基于智能体的货币政策对行业非对称效应研究
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摘要
在2011年底举行的中央经济工作会议中,政府传达了今后一个时期经济工作的基调与路线。这些宏观经济目标的实现依赖于经济政策合理与有效地制定和实施,因此中央重点提出要加强宏观经济调控,体现经济政策的灵活性、针对性和前瞻性。
中国的货币政策具有特殊性。与国外的利率高度市场化的情况相比,我国货币政策的利率渠道并不通畅,因此,国家干预金融市场更多地依靠货币供应量这个指标,它同时也是我国货币政策的中介目标。此外,利率、存款准备金率、公开市场业务等货币政策工具由政府管控,它将以何种方式、何种程度影响国民经济的运行,也是我们重点关心的问题。
以往常用的分析经济(货币)政策的方法,主要是系统动力学、投入产出分析、联立方程模型、可计算一般均衡模型等。它们基于建立起宏观经济系统或变量间的时间序列,或通过求解方程组的方式,得到了经济(货币)政策有效性的实证结论。相比较于这些传统方法,本文发展了智能空间中的B-4问题求解方法,提出了解耦Agent、联合问题求解方法、自主强度等概念,并运用该理论在研究货币政策领域中进行了如下一些探索：
(1)建立了基于智能体的货币政策模拟系统(MPSS)。通过2007年42部门投入产出表中的消耗系数设计出生产部门的投入产出关系,以智能体的自主决策、相互协作进行仿真,设计出追求自身利益最大化的功能型智能体、对资源配置起调节作用的协调型智能体以及间接干预经济活动的控制型智能体。其中,详细刻画了对货币政策传导起重要作用的中央银行以及商业银行智能体。他们之间通过要素流、资金流以及信息流进行物质与消息的传递,实现多目标下的共同演化,这样可以得到与实际经济相符合的结果。
(2)强调了货币政策的外生性,强化了商业银行的信贷功能。存款性金融机构在充当资金池的作用时,一方面接收中央银行的政策信息,做出相应的政策反应；另一方面,对于贷款产生的预期风险与收益,科学合理地进行决策,控制各行业的再生产规模。
(3)模拟了货币政策的非对称效应,表现出行业产值及价格受该政策影响的差异特性,并能够与实际时间相对应,具有一定参考价值。依据双向经济建模方法,将宏观货币政策的作用通过信贷渠道影响微观行业,同时又从微观智能体的决策与协作结果涌现出宏观现象。由于设定了与实际时间相一致的步长,因此可以同一年的经济周期对应起来。
(4)反映了能源、电力部门的重要指标。通过经济模拟和对其中能源行业的投入产出结果分析,可以得到经济政策作用下的行业发展情况,进而提炼出能源、电力部门的产量、用电量等信息。
In the Central Economic Work Conference held at the end of2011, the government conveyed the tone and route of the economic work of the next period. These macroeconomic goals depended on the rational and effective formulation and implementation of economic policy. Therefore the government focused on strengthening macroeconomic regulation and control to make sure that it can reflect the flexibility, target, and forward-looking of economic policy.
China's monetary policy is unique. Compared to the case of high market interest rates in foreign countries, the interest rate channel of monetary policy in China is not smooth. Therefore, the state intervention in the financial markets rely more heavily on the indicator of money supply, which also acts intermediate target of China's monetary policy. Additionally, it is also the focus of our concern that in which way and to which extent, the interest rates, deposit reserve ratio, open market operations, as well as other tools of monetary policy regulated by the government will affect the operation of the national economy.
System dynamics, input-output analysis, simultaneous equation model, computable general equilibrium model have been commonly used in the analysis of economic policy, especially the monetary policy. They get the empirical findings of the effectiveness of economic policy by way of solving the equations, or establishing models and time series. Compared to these traditional methods, this paper develops the theory of B-4issue of Intelligent Space and proposes the definitions of Decoupling Agent, Combined Issue Solution, and Autonomous Intensity, which makes explorations in the area of economic policy research as follows.
(1Establishes the macro-economic system for monetary policy simulation, refering to input-output tables consist of42sectors in2007. The input-output relationship of the production sector is initialized and updated through the consumption coefficient. The Agents include Function Agents which pursue maximum of self-benefit, Coordination Agents which adjust the resources configuration and Control Agents which intervene indirectly on economic activities. Furthermore, the Central Bank Agent and Commercial Bank Agent which are essential to monetary policy conduction could be designed specifically. The simulation results by Agent decision-making and interaction can be consistent with the actual economic results, for the transmission of elements flow, capital flow and information flow.
(2) Stresses the exogenous of the economic policies and strengthen the functions of commercial bank credit. When the deposit-taking financial institutions act as a pool of funds, it receives the policy information from central bank and performs correspondingly. Additionaly, it also makes decisions scientifically and rationally in terms of expected risk and return of loans, controls the scale of the reproduction of the industry.
(3) Simulates the asymmetric effects of monetary policies that correspond to actual time, with a certain reference value. According to a top-down and bottom-up economic modeling approach, macro-monetary policies affect the micro-industry through the credit channel and macroscopic phenomena emerge from the micro-agent decision-making and collaboration results. Since step size has been set consistent with the actual time, it can correspond with the year of the economic cycle.
(4) Reflects an important indicator of the energy and power sector. The industry development under monetary policies can be got through economic simulation and the analysis of input-output results in energy sector. Then, production, consumption and other information in the energy and electricity sectors can be extracted.
中国的货币政策具有特殊性。与国外的利率高度市场化的情况相比,我国货币政策的利率渠道并不通畅,因此,国家干预金融市场更多地依靠货币供应量这个指标,它同时也是我国货币政策的中介目标。此外,利率、存款准备金率、公开市场业务等货币政策工具由政府管控,它将以何种方式、何种程度影响国民经济的运行,也是我们重点关心的问题。
以往常用的分析经济(货币)政策的方法,主要是系统动力学、投入产出分析、联立方程模型、可计算一般均衡模型等。它们基于建立起宏观经济系统或变量间的时间序列,或通过求解方程组的方式,得到了经济(货币)政策有效性的实证结论。相比较于这些传统方法,本文发展了智能空间中的B-4问题求解方法,提出了解耦Agent、联合问题求解方法、自主强度等概念,并运用该理论在研究货币政策领域中进行了如下一些探索：
(1)建立了基于智能体的货币政策模拟系统(MPSS)。通过2007年42部门投入产出表中的消耗系数设计出生产部门的投入产出关系,以智能体的自主决策、相互协作进行仿真,设计出追求自身利益最大化的功能型智能体、对资源配置起调节作用的协调型智能体以及间接干预经济活动的控制型智能体。其中,详细刻画了对货币政策传导起重要作用的中央银行以及商业银行智能体。他们之间通过要素流、资金流以及信息流进行物质与消息的传递,实现多目标下的共同演化,这样可以得到与实际经济相符合的结果。
(2)强调了货币政策的外生性,强化了商业银行的信贷功能。存款性金融机构在充当资金池的作用时,一方面接收中央银行的政策信息,做出相应的政策反应；另一方面,对于贷款产生的预期风险与收益,科学合理地进行决策,控制各行业的再生产规模。
(3)模拟了货币政策的非对称效应,表现出行业产值及价格受该政策影响的差异特性,并能够与实际时间相对应,具有一定参考价值。依据双向经济建模方法,将宏观货币政策的作用通过信贷渠道影响微观行业,同时又从微观智能体的决策与协作结果涌现出宏观现象。由于设定了与实际时间相一致的步长,因此可以同一年的经济周期对应起来。
(4)反映了能源、电力部门的重要指标。通过经济模拟和对其中能源行业的投入产出结果分析,可以得到经济政策作用下的行业发展情况,进而提炼出能源、电力部门的产量、用电量等信息。
In the Central Economic Work Conference held at the end of2011, the government conveyed the tone and route of the economic work of the next period. These macroeconomic goals depended on the rational and effective formulation and implementation of economic policy. Therefore the government focused on strengthening macroeconomic regulation and control to make sure that it can reflect the flexibility, target, and forward-looking of economic policy.
China's monetary policy is unique. Compared to the case of high market interest rates in foreign countries, the interest rate channel of monetary policy in China is not smooth. Therefore, the state intervention in the financial markets rely more heavily on the indicator of money supply, which also acts intermediate target of China's monetary policy. Additionally, it is also the focus of our concern that in which way and to which extent, the interest rates, deposit reserve ratio, open market operations, as well as other tools of monetary policy regulated by the government will affect the operation of the national economy.
System dynamics, input-output analysis, simultaneous equation model, computable general equilibrium model have been commonly used in the analysis of economic policy, especially the monetary policy. They get the empirical findings of the effectiveness of economic policy by way of solving the equations, or establishing models and time series. Compared to these traditional methods, this paper develops the theory of B-4issue of Intelligent Space and proposes the definitions of Decoupling Agent, Combined Issue Solution, and Autonomous Intensity, which makes explorations in the area of economic policy research as follows.
(1Establishes the macro-economic system for monetary policy simulation, refering to input-output tables consist of42sectors in2007. The input-output relationship of the production sector is initialized and updated through the consumption coefficient. The Agents include Function Agents which pursue maximum of self-benefit, Coordination Agents which adjust the resources configuration and Control Agents which intervene indirectly on economic activities. Furthermore, the Central Bank Agent and Commercial Bank Agent which are essential to monetary policy conduction could be designed specifically. The simulation results by Agent decision-making and interaction can be consistent with the actual economic results, for the transmission of elements flow, capital flow and information flow.
(2) Stresses the exogenous of the economic policies and strengthen the functions of commercial bank credit. When the deposit-taking financial institutions act as a pool of funds, it receives the policy information from central bank and performs correspondingly. Additionaly, it also makes decisions scientifically and rationally in terms of expected risk and return of loans, controls the scale of the reproduction of the industry.
(3) Simulates the asymmetric effects of monetary policies that correspond to actual time, with a certain reference value. According to a top-down and bottom-up economic modeling approach, macro-monetary policies affect the micro-industry through the credit channel and macroscopic phenomena emerge from the micro-agent decision-making and collaboration results. Since step size has been set consistent with the actual time, it can correspond with the year of the economic cycle.
(4) Reflects an important indicator of the energy and power sector. The industry development under monetary policies can be got through economic simulation and the analysis of input-output results in energy sector. Then, production, consumption and other information in the energy and electricity sectors can be extracted.
引文
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