules in Practice,”Carnegie-Rochester Conference Series on Public Policy,39,195-214.
Taylor,J. B.,2001,“The Role of the Exchange Rate in Monetary-Policy Rules,”American Economic Review,91(2) : 263-267.
Tervala,J.,2012,“International Welfare Effects of Monetary Policy,”Journal of International Money and Finance,31(2) : 356-376.
Zhang,W.,2009,“China's Monetary Policy: Quantity versus Price Rules,”Journal of Macroeconomics,31(3) : 473-484.
毕玉江和朱钟棣,2007,《人民币汇率变动对中国商品出口价格的传递效应》,《世界经济》第 5 期 3-15 页。
卞志村,2008,《开放经济下的最优货币政策,MCI 及在中国的检验》,《数量经济技术经济究》第 4 期 17-28 页。
卞志村和胡恒强,2015,《中国货币政策工具的选择: 数量型还是价格型? ——基于 DSGE 模型的分析》,《国际金融研究》第 6 期 12-20 页。
陈师、郑欢和郭丽丽,2015,《中国货币政策规则、最优单一规则与宏观效应》,《统计研究》第 1 期 41-51 页。
陈学彬、李世刚和芦东,2007,《中国出口汇率传递率和盯市能力的实证研究》,《经济研究》第 12 期 106-117 页。
胡再勇,2013,《人民币对美元实际汇率变化: 巴拉萨-萨缪尔森效应还是一价定律偏离?》,《世界经济研究》第 3 期16-21 页。
黄志刚,2011,《货币政策与贸易不平衡的调整》,《经济研究》第 3 期 32-47 页。
李春吉和孟晓宏,2006,《中国经济波动——基于新凯恩斯主义垄断竞争模型的分析》,《经济研究》第 10 期 72-82 页。
刘斌,2008,《我国 DSGE 模型的开发及在货币政策分析中的应用》,《金融研究》第 9 期 1-21 页。
王文甫,2010,《价格粘性、流动性约束与中国财政政策的宏观效应——动态新凯恩斯主义视角》,《管理世界》第 9期 11-25 页。
奚君羊和贺云松,2010,《中国货币政策的福利损失及中介目标的选择——基于新凯恩斯 DSGE 模型的分析》,《财经研究》第 2 期 89-98 页。
徐长生和苏应蓉,2006,《从新斯旺模型看我国利率与汇率政策的组合》,《国际金融研究》第 12 期 52-58 页。
袁伟彦和李文溥,2010,《中国货币政策的汇率传递效应及形成机制——基于 SVAR 与动态一般均衡(DGE) 模型的分析》,《管理世界》第 12 期 53-64 页。
岳超云和牛霖琳,2014,《中国货币政策规则的估计与比较》,《数量经济技术经济研究》第 3 期 119-133 页。