公众对货币政策预期有效性研究
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摘要
不确定性、公众预期和货币政策是宏观经济研究的重要内容。不确定性无处不在，公众预期难以准确评估，货币政策操作需要综合考虑多方面因素，这三者分别是宏观经济分析的关键因素。在新古典假设下，由于排除了不确定性，不存在公众预期有效性的问题，公众总是可以随时获得与自身经济决策相关的各种信息，在公众预期与货币政策之间没有复杂的传导机制。所以，公众能够理解央行的货币政策，央行实施的货币政策也必定可以达到目标。但是，在现实世界中，新古典假设的理想状态很难成立，不确定性的存在影响信息的数量和质量，公众的心理因素导致了非理性或是有限理性的行为，这些都增加了公众对央行货币政策做出有效预期的难度。如果公众不能够有效预期央行的货币政策，直接的结果不仅会造成公众自身财富上的损失，而且还会导致央行货币政策的实效，放大宏观经济波动的负面影响，造成整个社会经济系统的动荡。因此，如何对不确定性下公众对货币政策预期的有效性进行合理的测估和解释是一个十分重要的问题。按照理性预期理论，尽管存在不确定性影响，但是在学习效应的作用下，公众通过对各类信息的分析判断，经过一段时间，能够对自身的预期偏差进行不断地修正和完善，进而提高预期的水平，做出有效预期。所以，信息因素和时间因素是影响公众预期的重要方面。同时，作为货币政策实施者的央行，其独立性和威信对公众预期有效性具有重要影响。通过提高货币政策操作透明度，一方面，可以使公众能够更及时了解央行货币政策内容，缩短反应时滞；另一方面，央行能够对公众预期进行有效引导，减少政策实施的社会成本，提高政策效果。
针对以上问题，本文进行了如下阐述：
一是由于公众预期不容易直接观察和描述，因此，研究公众预期有效性的首要问题是对公众预期进行测估。所以，本文引入了问卷调查法、VAR预测法、期货价格法三种运用比较普遍的公众预期有效性测估方法。这三种完全不同的公众预期有效性测估方法不仅基于不同的思路，而且选取的样本变量也存在差别。如果不同方法之间对公众预期有效性的测估结果具有较高的相关性，那么就可以说，这些方法能够共同反映公众预期的内在特质。通过比较分析，问卷调查法与期货价格法对公众预期有效性测估结果的相关性较高，VAR预测法相对较差。但是三者都能够对公众预期有效性做出不同程度上的测估。
二是针对外生不确定下公众预期有效性的反应问题，本文利用问卷调查法，引用美国两个不同机构做出的调查问卷数据，建立了包含3种类型19个反映公众预期有效性代理变量的实证模型，对外生不确定性冲击下的公众预期有效性进行研究。从因子分析的结论可以表明，反映公众预期有效性的不同代理变量能够通过表示宏观经济不确定性冲击因素的共同因子进行解释。也就是说，对于外生不确定性冲击，公众能够对包括货币政策在内的宏观经济变量做出有效预期。
三是针对公众预期在不同国家间传导的问题，本文以非抛补利率平价假说为切入点进行了相关研究。在对相关研究总结的基础上，通过建立模拟时间序列数据，重点探讨外生冲击下公众对汇率风险升水的预期问题。本文分析了当存在央行利率干预时，汇率对风险升水冲击的反应要更强烈。这是因为利率中隐含了公众预期因素，所以当央行进行平滑操作干预时，其对冲击的反应则会相对较弱，较小的利率变化会被较大的汇率变化所补偿。央行的利率平滑货币政策操作加强了与非抛补利率不一致的汇率和利率的协同运动。
四是在影响公众预期有效性的因素分析中，本文以货币政策透明度为切入点，利用期货价格法，以反映美国联邦基金利率目标为交易标的30-Day期货价格变化情况为样本，对与影响公众预期有效性的因素问题进行了研究。实证分析结论显示，公众对货币政策预期有效性受到时间、信息以及央行信誉的影响。央行货币政策透明度的提高对于改进公众预期有效性具有重要作用。
在具体问题的研究中，本文以理性预期理论为基础，综合运用了理论分析与实证分析、归纳分析与演绎分析、比较分析等方法，对结论提供了比较有力的支持。
本文的贡献在于：1、将不确定性、公众预期和货币政策作为研究对象，从理论和实证分析上，通过公众预期有效性问题将三者纳入到一个框架中进行系统性研究。2、为了解决公众预期有效性难于外在观察和描述的问题，本文利用问卷调查法、VAR预测法、期货价格法三种重要的公众预期有效性测估方法，对公众预期有效性问题进行了间接评价。3、通过分别从不同角度对公众对货币政策预期有效性的问题展开分析，本文对理性预期理论的合理性提供了实证上的支持。也就是说，证实了在不确定下，公众能够对央行货币政策做出有效预期，影响公众预期有效性的因素有时间、信息、央行信誉。同时，公众预期对货币政策操作具有重要影响，公众预期影响货币政策目标设定、货币政策操作、货币政策效果。本文还需要完善的方面是，由于主要将美国作为研究对象，因此，在对中国类似问题的解释方面，还应该结合具体实际，进行更有针对性的研究和分析。
One of the most important research areas of macroeconomics is uncertainty, publicexpectations and monetary policy. Uncertainty is everywhere, public expectations arehardly evaluated, and monetary policy operation is influenced by various kinds of factors.The above are the key variables in the macroeconomics analysis. Under the neoclassicalhypothesis there is not the issue of public expectations effectiveness existing because ofexcluding uncertainty. The public could obtain various kinds of information relating toeconomic decisions so the transmission mechanism among the public expectations andthe monetary policy is relative simply. The public are capable to get well known of themonetray policy. The monetary policy which is implemented by central bank could reachits targets as well. However the ideal state of neoclassical hypothesis hardly comes turein the real world. The reasons stem from the fact is that the quantity and quality ofinformation and monetary policy operation is influenced by uncertainty, which makes thepublic couldn’t make the proper expectations. Furthermore, it enhances the difficultywhich the public make the proper expectations on the central bank monetary policy. Ifthis condition lasted for a period，the wealth of the public would be confronted with lossand make the monetary policy malfunction. At last the whole social economic systemwill exposure under the turbulence due to the negative effects of macroeconomicvolatility. Therefore the issue which is how to evaluate and explain the effectiveness ofthe public expectations on monetary policy is badly significant. According to the rationalexpectations theory the public are capable to make analysis and judgments underuncertainty by the effect of studying. During a period of time the public could make theimprovements and amendment of the expectations deviation and enhance the accuracy ofexpectations which means to make the proper decisions. The factors of information andtime are very important while the public make the expectations as well as theindependent and prestige of the central bank. By increaseing the monetary policytransparency，the public would comprehend the purpose of the monetary policy, whichwill reduce the lag of public reaction. Meanwhile, the central bank will guide the publicexpectations more effectively which could save the social cost.
Facing above issues, this dissertation makes some relevant analysis:
Firstly, this dissertation presents an approach to how we can evaluate differentmeasures of public expectations effectiveness given that real expectations areunobservable. There are three kinds of measures adopted to evaluate the publicexpectations effectiveness. These three fundamentally different measures of expectationsbased on different theories and sample. If we find two different types of measures thathave similar time series properties and, the most important of all, are highly correlated,they are very likely to both measure the unobservable true expectations at the same time.By comparing analysis, it concludes how they can be evaluated and also indicates thatsurvey measures and expectations derived from financial futures prices are moreappropriate than measures based on time series methods.
Secondly, on the issue of the reaction of public expectations under exogenousuncertainty， this dissertation takes advantage of two different surveys data by surveymeasure，which introduce three types including nineteen proxy variables to analysis thepublic expectations effectiveness. The measures of this group are based on a variety ofmacroeconomic variables and by performing a factor analysis on them we conclude thatall these different variables have one common factor separately in two groups.Presumably this driving factor is representing some kind of general uncertainty affectingmost public expectations effectiveness variables. In another saying，the public is able tomake the proper expectations.
Thirdly, on the issue of public expectations transmission among different countries,this dissertation deals with what is known as the exchange rate risk premium puzzle issue.The UIP hypothesis states that the interest rate differential between two countries shouldreflect the expected exchange rate change so that the expected returns to investments inbonds denominated in the two currencies are equalized. The results of this exercise revealthat if the model is calibrated to make the monetary policy more effective, making theinterest rate differential less volatile, the UIP puzzle can be found in simulated data. Inparticular, if we introduce a preference for interest rate smoothing in the central bank’sloss function, the observed negative relationship between exchange rates and interestrates can be obtained from the model using realistic parameter values.
Fourthly, this dissertation makes the analysis on the influencing factor of public expectations effectiveness from the aspect of monetary policy transparency. Using theFutures Method and the change of Federal Reserve fund rate target sample(30-DayFutures), the empirical results present the increasing of the central bank monetary policywill improving the quality of public expectations.
During the analysis, this dissertation takes advantage of rational expectation theory,theoretical and empirical analysis, inductive and deductive analysis, comparative analysiscomprehensively. All of these provide a solid support for the conclusion.
The significant contribution of this dissertation is listed below. Firstly, to make theuncertainty, public expectations and monetary policy as the research object, through thetheoretical and empirical analysis, this dissertation makes a deeply research on themseparately and systemically. Secondly, in order to solve the problem that is how toevaluate the public expectations effectiveness， this dissertation adopts three kinds ofexpectations measures which include VAR Forecast Method, Futures Method and SurveyMethod to make an indirectly evaluation of public expectation effectiveness. By research,this dissertation concludes public expectations effectiveness make a great influence on,which involves the monetary policy targets, monetary policy operation and the effect ofmonetary policy. Although the uncertainty couldn`t eliminated, the public are capable ofmaking the proper expectations of monetary policy to some extent. The effectivenss ofpublic expectations depends on the factors of time, information and central bankcreditability. Because this dissertation took the United State as the case study object, so itcouldn`t make a meaningful and reasonable explanation to China phenomenon to someextent. In order to reach this goal, it should consider more specific situations of Chinafurther more.
针对以上问题，本文进行了如下阐述：
一是由于公众预期不容易直接观察和描述，因此，研究公众预期有效性的首要问题是对公众预期进行测估。所以，本文引入了问卷调查法、VAR预测法、期货价格法三种运用比较普遍的公众预期有效性测估方法。这三种完全不同的公众预期有效性测估方法不仅基于不同的思路，而且选取的样本变量也存在差别。如果不同方法之间对公众预期有效性的测估结果具有较高的相关性，那么就可以说，这些方法能够共同反映公众预期的内在特质。通过比较分析，问卷调查法与期货价格法对公众预期有效性测估结果的相关性较高，VAR预测法相对较差。但是三者都能够对公众预期有效性做出不同程度上的测估。
二是针对外生不确定下公众预期有效性的反应问题，本文利用问卷调查法，引用美国两个不同机构做出的调查问卷数据，建立了包含3种类型19个反映公众预期有效性代理变量的实证模型，对外生不确定性冲击下的公众预期有效性进行研究。从因子分析的结论可以表明，反映公众预期有效性的不同代理变量能够通过表示宏观经济不确定性冲击因素的共同因子进行解释。也就是说，对于外生不确定性冲击，公众能够对包括货币政策在内的宏观经济变量做出有效预期。
三是针对公众预期在不同国家间传导的问题，本文以非抛补利率平价假说为切入点进行了相关研究。在对相关研究总结的基础上，通过建立模拟时间序列数据，重点探讨外生冲击下公众对汇率风险升水的预期问题。本文分析了当存在央行利率干预时，汇率对风险升水冲击的反应要更强烈。这是因为利率中隐含了公众预期因素，所以当央行进行平滑操作干预时，其对冲击的反应则会相对较弱，较小的利率变化会被较大的汇率变化所补偿。央行的利率平滑货币政策操作加强了与非抛补利率不一致的汇率和利率的协同运动。
四是在影响公众预期有效性的因素分析中，本文以货币政策透明度为切入点，利用期货价格法，以反映美国联邦基金利率目标为交易标的30-Day期货价格变化情况为样本，对与影响公众预期有效性的因素问题进行了研究。实证分析结论显示，公众对货币政策预期有效性受到时间、信息以及央行信誉的影响。央行货币政策透明度的提高对于改进公众预期有效性具有重要作用。
在具体问题的研究中，本文以理性预期理论为基础，综合运用了理论分析与实证分析、归纳分析与演绎分析、比较分析等方法，对结论提供了比较有力的支持。
本文的贡献在于：1、将不确定性、公众预期和货币政策作为研究对象，从理论和实证分析上，通过公众预期有效性问题将三者纳入到一个框架中进行系统性研究。2、为了解决公众预期有效性难于外在观察和描述的问题，本文利用问卷调查法、VAR预测法、期货价格法三种重要的公众预期有效性测估方法，对公众预期有效性问题进行了间接评价。3、通过分别从不同角度对公众对货币政策预期有效性的问题展开分析，本文对理性预期理论的合理性提供了实证上的支持。也就是说，证实了在不确定下，公众能够对央行货币政策做出有效预期，影响公众预期有效性的因素有时间、信息、央行信誉。同时，公众预期对货币政策操作具有重要影响，公众预期影响货币政策目标设定、货币政策操作、货币政策效果。本文还需要完善的方面是，由于主要将美国作为研究对象，因此，在对中国类似问题的解释方面，还应该结合具体实际，进行更有针对性的研究和分析。
One of the most important research areas of macroeconomics is uncertainty, publicexpectations and monetary policy. Uncertainty is everywhere, public expectations arehardly evaluated, and monetary policy operation is influenced by various kinds of factors.The above are the key variables in the macroeconomics analysis. Under the neoclassicalhypothesis there is not the issue of public expectations effectiveness existing because ofexcluding uncertainty. The public could obtain various kinds of information relating toeconomic decisions so the transmission mechanism among the public expectations andthe monetary policy is relative simply. The public are capable to get well known of themonetray policy. The monetary policy which is implemented by central bank could reachits targets as well. However the ideal state of neoclassical hypothesis hardly comes turein the real world. The reasons stem from the fact is that the quantity and quality ofinformation and monetary policy operation is influenced by uncertainty, which makes thepublic couldn’t make the proper expectations. Furthermore, it enhances the difficultywhich the public make the proper expectations on the central bank monetary policy. Ifthis condition lasted for a period，the wealth of the public would be confronted with lossand make the monetary policy malfunction. At last the whole social economic systemwill exposure under the turbulence due to the negative effects of macroeconomicvolatility. Therefore the issue which is how to evaluate and explain the effectiveness ofthe public expectations on monetary policy is badly significant. According to the rationalexpectations theory the public are capable to make analysis and judgments underuncertainty by the effect of studying. During a period of time the public could make theimprovements and amendment of the expectations deviation and enhance the accuracy ofexpectations which means to make the proper decisions. The factors of information andtime are very important while the public make the expectations as well as theindependent and prestige of the central bank. By increaseing the monetary policytransparency，the public would comprehend the purpose of the monetary policy, whichwill reduce the lag of public reaction. Meanwhile, the central bank will guide the publicexpectations more effectively which could save the social cost.
Facing above issues, this dissertation makes some relevant analysis:
Firstly, this dissertation presents an approach to how we can evaluate differentmeasures of public expectations effectiveness given that real expectations areunobservable. There are three kinds of measures adopted to evaluate the publicexpectations effectiveness. These three fundamentally different measures of expectationsbased on different theories and sample. If we find two different types of measures thathave similar time series properties and, the most important of all, are highly correlated,they are very likely to both measure the unobservable true expectations at the same time.By comparing analysis, it concludes how they can be evaluated and also indicates thatsurvey measures and expectations derived from financial futures prices are moreappropriate than measures based on time series methods.
Secondly, on the issue of the reaction of public expectations under exogenousuncertainty， this dissertation takes advantage of two different surveys data by surveymeasure，which introduce three types including nineteen proxy variables to analysis thepublic expectations effectiveness. The measures of this group are based on a variety ofmacroeconomic variables and by performing a factor analysis on them we conclude thatall these different variables have one common factor separately in two groups.Presumably this driving factor is representing some kind of general uncertainty affectingmost public expectations effectiveness variables. In another saying，the public is able tomake the proper expectations.
Thirdly, on the issue of public expectations transmission among different countries,this dissertation deals with what is known as the exchange rate risk premium puzzle issue.The UIP hypothesis states that the interest rate differential between two countries shouldreflect the expected exchange rate change so that the expected returns to investments inbonds denominated in the two currencies are equalized. The results of this exercise revealthat if the model is calibrated to make the monetary policy more effective, making theinterest rate differential less volatile, the UIP puzzle can be found in simulated data. Inparticular, if we introduce a preference for interest rate smoothing in the central bank’sloss function, the observed negative relationship between exchange rates and interestrates can be obtained from the model using realistic parameter values.
Fourthly, this dissertation makes the analysis on the influencing factor of public expectations effectiveness from the aspect of monetary policy transparency. Using theFutures Method and the change of Federal Reserve fund rate target sample(30-DayFutures), the empirical results present the increasing of the central bank monetary policywill improving the quality of public expectations.
During the analysis, this dissertation takes advantage of rational expectation theory,theoretical and empirical analysis, inductive and deductive analysis, comparative analysiscomprehensively. All of these provide a solid support for the conclusion.
The significant contribution of this dissertation is listed below. Firstly, to make theuncertainty, public expectations and monetary policy as the research object, through thetheoretical and empirical analysis, this dissertation makes a deeply research on themseparately and systemically. Secondly, in order to solve the problem that is how toevaluate the public expectations effectiveness， this dissertation adopts three kinds ofexpectations measures which include VAR Forecast Method, Futures Method and SurveyMethod to make an indirectly evaluation of public expectation effectiveness. By research,this dissertation concludes public expectations effectiveness make a great influence on,which involves the monetary policy targets, monetary policy operation and the effect ofmonetary policy. Although the uncertainty couldn`t eliminated, the public are capable ofmaking the proper expectations of monetary policy to some extent. The effectivenss ofpublic expectations depends on the factors of time, information and central bankcreditability. Because this dissertation took the United State as the case study object, so itcouldn`t make a meaningful and reasonable explanation to China phenomenon to someextent. In order to reach this goal, it should consider more specific situations of Chinafurther more.
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