扩展的泰勒规则及其在中国的适用性研究
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摘要
本文在分析当前国内外货币政策规则的设计、选择和操作的基础上，重点研究了泰勒规则在我国的适用性问题。通过对泰勒规则的扩展，利用数理经济学和计量经济学方法进行理论推导和实证分析，获得了一些重要的理论判断和经验证据。本文从泰勒规则总体特征、汇率管制下的泰勒规则、非线性的泰勒规则、在粘性信息框架内的泰勒规则、泰勒规则对宏观经济的稳定性以及具有太阳黑子冲击的泰勒规则等六个方面的分析，主要工作和结论如下：
一、鉴于泰勒规则作为货币政策规则所因具备的条件，我们研究了泰勒规则的八个总体特征，以及这些特征在中国的实证检验。研究结果表明，泰勒规则并不具有稳定经济的能力，但是利率传导机制的作用正在增强，可以作为我国货币政策规则的参考。于此同时，加入货币供应量因素的泰勒规则可以更好地反映我国的货币政策规则有效性。
二、在开放条件下动态宏观经济模型中引入具有管制的汇率因素，通过央行的损失函数获得最优的货币政策规则函数——泰勒规则，并对汇率管制对货币政策规则进行了计量分析，试图检验汇率对货币政策规则的效应。我们对最优泰勒规则进行拟合估计，结果表明，在汇率管制下，汇率传导机制对泰勒规则作用并不显著，利率主要还是受通货膨胀的影响。因此，我们在新开放经济宏观经济学框架下分析利率冲击对经济的影响，通过DSGE模拟分析得到，具有管理的浮动汇率制度能有效地隔离国内外冲击，从而印证了泰勒规则中利率对汇率反应不足的现实。
三、研究对货币政策规则的非线性传导机制重视不足，央行可能会对目标变量的偏离具有不同的反应。我们通过在一般均衡框架中适当修改央行的损失函数或是在约束条件中引入非线性菲利普斯限制，考察非线性最优泰勒规则。同时利用对数平滑转换自回归(LSTAR)模型对非线性泰勒规则进行实证检验，计量结果表明我国泰勒规则存在明显的非线性特征。而且在非线性泰勒规则中，无论名义利率、货币供应量变动还是汇率变动作为非线性转换变量，利率对通货膨胀反应均不足，可能引发经济不稳定困境。中国泰勒规则有效性不足，说明我国的利率传导机制可能还存在诸多障碍。
四、新宏观经济理论的发展使我们重新开始审视货币政策规则在粘性信息条件下的作用效果。我们在包括产品、劳动和债券三个均衡市场的粘性信息一般均衡(SIGE)框架下研究中国经济。通过引入厂商、劳动者和消费者三种信息更新概率，并假设货币当局以利率规则作为操作工具，经过校准处理，并在SIGE(粘性信息一般均衡框架)模型下分析了各种冲击下的脉冲相应函数。研究得出，(1)生产率变化最为敏感；(2)货币政策松紧随着不同的冲击呈现不同状态；(3)劳动供给和产出(缺口)增加所引起的经济影响是相似的，但是幅度大小不同；(4)产品价格和工资在各种因素冲击下影响不大；(5)各变量的波动主要来自总生产率冲击。
五、研究泰勒规则对宏观经济系统稳定性均衡问题时，利率与非政策经济变量的长期关系并不是研究的焦点，它们的短期关系才是重要的。因此，我们在新凯恩斯动态随机一般均衡模型框架内，分别研究了泰勒规则和具有平滑效应泰勒规则对宏观经济系统的稳定性问题，通过简单的脉冲反应图，发现具有平滑的泰勒规则在降低货币政策冲击对经济的影响程度外，还具有使经济变量回归稳态放缓的可能。并在DSGE中讨论了货币内生性问题，只要央行按照利率政策调控经济，并且经济是满足跨期最优的，那么货币供应量就具有内生性。同时适当增加其他经济扰动项，可以提高模型对现实的解释能力。
六、为了研究中国泰勒规则对宏观经济系统的不确定性均衡，我们在新凯恩斯动态随机均衡模型基础上引入太阳黑子冲击，运用贝叶斯统计推断方法估计DSGE模型，考察经济系统的稳定性均衡和不确定性均衡。通过引入货币政策冲击、供给冲击、需求冲击以及太阳黑子冲击，利用1996—2012年的数据，检验了我国泰勒规则的不确定性均衡。研究结果表明，我国泰勒规则具有不确定性，太阳黑子冲击能导致“自我实现”均衡，虽然太阳黑子冲击能对内生变量产生明显的影响，但是对基本冲击的传导作用有限，因此，经济系统的不确定性主要还是受基本冲击的影响。
In this paper, based on the design, analysis the current domestic and international monetary policyrule selection and operation, we focus on the applicability of Taylor rule in china. Through theexpansion of Taylor rule, using mathematical economics and econometrics method of theoretical andempirical analysis, we obtain some important theoretical and empirical evidence. The thesisconducts the research from six aspects, including the general characteristics of the Taylor rule,exchange controls under the Taylor rule, nonlinear Taylor rule, Taylor rule with sunspot shocks andsticky information, and Taylor rule and macroeconomic stability. The main work and conclusions isas follows:
First, in view of the Taylor rule as a monetary policy rule for the conditions, we studied eightgeneral characteristics of the Taylor rule, and the empirical testing of these characteristics. Researchresults show that the Taylor rule does not have the ability to stabilize the economy, but the role ofinterest rate transmission mechanism is enhancing, which can be used as a reference to China’smonetary policy rules. At the same time, adding money supply factors of the Taylor rule can betterreflect the monetary policy rule in China.
Second, we obtained the optimal monetary policy rules function——Taylor rule, through thecentral bank loss function and dynamic macroeconomic model under open conditions, and analyzedthe effect of exchange controls on monetary policy rules, trying to test the effect of exchange rate onthe monetary policy rules. We estimated the coefficient of Taylor rule, and the results shows thatunder the exchange controls, the exchange rate transmission mechanism, there is no significant effecton Taylor rule, the interest rate is mainly affected by inflation. Therefore, we analyzed the effect ofinterest rate impact on the economy DSGE simulation analysis in the new open economymacroeconomics framework, and we found that the managed floating exchange rate system caneffectively isolate the impact of domestic and foreign, which confirms the interest rate in the Taylorrule inadequate response to the reality on the exchange rate.
Third, the research on nonlinear transmission mechanism of monetary policy rules seriouslyinsufficient, and the central bank may be deviation of target variable has a different reaction. Weobtained nonlinear optimal Taylor rule through the appropriate modification in the generalequilibrium framework for the central bank’s loss function or introducing nonlinear Phillips curve.At the same time, using the logarithmic smoothing transition autoregressive (LSTAR) model, we test the nonlinear Taylor rule and the results show that the Taylor rule exists nonlinear characteristics inour country. In nonlinear Taylor rule, regardless of nominal interest rate, money supply change orexchange rate changes as a variable of nonlinear transformation, interest rates are insufficientresponse to inflation, which may cause economic instability. Insufficient validity of Taylor rule inChina shows that Chinese interest rate transmission mechanism can also have many problems.
Fourth, the development of new macroeconomic theory make we began to re-examine themonetary rules effect under the condition of sticky information. In this paper, we study Chineseeconomy in the framework of sticky information general equilibrium which includes goods laborand financial markets. We think agents update their information sets sporadically, when settingprices, wages, and consumption. At the same time, we also assume that the monetary authorities tointerest rate rules as an operation tool, and analyze all sorts of shock pulse response function andvariance decomposition, under the calibration and the DSGE model. It finds that:(1) productivitychange is most sensitive;(2) whether monetary policy is tight or not depends different states;(3) thelabor supply and output (gap) caused by the increase of economic effect is similar, but differentamplitude size;(4) the product prices and wages in a variety of factors impact effect little.;(5) Thevariable fluctuations mainly from aggregate productivity shocks.
Fifth, research on Taylor rule on the macroeconomic system stability equilibrium problem, thelong-term relationship of interest and economic variables is important, rather than the short-termrelationship. Therefore, we respectively study the general Taylor rule and the smoothing effectTaylor rule of macroeconomic system stability problem in the new Keynesian framework, a dynamicstochastic general equilibrium model. Through a simple pulse response figure, we found the Taylorrule with a smoothing reduce the effects of monetary policy shocks on the economic. We alsodiscussed the monetary endogeneity problem in the DSGE model, as long as the central bank usingthe interest rate policy as monetary policy, and economic satisfy the inter-temporal optimal, themoney supply is endogenous. Appropriately increase other economic disturbance, can improve themodel’s ability to explain the reality.
Sixth, in order to study the Taylor rule of Chinese macroeconomic system indeterminacyequilibrium, we introduced sunspot shocks in the foundation of the new Keynes dynamic stochasticequilibrium model, using the Bias statistical inference method of estimation of DSGE model.Through the introduction of monetary policy shocks, supply shocks, demand shocks and sunspotshocks, using1996to2012data, we test for Taylor rule in China to depict the indeterminacyequilibrium. The results show that, the Taylor rule in China is indeterminacy, and sunspot shocks canlead to "Self-actualization" equilibrium. Although the sunspot shocks can have significant impact on the endogenous variables, the basic impulse conduction role is limited. Therefore, in the economicsystem, the indeterminacy is mainly affected by fundamental shocks.
一、鉴于泰勒规则作为货币政策规则所因具备的条件，我们研究了泰勒规则的八个总体特征，以及这些特征在中国的实证检验。研究结果表明，泰勒规则并不具有稳定经济的能力，但是利率传导机制的作用正在增强，可以作为我国货币政策规则的参考。于此同时，加入货币供应量因素的泰勒规则可以更好地反映我国的货币政策规则有效性。
二、在开放条件下动态宏观经济模型中引入具有管制的汇率因素，通过央行的损失函数获得最优的货币政策规则函数——泰勒规则，并对汇率管制对货币政策规则进行了计量分析，试图检验汇率对货币政策规则的效应。我们对最优泰勒规则进行拟合估计，结果表明，在汇率管制下，汇率传导机制对泰勒规则作用并不显著，利率主要还是受通货膨胀的影响。因此，我们在新开放经济宏观经济学框架下分析利率冲击对经济的影响，通过DSGE模拟分析得到，具有管理的浮动汇率制度能有效地隔离国内外冲击，从而印证了泰勒规则中利率对汇率反应不足的现实。
三、研究对货币政策规则的非线性传导机制重视不足，央行可能会对目标变量的偏离具有不同的反应。我们通过在一般均衡框架中适当修改央行的损失函数或是在约束条件中引入非线性菲利普斯限制，考察非线性最优泰勒规则。同时利用对数平滑转换自回归(LSTAR)模型对非线性泰勒规则进行实证检验，计量结果表明我国泰勒规则存在明显的非线性特征。而且在非线性泰勒规则中，无论名义利率、货币供应量变动还是汇率变动作为非线性转换变量，利率对通货膨胀反应均不足，可能引发经济不稳定困境。中国泰勒规则有效性不足，说明我国的利率传导机制可能还存在诸多障碍。
四、新宏观经济理论的发展使我们重新开始审视货币政策规则在粘性信息条件下的作用效果。我们在包括产品、劳动和债券三个均衡市场的粘性信息一般均衡(SIGE)框架下研究中国经济。通过引入厂商、劳动者和消费者三种信息更新概率，并假设货币当局以利率规则作为操作工具，经过校准处理，并在SIGE(粘性信息一般均衡框架)模型下分析了各种冲击下的脉冲相应函数。研究得出，(1)生产率变化最为敏感；(2)货币政策松紧随着不同的冲击呈现不同状态；(3)劳动供给和产出(缺口)增加所引起的经济影响是相似的，但是幅度大小不同；(4)产品价格和工资在各种因素冲击下影响不大；(5)各变量的波动主要来自总生产率冲击。
五、研究泰勒规则对宏观经济系统稳定性均衡问题时，利率与非政策经济变量的长期关系并不是研究的焦点，它们的短期关系才是重要的。因此，我们在新凯恩斯动态随机一般均衡模型框架内，分别研究了泰勒规则和具有平滑效应泰勒规则对宏观经济系统的稳定性问题，通过简单的脉冲反应图，发现具有平滑的泰勒规则在降低货币政策冲击对经济的影响程度外，还具有使经济变量回归稳态放缓的可能。并在DSGE中讨论了货币内生性问题，只要央行按照利率政策调控经济，并且经济是满足跨期最优的，那么货币供应量就具有内生性。同时适当增加其他经济扰动项，可以提高模型对现实的解释能力。
六、为了研究中国泰勒规则对宏观经济系统的不确定性均衡，我们在新凯恩斯动态随机均衡模型基础上引入太阳黑子冲击，运用贝叶斯统计推断方法估计DSGE模型，考察经济系统的稳定性均衡和不确定性均衡。通过引入货币政策冲击、供给冲击、需求冲击以及太阳黑子冲击，利用1996—2012年的数据，检验了我国泰勒规则的不确定性均衡。研究结果表明，我国泰勒规则具有不确定性，太阳黑子冲击能导致“自我实现”均衡，虽然太阳黑子冲击能对内生变量产生明显的影响，但是对基本冲击的传导作用有限，因此，经济系统的不确定性主要还是受基本冲击的影响。
In this paper, based on the design, analysis the current domestic and international monetary policyrule selection and operation, we focus on the applicability of Taylor rule in china. Through theexpansion of Taylor rule, using mathematical economics and econometrics method of theoretical andempirical analysis, we obtain some important theoretical and empirical evidence. The thesisconducts the research from six aspects, including the general characteristics of the Taylor rule,exchange controls under the Taylor rule, nonlinear Taylor rule, Taylor rule with sunspot shocks andsticky information, and Taylor rule and macroeconomic stability. The main work and conclusions isas follows:
First, in view of the Taylor rule as a monetary policy rule for the conditions, we studied eightgeneral characteristics of the Taylor rule, and the empirical testing of these characteristics. Researchresults show that the Taylor rule does not have the ability to stabilize the economy, but the role ofinterest rate transmission mechanism is enhancing, which can be used as a reference to China’smonetary policy rules. At the same time, adding money supply factors of the Taylor rule can betterreflect the monetary policy rule in China.
Second, we obtained the optimal monetary policy rules function——Taylor rule, through thecentral bank loss function and dynamic macroeconomic model under open conditions, and analyzedthe effect of exchange controls on monetary policy rules, trying to test the effect of exchange rate onthe monetary policy rules. We estimated the coefficient of Taylor rule, and the results shows thatunder the exchange controls, the exchange rate transmission mechanism, there is no significant effecton Taylor rule, the interest rate is mainly affected by inflation. Therefore, we analyzed the effect ofinterest rate impact on the economy DSGE simulation analysis in the new open economymacroeconomics framework, and we found that the managed floating exchange rate system caneffectively isolate the impact of domestic and foreign, which confirms the interest rate in the Taylorrule inadequate response to the reality on the exchange rate.
Third, the research on nonlinear transmission mechanism of monetary policy rules seriouslyinsufficient, and the central bank may be deviation of target variable has a different reaction. Weobtained nonlinear optimal Taylor rule through the appropriate modification in the generalequilibrium framework for the central bank’s loss function or introducing nonlinear Phillips curve.At the same time, using the logarithmic smoothing transition autoregressive (LSTAR) model, we test the nonlinear Taylor rule and the results show that the Taylor rule exists nonlinear characteristics inour country. In nonlinear Taylor rule, regardless of nominal interest rate, money supply change orexchange rate changes as a variable of nonlinear transformation, interest rates are insufficientresponse to inflation, which may cause economic instability. Insufficient validity of Taylor rule inChina shows that Chinese interest rate transmission mechanism can also have many problems.
Fourth, the development of new macroeconomic theory make we began to re-examine themonetary rules effect under the condition of sticky information. In this paper, we study Chineseeconomy in the framework of sticky information general equilibrium which includes goods laborand financial markets. We think agents update their information sets sporadically, when settingprices, wages, and consumption. At the same time, we also assume that the monetary authorities tointerest rate rules as an operation tool, and analyze all sorts of shock pulse response function andvariance decomposition, under the calibration and the DSGE model. It finds that:(1) productivitychange is most sensitive;(2) whether monetary policy is tight or not depends different states;(3) thelabor supply and output (gap) caused by the increase of economic effect is similar, but differentamplitude size;(4) the product prices and wages in a variety of factors impact effect little.;(5) Thevariable fluctuations mainly from aggregate productivity shocks.
Fifth, research on Taylor rule on the macroeconomic system stability equilibrium problem, thelong-term relationship of interest and economic variables is important, rather than the short-termrelationship. Therefore, we respectively study the general Taylor rule and the smoothing effectTaylor rule of macroeconomic system stability problem in the new Keynesian framework, a dynamicstochastic general equilibrium model. Through a simple pulse response figure, we found the Taylorrule with a smoothing reduce the effects of monetary policy shocks on the economic. We alsodiscussed the monetary endogeneity problem in the DSGE model, as long as the central bank usingthe interest rate policy as monetary policy, and economic satisfy the inter-temporal optimal, themoney supply is endogenous. Appropriately increase other economic disturbance, can improve themodel’s ability to explain the reality.
Sixth, in order to study the Taylor rule of Chinese macroeconomic system indeterminacyequilibrium, we introduced sunspot shocks in the foundation of the new Keynes dynamic stochasticequilibrium model, using the Bias statistical inference method of estimation of DSGE model.Through the introduction of monetary policy shocks, supply shocks, demand shocks and sunspotshocks, using1996to2012data, we test for Taylor rule in China to depict the indeterminacyequilibrium. The results show that, the Taylor rule in China is indeterminacy, and sunspot shocks canlead to "Self-actualization" equilibrium. Although the sunspot shocks can have significant impact on the endogenous variables, the basic impulse conduction role is limited. Therefore, in the economicsystem, the indeterminacy is mainly affected by fundamental shocks.
引文
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