中国货币政策的数量规则与价格规则的有效性研究
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摘要
本文在已有文献基础上,根据中国特定经济背景,分别对中国货币政策的数量规则和价格规则各自的有效性进行了全面深入的研究。主要的创新之处和结论包括:
第一,设定了一个基于中国经济背景的前瞻性货币政策数量规则,运用连续修正GMM方法对该规则进行了经验研究。结果表明,数量规则能够保证中国经济政策的“逆风向”调整,有助于经济的平稳较快增长。而且,M2增长率能够对股票市场收益率做出显著的响应,这意味着中央银行在制定货币政策时充分考虑了金融市场价格的波动对经济运行的影响。
第二,从数量规则透明性的角度,对数量规则在维护价格水平稳定方面进行了理论分析。结果表明,当中央银行和私人部门之间存在信息不对称时,提高数量规则的透明度不仅有利于减小通货膨胀偏差,而且会降低通货膨胀波动。经验研究结果表明,中国二十世纪九十年代后期以来牺牲率较低的一个重要原因是货币政策数量规则的透明度逐步提高的作用。
第三,根据新凯恩斯模型和货币需求方程,获得了一个包含货币因素的最优利率规则。该规则表明,货币增长率稳定性权重或货币需求方程的利率响应系数越大,利率规则的货币增长率响应系数越大,货币政策也就愈积极。对该最优利率规则以及在Taylor规则基础上设定的前瞻性Taylor规则进行估计后发现,通胀系数、产出缺口和货币增长率各自的响应系数都大于0。因此,当中国经济运行在偏离均衡状态或央行目标时,中央银行能够采取有效的利率政策,保证经济的稳定发展。而且,当利率从条件分布的低端向高端变动时,预期货币供给增长率、预期通胀和预期产出缺口各自的响应系数也都具有明显的规律性,这也为将来进一步研究利率规则在不同利率状态下的有效性提供了经验事实。
第四,对于在开放经济体中利率规则是否应该包含对汇率这一问题,迄今为止学术界尚未达成一致结论。本文通过引入货币变量设定了一个关于汇率的价格传递效应方程,估计结果表明,在低通胀体制下,中国汇率的价格传递效应为正且较小;在高通胀状态下,传递效应为负,其绝对值也较小。基于已有理论成果,本文认为,在高通胀状态下,利率规则应该包含对汇率波动的响应,而在低通胀状态下,利率不需要对汇率变化进行调整。
第五,本文基于一个能够描述中国非线性货币政策规则的LSTVAR模型,应用广义脉冲响应函数分别考察了中国货币政策正负冲击的非对称效应以及不同经济状态下货币政策冲击的非对称效应,进而比较数量规则和价格规则的有效性。结果表明,数量规则在维护物价稳定方面具有很强的有效性,而利率规则在产出效应和通货膨胀效应方面都不是非常有效。随着中国利率市场化程度的逐步深入,利率规则将会成为中央银行调控经济运行的有效手段。
Since the 1990s, there has been a large number of literature on monetary policy rule, and at the same time the central bank of many countries, to a large extent, make use of monetary policy rule in reality. These countries include some developed countries with complete market economy as well as those emerging market ones and developing ones. In terms of the monetary policy instrument, monetary policy rule consists of both money quantity rule and price rule. In detail, the policy instrument of quantity rule mainly includes money aggregate of different scopes in comparison with the price tools comprised by various interest rates as well as the exchange rate instrument under the flexible exchange rate system.
China’s monetary policy system has experienced an array of significant improvements since the reform and opening-up policy, playing an indispensable role in sustain the healthy development of the economy. On the one hand, China’s central bank officially abolished its control to the quantities of credit loan, instead adopted the money supply as the sole intermediate goal by using the quantitative tools to adjust the economy, which implies that they implemented the money quantity rule. On the other hand, as process of the interest rate liberalization made progress little by little, the central bank gradually meantime introduce such price instrument as interest rate as the adjustment tools, which signifies the interest rate rule.
Meanwhile, since 2005 the management floating exchange rate system began to run in China, taking the market supply and demand as the foundation as well as referring to a basket currency to carry on the adjustment, which enlarged the space of option, increased the independence of monetary policy. The paper comprehensively explores the effectiveness of the quantity rule and price rule in China respectively, based on the existing literature and China’s economic development.
The first chapter makes a systematic overview on the general theoretical development of monetary policy rule, and then makes a comprehensive overlook on both theoretical development and empirical research for both the quantity rule and price rule, respectively. In particular, McCallum has made great contribution to the development of quantity rules, and Taylor achieved original attainment in the field of interest rate rule, followed by making a systematic description of the interest rate from four different aspects on my own. Then, we make some commentary on the comparison of the relationship between the quantity rule and price rule.
The second chapter specifies a augmented McCallum rule by introducing the forward-looking factors and stock market’s yield, based on the existing literature and China’s economic development. Then we use the continuing-update GMM method to make an estimation to find that the money quantity rule could describe the trend of China’s monetary policy well, in particularly, the rule contributes to the economic adjustment policy of being against the wind, ensuring that the economy could grow at a relatively rapid pace in the conditions of stable price level. Furthermore, the growth rate of M2 could vary with the fluctuation of stock market in China by making notable response to the change of stock market, which signifies that the central bank should pay considerable attention to the change of asset price when instituting relevant monetary policies.
Of course, because of the influence from such factors as the current financial institution, the circulating rate of China’s money becomes somewhat volatile to some extent, even though the variation exhibit orderliness to a large extent, the method of adjusting money aggregate is still efficient. Besides, after making an analysis on the endogenesis of China’s money, we find that the base money in China shows strongly endogenetic, and under this condition, by the credit loan policy, the central bank could effectively adjust the M1 and M2 to meet the need of economic development, and achieve the goal of monetary increase.
Based on the above research result on the effectiveness of monetary quantitative rule in anti-inflation, the three chapter studies the relationship between the transparence degree and anti-inflation by using the asymmetric information theory. In the face of asymmetric information among the central bank and private sectors, the improvement of monetary policy transparency will not only decrease the inflation bias, it also diminishes the degree of fluctuation of inflation. Then, we use the sacrifice ratio to make empirical research on the relationship between the transparence degree and anti-inflation using China’s data. The results show that in the first period of improving transparency during disinflation episodes the sacrifice ratio is significantly higher than that of transparency improved in the latter period, which implies that the low sacrifice ratio during the late 1990s in China was highly due to the improvement of monetary policy transparency. Of course, compare those countries with high degree of monetary policy transparency and low sacrifice ratio, China’s sacrifice ratio is still higher, with the probability of further decrease in the future.
In chapter four, we design an optimal interest rate rule with a role of money by theoretical analysis based on the new Keynesian model and a money demand function. This rule indicates that if either the weight of money growth rate stability or interest rate coefficient of the money demand function is bigger, the responding coefficient of money growth rate is increasing, monetary policy becomes more aggressive. Then, we use both linear regression method and threshold regression method to make an empirical analysis on the reaction function with China’s data, respectively. The results show that all coefficients of inflation, product gap and money growth rate are bigger than zero, which implies that when economic development deviates from either equilibrium state or central bank’s target, the interest rate rule could conduct that the central bank would take correct measures in order to make sure the stability of economic development. Moreover, we find that all coefficients in the regime of high money growth rate increase are bigger than those in the regime of low money growth rate increase.
In the fifth chapter, by introducing an expected monetary supply growth variable, the paper specifies a forward-looking interest rate rule based on both the Taylor rule and China’s actual conditions, and then utilizes quantile regression method to make empirical test on the forward-looking interest rate rule and finds that, the rule can ensure that China’s economy can maintain the correct condition of policy-changing when the economic running deviates from equilibrium statement or the central bank’s targets. Concretely, with the interest rate varies from the low position of conditional distribution to the high position of conditional distribution, the coefficient of expected money supply growth rate has the trend of increase by degrees, and the coefficient of excepted inflation has the trend of increase by degrees in the beginning and then decrease by degrees, and the coefficient of excepted product gap has the trend of decrease by degrees in the beginning and then increase by degrees.
From the exchange rate pass-through effect perspective, the sixth chapter makes a research on that whether it is necessary to add the exchange rate factor into the interest rate rule in terms of some relative theories. We specify a log linear function of the effect of exchange rate pass-through to price, based on theoretical framework and the specific economic background of China, and then use the threshold method to explore the problem on the China’s exchange rate pass-through effect. The results indicate that in the regime of low inflation rate, the effect of pass-through to price is positively small, which means that there would be very likely to low exchange rate pass-through effect. On the other hand, in the regime of high inflation rate, nevertheless, the pass-through effect is negatively small, even smaller than that under the low inflation rate state.
These conclusions have more implications to the construction of interest rate rule in China. In the regime of low inflation rate, it is reasonable to include the response to the fluctuation of exchange rate in interest rate rule, while it would not be imperative for interest rate to adjust for the change of exchange rate under the low inflation rate circumstances. Moreover, faced with the conditions of low inflation rate, it is relatively easy for China to maintain the stability of domestic price level, not taking into account the influence of exchange rate variations on the price level, and offering helpful conditions for the construction of more flexible exchange rate system. Further, this would built up the foundations of inflation targeting, which is very prevalent in many developed countries, and even some emerging market countries. One of the prerequisites, however, is that the money authority must have the creditability of keeping a low inflation rate environment.
The sth chapter makes a test for nonlinearity of a VAR model with an open economy, find that there is strong evidence that supports the nonlinearity of China’s monetary policy quantitative rule and price rule, rejecting the linear VAR model to support the LSTVAR model. We use generalized impulse analysis and find that under the low growth regime, both the positive and negative shocks of interest rate have obvious asymmetric effects on price, with the positive effect on price positive shock remarkable. The positive and negative shocks of money to output have apparent asymmetric effect in the short run, but the long-term asymmetric effect is very slight. Furthermore, the asymmetry effect on the price from money shock is also not significant. Under the high growth regime, both positive and negative shocks from money and interest rate have obvious asymmetric effects on price. In details, the positive effect is a little stronger and more lasting than the negative effect. In addition, both the shocks of interest rate to output is considerably obvious, even the positive shock has larger output effect.
As for the positive shocks, the product effect of shocks of money has clear asymmetry within different economic states, with the bigger output effect under the high growth regime. The price effect of shocks of interest rate has noticeable asymmetry within different economic states, with the bigger price effect under the low growth regime. Regarding negative shocks, the product effect from both the money and interest rate shocks does not have asymmetry in the long run. In terms of price effect, both the shocks of money and interest rate have symmetric influence.
In brief, the money quantitative rule has the indispensable role in adjusting the price level. It is necessary to take monetary tools whenever the price level deviate the desirable range. It is meaningful to note that, however, the positive money shock’s effect on price is bigger, that is the asymmetric effect. By contrast, the interest rate rule is not effective immensely in terms of both product effect and price effect, which may be attributed to the fact that the interest rate is not decided completely by the market as well as the efficient transmission system.
Of course, any form of monetary policy rules just is a kind of concise description and approximation, not describing the complicated real world. In reality, the factors which central banks not only need to consider to regulate the economy is not only output, inflation rate and money supply involved in the various monetary policy rules, also need to take into account all the available information in terms of the local economic conditions. Furthermore, no one kind of monetary policy rule could not be used to every country, that is to say, there is no an optimal monetary policy that is unchangeable. The optimal monetary policy, however, need to take timely adjustment for new institutions or circumstance. As a transitional developing country, China has built basic market-oriented economy system, which means that market has played an increasingly important role in regulating the economy. In particularly, as the construction of market-based price of both the interest rate and exchange rate has been improving, the conditions for using price tool to adjust the economy have been improving. Under the current conditions of using the quantity rule to a large degree, China’s central bank would gradually divert into interest rate rule as the main rule in the future.
第一,设定了一个基于中国经济背景的前瞻性货币政策数量规则,运用连续修正GMM方法对该规则进行了经验研究。结果表明,数量规则能够保证中国经济政策的“逆风向”调整,有助于经济的平稳较快增长。而且,M2增长率能够对股票市场收益率做出显著的响应,这意味着中央银行在制定货币政策时充分考虑了金融市场价格的波动对经济运行的影响。
第二,从数量规则透明性的角度,对数量规则在维护价格水平稳定方面进行了理论分析。结果表明,当中央银行和私人部门之间存在信息不对称时,提高数量规则的透明度不仅有利于减小通货膨胀偏差,而且会降低通货膨胀波动。经验研究结果表明,中国二十世纪九十年代后期以来牺牲率较低的一个重要原因是货币政策数量规则的透明度逐步提高的作用。
第三,根据新凯恩斯模型和货币需求方程,获得了一个包含货币因素的最优利率规则。该规则表明,货币增长率稳定性权重或货币需求方程的利率响应系数越大,利率规则的货币增长率响应系数越大,货币政策也就愈积极。对该最优利率规则以及在Taylor规则基础上设定的前瞻性Taylor规则进行估计后发现,通胀系数、产出缺口和货币增长率各自的响应系数都大于0。因此,当中国经济运行在偏离均衡状态或央行目标时,中央银行能够采取有效的利率政策,保证经济的稳定发展。而且,当利率从条件分布的低端向高端变动时,预期货币供给增长率、预期通胀和预期产出缺口各自的响应系数也都具有明显的规律性,这也为将来进一步研究利率规则在不同利率状态下的有效性提供了经验事实。
第四,对于在开放经济体中利率规则是否应该包含对汇率这一问题,迄今为止学术界尚未达成一致结论。本文通过引入货币变量设定了一个关于汇率的价格传递效应方程,估计结果表明,在低通胀体制下,中国汇率的价格传递效应为正且较小;在高通胀状态下,传递效应为负,其绝对值也较小。基于已有理论成果,本文认为,在高通胀状态下,利率规则应该包含对汇率波动的响应,而在低通胀状态下,利率不需要对汇率变化进行调整。
第五,本文基于一个能够描述中国非线性货币政策规则的LSTVAR模型,应用广义脉冲响应函数分别考察了中国货币政策正负冲击的非对称效应以及不同经济状态下货币政策冲击的非对称效应,进而比较数量规则和价格规则的有效性。结果表明,数量规则在维护物价稳定方面具有很强的有效性,而利率规则在产出效应和通货膨胀效应方面都不是非常有效。随着中国利率市场化程度的逐步深入,利率规则将会成为中央银行调控经济运行的有效手段。
Since the 1990s, there has been a large number of literature on monetary policy rule, and at the same time the central bank of many countries, to a large extent, make use of monetary policy rule in reality. These countries include some developed countries with complete market economy as well as those emerging market ones and developing ones. In terms of the monetary policy instrument, monetary policy rule consists of both money quantity rule and price rule. In detail, the policy instrument of quantity rule mainly includes money aggregate of different scopes in comparison with the price tools comprised by various interest rates as well as the exchange rate instrument under the flexible exchange rate system.
China’s monetary policy system has experienced an array of significant improvements since the reform and opening-up policy, playing an indispensable role in sustain the healthy development of the economy. On the one hand, China’s central bank officially abolished its control to the quantities of credit loan, instead adopted the money supply as the sole intermediate goal by using the quantitative tools to adjust the economy, which implies that they implemented the money quantity rule. On the other hand, as process of the interest rate liberalization made progress little by little, the central bank gradually meantime introduce such price instrument as interest rate as the adjustment tools, which signifies the interest rate rule.
Meanwhile, since 2005 the management floating exchange rate system began to run in China, taking the market supply and demand as the foundation as well as referring to a basket currency to carry on the adjustment, which enlarged the space of option, increased the independence of monetary policy. The paper comprehensively explores the effectiveness of the quantity rule and price rule in China respectively, based on the existing literature and China’s economic development.
The first chapter makes a systematic overview on the general theoretical development of monetary policy rule, and then makes a comprehensive overlook on both theoretical development and empirical research for both the quantity rule and price rule, respectively. In particular, McCallum has made great contribution to the development of quantity rules, and Taylor achieved original attainment in the field of interest rate rule, followed by making a systematic description of the interest rate from four different aspects on my own. Then, we make some commentary on the comparison of the relationship between the quantity rule and price rule.
The second chapter specifies a augmented McCallum rule by introducing the forward-looking factors and stock market’s yield, based on the existing literature and China’s economic development. Then we use the continuing-update GMM method to make an estimation to find that the money quantity rule could describe the trend of China’s monetary policy well, in particularly, the rule contributes to the economic adjustment policy of being against the wind, ensuring that the economy could grow at a relatively rapid pace in the conditions of stable price level. Furthermore, the growth rate of M2 could vary with the fluctuation of stock market in China by making notable response to the change of stock market, which signifies that the central bank should pay considerable attention to the change of asset price when instituting relevant monetary policies.
Of course, because of the influence from such factors as the current financial institution, the circulating rate of China’s money becomes somewhat volatile to some extent, even though the variation exhibit orderliness to a large extent, the method of adjusting money aggregate is still efficient. Besides, after making an analysis on the endogenesis of China’s money, we find that the base money in China shows strongly endogenetic, and under this condition, by the credit loan policy, the central bank could effectively adjust the M1 and M2 to meet the need of economic development, and achieve the goal of monetary increase.
Based on the above research result on the effectiveness of monetary quantitative rule in anti-inflation, the three chapter studies the relationship between the transparence degree and anti-inflation by using the asymmetric information theory. In the face of asymmetric information among the central bank and private sectors, the improvement of monetary policy transparency will not only decrease the inflation bias, it also diminishes the degree of fluctuation of inflation. Then, we use the sacrifice ratio to make empirical research on the relationship between the transparence degree and anti-inflation using China’s data. The results show that in the first period of improving transparency during disinflation episodes the sacrifice ratio is significantly higher than that of transparency improved in the latter period, which implies that the low sacrifice ratio during the late 1990s in China was highly due to the improvement of monetary policy transparency. Of course, compare those countries with high degree of monetary policy transparency and low sacrifice ratio, China’s sacrifice ratio is still higher, with the probability of further decrease in the future.
In chapter four, we design an optimal interest rate rule with a role of money by theoretical analysis based on the new Keynesian model and a money demand function. This rule indicates that if either the weight of money growth rate stability or interest rate coefficient of the money demand function is bigger, the responding coefficient of money growth rate is increasing, monetary policy becomes more aggressive. Then, we use both linear regression method and threshold regression method to make an empirical analysis on the reaction function with China’s data, respectively. The results show that all coefficients of inflation, product gap and money growth rate are bigger than zero, which implies that when economic development deviates from either equilibrium state or central bank’s target, the interest rate rule could conduct that the central bank would take correct measures in order to make sure the stability of economic development. Moreover, we find that all coefficients in the regime of high money growth rate increase are bigger than those in the regime of low money growth rate increase.
In the fifth chapter, by introducing an expected monetary supply growth variable, the paper specifies a forward-looking interest rate rule based on both the Taylor rule and China’s actual conditions, and then utilizes quantile regression method to make empirical test on the forward-looking interest rate rule and finds that, the rule can ensure that China’s economy can maintain the correct condition of policy-changing when the economic running deviates from equilibrium statement or the central bank’s targets. Concretely, with the interest rate varies from the low position of conditional distribution to the high position of conditional distribution, the coefficient of expected money supply growth rate has the trend of increase by degrees, and the coefficient of excepted inflation has the trend of increase by degrees in the beginning and then decrease by degrees, and the coefficient of excepted product gap has the trend of decrease by degrees in the beginning and then increase by degrees.
From the exchange rate pass-through effect perspective, the sixth chapter makes a research on that whether it is necessary to add the exchange rate factor into the interest rate rule in terms of some relative theories. We specify a log linear function of the effect of exchange rate pass-through to price, based on theoretical framework and the specific economic background of China, and then use the threshold method to explore the problem on the China’s exchange rate pass-through effect. The results indicate that in the regime of low inflation rate, the effect of pass-through to price is positively small, which means that there would be very likely to low exchange rate pass-through effect. On the other hand, in the regime of high inflation rate, nevertheless, the pass-through effect is negatively small, even smaller than that under the low inflation rate state.
These conclusions have more implications to the construction of interest rate rule in China. In the regime of low inflation rate, it is reasonable to include the response to the fluctuation of exchange rate in interest rate rule, while it would not be imperative for interest rate to adjust for the change of exchange rate under the low inflation rate circumstances. Moreover, faced with the conditions of low inflation rate, it is relatively easy for China to maintain the stability of domestic price level, not taking into account the influence of exchange rate variations on the price level, and offering helpful conditions for the construction of more flexible exchange rate system. Further, this would built up the foundations of inflation targeting, which is very prevalent in many developed countries, and even some emerging market countries. One of the prerequisites, however, is that the money authority must have the creditability of keeping a low inflation rate environment.
The sth chapter makes a test for nonlinearity of a VAR model with an open economy, find that there is strong evidence that supports the nonlinearity of China’s monetary policy quantitative rule and price rule, rejecting the linear VAR model to support the LSTVAR model. We use generalized impulse analysis and find that under the low growth regime, both the positive and negative shocks of interest rate have obvious asymmetric effects on price, with the positive effect on price positive shock remarkable. The positive and negative shocks of money to output have apparent asymmetric effect in the short run, but the long-term asymmetric effect is very slight. Furthermore, the asymmetry effect on the price from money shock is also not significant. Under the high growth regime, both positive and negative shocks from money and interest rate have obvious asymmetric effects on price. In details, the positive effect is a little stronger and more lasting than the negative effect. In addition, both the shocks of interest rate to output is considerably obvious, even the positive shock has larger output effect.
As for the positive shocks, the product effect of shocks of money has clear asymmetry within different economic states, with the bigger output effect under the high growth regime. The price effect of shocks of interest rate has noticeable asymmetry within different economic states, with the bigger price effect under the low growth regime. Regarding negative shocks, the product effect from both the money and interest rate shocks does not have asymmetry in the long run. In terms of price effect, both the shocks of money and interest rate have symmetric influence.
In brief, the money quantitative rule has the indispensable role in adjusting the price level. It is necessary to take monetary tools whenever the price level deviate the desirable range. It is meaningful to note that, however, the positive money shock’s effect on price is bigger, that is the asymmetric effect. By contrast, the interest rate rule is not effective immensely in terms of both product effect and price effect, which may be attributed to the fact that the interest rate is not decided completely by the market as well as the efficient transmission system.
Of course, any form of monetary policy rules just is a kind of concise description and approximation, not describing the complicated real world. In reality, the factors which central banks not only need to consider to regulate the economy is not only output, inflation rate and money supply involved in the various monetary policy rules, also need to take into account all the available information in terms of the local economic conditions. Furthermore, no one kind of monetary policy rule could not be used to every country, that is to say, there is no an optimal monetary policy that is unchangeable. The optimal monetary policy, however, need to take timely adjustment for new institutions or circumstance. As a transitional developing country, China has built basic market-oriented economy system, which means that market has played an increasingly important role in regulating the economy. In particularly, as the construction of market-based price of both the interest rate and exchange rate has been improving, the conditions for using price tool to adjust the economy have been improving. Under the current conditions of using the quantity rule to a large degree, China’s central bank would gradually divert into interest rate rule as the main rule in the future.
引文
[1]艾洪德、范南,《中国货币流通速度影响因素的经验分析》,《世界经济》2002年第8期,53-59。
[2]毕玉江、朱钟棣,《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》2007年第5期,3-15。
[3]卞志村,《我国货币政策外部时滞的经验分析》,《数量经济技术经济研究》2004年第3期,38-41。
[4]曹小衡、张敬庭、刘雪燕,《中国货币政策效果非对称性-基于AS-AD模型的研究》,《山西大学学报(哲学社会科学版)》2008年第2期,68-73。
[5]曹永琴、李泽祥,《中国货币政策效应非对称性的实证研究》,《经济评论》2007年第6期,97-101。
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