货币政策规则及其在我国的适用性研究
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摘要
货币政策操作规范是影响货币政策有效性的重要因素。根据货币经济学理论，货币政策操作规范有两种基本类型：依规则行事和相机抉择。长期以来，关于这两种类型哪种更有效一直存在争议，但最近30年以来的多数研究支持规则型货币政策。
本文在借鉴国内外已有研究成果的基础上，通过数理建模、统计分析、计量分析、经验分析以及比较分析等方法，分别从理论与实证两个方面对货币政策规则及其在我国的适用性进行了研究。在理论部分，第2章系统回顾了货币政策的规则与相机抉择之争，第3章详细介绍了货币政策规则研究的三种模型，第4章全面阐述了各种货币政策规则的内涵及特点。在实证部分，第5章对麦克勒姆规则与泰勒规则这两种工具规则在我国的适用性进行了分析，第6章对利率规则和货币供应量规则这两种目标规则在我国的适用性进行了分析，第7章对通货膨胀目标制在我国的适用性及其具体操作框架进行了探索。本文得出的主要结论有：
(1)长期来看，货币政策应当依规则行事而不是相机抉择。相机抉择由于具有时间不一致性，会导致通胀偏差出现，使社会福利变差。相反，货币政策规则由于对未来的货币政策预先作出了可信承诺，因而具有时间一致性，能够消除通胀偏差。
(2)固定或消极的规则与纯粹的相机抉择是货币政策操作规范的两个极端，因而都是不可取的。最明智的做法是，央行既应当关注政策的可信度和透明度，又应当考虑政策的灵活性和前瞻性。因此，作为一种积极的、前瞻性的、具有相机抉择特征的目标规则——灵活通货膨胀目标制，已成为目前最流行的货币政策规则。
(3)麦克勒姆规则与泰勒规则目前在我国不具有适用性，其原因至少有三点：一是这两种规则属于工具规则，调控手段过于单一，信息利用效率较低；二是我国的基础货币投放和短期利率调整具有顺周期特性，而且政策工具的市场化水平较低；三是可操作性相当差，包括货币流通速度的变化难以观察、各种经济变量缺口难以测度以及政策反应函数的系数难以确定等。
(4)利率目标规则和货币供应量目标规则目前在我国同样不具有适用性。我国利率调整在通货膨胀治理方面效果欠佳，而且利率的可控性、可测性以及与实体经济的相关性都比较弱。虽然货币供应量与实体经济相关性较强，货币需求函数也相对稳定，但其可控性与可测性已出现了严重问题。
(5)我国目前已具备实施灵活通货膨胀目标制的基本条件。因此，我国货币政策操作规范应当适时地向该目标规则转换，以更加有效地稳定公众预期，降低通货膨胀率及其波动，最终促进经济的快速、平稳和持续增长。
本文的主要创新点有：
(1)以往研究在检验名义收入目标形式的麦克勒姆规则时，规则表达式中的常数项即名义收入增长率对数值的确定具有一定的主观性和随意性，原因在于潜在经济增长率难以估计。为消除常数项，本文创造性地采用规则表达式的一阶差分形式进行实证，使得研究结论更具稳健性。
(2)本文在检验泰勒规则时，为了与我国的货币政策实践相一致，货币政策反应函数的设定与以往研究相比有三点不同：一是央行通胀目标具有时变性，并与实际通胀水平之间具有正相关关系；二是央行政策反应具有非对称性特征，即正的通胀缺口与负的通胀缺口具有不同的反应系数；三是用经济增长率缺口取代产出缺口。
(3)为考察我国利率的通货膨胀治理效果，本文从利率调整与通货膨胀率变动关系的角度重新定义了中性利率，并创造性地构建了一个包含通胀率一阶差分和实际利率的两变量SVAR模型，将我国1997年以来的实际利率分解为中性利率与利率缺口两个成分。
(4)在探索我国通货膨胀目标制基本框架设计时，本文使用了与以往研究不同的方法确定通货膨胀目标区间和目标时限：采用剔除异常数据后的通货膨胀率的历史平均值作为目标区间的中点，然后参照国际经验确定目标区间的宽度；根据通胀率变动的历史数据，运用统计分析法计算目标时限。
The operation norm of monetary policy is an important factor that affects its effectiveness. According to monetary economics, the operation norm of monetary policy has two fundamental types: commitment to rule or discretion. So far, there has been a debate about which one is more effective. But over the past 3 decades most researches support that monetary policy should commit to rule.
By using the existing research achievements at home and abroad for references, this dissertation tries to study the monetary policy rule and its application in China from theory and empirical analysis based on mathematical modeling, statistical analysis, econometric analysis, experience analysis and comparative analysis. The theoretical part consists of three chapters. Chapter 2 reviews systematically the debate between the rule and the discretion of monetary policy. Chapter 3 introduces the three main models of the monetary policy rule in detail. Chapter 4 expatiates comprehensively on the specific meanings and characteristics of various monetary policy rules. The empirical part also consists of three chapters. Chapter 5 analyses the applicabilities of two instrument rules in China, namely McCallum Rule and Taylor Rule. Chapter 6 analyses the applicabilities of two target rules in China, namely interest rate targeting and money supply targeting. Chapter 7 explores the applicabilities in China and the concrete operation framework of inflation targeting. The main conclusions of this dissertation are as follows:
(1) From the view of long-term, monetary policy should commit to rule and abandon the discretion. Because the discretion with time inconsistency will give rise to inflation bias, social welfare is inevitably worse off. Just the opposite, the monetary policy rule can acquire time consistency by making a credible commitment to follow the monetary policy arrangements which are set in advance, so inflation bias will be eliminated.
(2) The fixed or passive rule and the pure discretion are two extremes of the operation norm of monetary policy, thereby they are not desirable. So it is advisable that central bank takes account of the flexibility and foresight of policy as well as pays close attention to the credibility and transparency of policy. As an active, forward-looking target rule with a discretionary character, inflation targeting has therefore become the most prevailing rule at present.
(3) The McCallum Rule and the Taylor Rule are not applicable to China currently. There are at least three reasons for this. Firstly, the two rules belong to instrument rule, so their means of regulation are relatively single and their efficiencies of information utilization are fairly low. Secondly, the base money and the interest rate are procyclical and the marketization of them is at a very low levels. Thirdly, the maneuverability of the two instrument rules is quite poor because it is difficult to observe the changes in the velocity of money, to measure the gaps of the economic variables and to determine the coefficients of the policy reaction function.
(4) The interest rate targeting and the money supply targeting are also not applicable to China presently. The adjustment of interest rate showed a very poor performance in steering inflation in the past. Moreover, the interest rate's controllability, measurability and relevance with the real economy are relatively weak. On the other hand, despite the fact that the relevance between money supply and the real economy is fairly strong and the function of money demand is comparatively stable, the controllability and measurability of money supply have gone wrong.
(5) China already possesses the basic conditions to implement flexible inflation targeting at present. Accordingly, Chinese monetary policy operation should switch to this target rule timely for stabilizing the public's expectation more effectively, reducing the inflation rate and its fluctuations, and ultimately promoting the quick, stable and sustainable economic growth.
The main innovations of this dissertation are as follows:
(1) When the previous researches tested the McCallum Rule in the form of nominal income target, the constant term in the rule expression, namely the logarithm of the growth rate of nominal income was determined subjectively and casually because the potential economic growth rate is difficult to estimate. For eliminating the constant term, this dissertation uses creatively the one order difference of the rule expression to test the McCallum Rule. By this way, the research conclusion gets more robustnesses.
(2) In the process of testing the Taylor Rule, for conforming to the monetary policy practices in China, setting the reaction function of monetary policy has three main distinctions from the previous researches. Firstly, the central bank's inflation target has time-variation which shows a positive correlation with the real inflation rate. Secondly, central bank's policy reaction is asymmetric because the reaction coefficients are different between the positive inflation gap and the negative inflation gap. Thirdly, the gap of economic growth rate takes the place of the gap of output.
(3) For reviewing the effect of interest rate in steering inflation, this dissertation redefines the neutral interest rate from the angle of the correlation between the adjustment of interest rate and the change of inflation rate, and then constructs creatively a bivariate SVAR model which includes the first order difference of inflation and real interest rate to decompose China's real interest rate since 1997 into two components: neutral interest rate and interest rate gap.
(4) When this dissertation makes an inquiry into the basic framework of China's inflation targeting, it uses the different methods from the previous researches to set the interval and the time limit of inflation targeting. Namely, the historical average of inflation rates that excluded outliers is adopted as the mid-point of target range and the width of the target range is determined by referencing the international experiences. The time limit of inflation targeting is measured by statistical analysis according to the historical datum of the changes of inflation rate.
本文在借鉴国内外已有研究成果的基础上，通过数理建模、统计分析、计量分析、经验分析以及比较分析等方法，分别从理论与实证两个方面对货币政策规则及其在我国的适用性进行了研究。在理论部分，第2章系统回顾了货币政策的规则与相机抉择之争，第3章详细介绍了货币政策规则研究的三种模型，第4章全面阐述了各种货币政策规则的内涵及特点。在实证部分，第5章对麦克勒姆规则与泰勒规则这两种工具规则在我国的适用性进行了分析，第6章对利率规则和货币供应量规则这两种目标规则在我国的适用性进行了分析，第7章对通货膨胀目标制在我国的适用性及其具体操作框架进行了探索。本文得出的主要结论有：
(1)长期来看，货币政策应当依规则行事而不是相机抉择。相机抉择由于具有时间不一致性，会导致通胀偏差出现，使社会福利变差。相反，货币政策规则由于对未来的货币政策预先作出了可信承诺，因而具有时间一致性，能够消除通胀偏差。
(2)固定或消极的规则与纯粹的相机抉择是货币政策操作规范的两个极端，因而都是不可取的。最明智的做法是，央行既应当关注政策的可信度和透明度，又应当考虑政策的灵活性和前瞻性。因此，作为一种积极的、前瞻性的、具有相机抉择特征的目标规则——灵活通货膨胀目标制，已成为目前最流行的货币政策规则。
(3)麦克勒姆规则与泰勒规则目前在我国不具有适用性，其原因至少有三点：一是这两种规则属于工具规则，调控手段过于单一，信息利用效率较低；二是我国的基础货币投放和短期利率调整具有顺周期特性，而且政策工具的市场化水平较低；三是可操作性相当差，包括货币流通速度的变化难以观察、各种经济变量缺口难以测度以及政策反应函数的系数难以确定等。
(4)利率目标规则和货币供应量目标规则目前在我国同样不具有适用性。我国利率调整在通货膨胀治理方面效果欠佳，而且利率的可控性、可测性以及与实体经济的相关性都比较弱。虽然货币供应量与实体经济相关性较强，货币需求函数也相对稳定，但其可控性与可测性已出现了严重问题。
(5)我国目前已具备实施灵活通货膨胀目标制的基本条件。因此，我国货币政策操作规范应当适时地向该目标规则转换，以更加有效地稳定公众预期，降低通货膨胀率及其波动，最终促进经济的快速、平稳和持续增长。
本文的主要创新点有：
(1)以往研究在检验名义收入目标形式的麦克勒姆规则时，规则表达式中的常数项即名义收入增长率对数值的确定具有一定的主观性和随意性，原因在于潜在经济增长率难以估计。为消除常数项，本文创造性地采用规则表达式的一阶差分形式进行实证，使得研究结论更具稳健性。
(2)本文在检验泰勒规则时，为了与我国的货币政策实践相一致，货币政策反应函数的设定与以往研究相比有三点不同：一是央行通胀目标具有时变性，并与实际通胀水平之间具有正相关关系；二是央行政策反应具有非对称性特征，即正的通胀缺口与负的通胀缺口具有不同的反应系数；三是用经济增长率缺口取代产出缺口。
(3)为考察我国利率的通货膨胀治理效果，本文从利率调整与通货膨胀率变动关系的角度重新定义了中性利率，并创造性地构建了一个包含通胀率一阶差分和实际利率的两变量SVAR模型，将我国1997年以来的实际利率分解为中性利率与利率缺口两个成分。
(4)在探索我国通货膨胀目标制基本框架设计时，本文使用了与以往研究不同的方法确定通货膨胀目标区间和目标时限：采用剔除异常数据后的通货膨胀率的历史平均值作为目标区间的中点，然后参照国际经验确定目标区间的宽度；根据通胀率变动的历史数据，运用统计分析法计算目标时限。
The operation norm of monetary policy is an important factor that affects its effectiveness. According to monetary economics, the operation norm of monetary policy has two fundamental types: commitment to rule or discretion. So far, there has been a debate about which one is more effective. But over the past 3 decades most researches support that monetary policy should commit to rule.
By using the existing research achievements at home and abroad for references, this dissertation tries to study the monetary policy rule and its application in China from theory and empirical analysis based on mathematical modeling, statistical analysis, econometric analysis, experience analysis and comparative analysis. The theoretical part consists of three chapters. Chapter 2 reviews systematically the debate between the rule and the discretion of monetary policy. Chapter 3 introduces the three main models of the monetary policy rule in detail. Chapter 4 expatiates comprehensively on the specific meanings and characteristics of various monetary policy rules. The empirical part also consists of three chapters. Chapter 5 analyses the applicabilities of two instrument rules in China, namely McCallum Rule and Taylor Rule. Chapter 6 analyses the applicabilities of two target rules in China, namely interest rate targeting and money supply targeting. Chapter 7 explores the applicabilities in China and the concrete operation framework of inflation targeting. The main conclusions of this dissertation are as follows:
(1) From the view of long-term, monetary policy should commit to rule and abandon the discretion. Because the discretion with time inconsistency will give rise to inflation bias, social welfare is inevitably worse off. Just the opposite, the monetary policy rule can acquire time consistency by making a credible commitment to follow the monetary policy arrangements which are set in advance, so inflation bias will be eliminated.
(2) The fixed or passive rule and the pure discretion are two extremes of the operation norm of monetary policy, thereby they are not desirable. So it is advisable that central bank takes account of the flexibility and foresight of policy as well as pays close attention to the credibility and transparency of policy. As an active, forward-looking target rule with a discretionary character, inflation targeting has therefore become the most prevailing rule at present.
(3) The McCallum Rule and the Taylor Rule are not applicable to China currently. There are at least three reasons for this. Firstly, the two rules belong to instrument rule, so their means of regulation are relatively single and their efficiencies of information utilization are fairly low. Secondly, the base money and the interest rate are procyclical and the marketization of them is at a very low levels. Thirdly, the maneuverability of the two instrument rules is quite poor because it is difficult to observe the changes in the velocity of money, to measure the gaps of the economic variables and to determine the coefficients of the policy reaction function.
(4) The interest rate targeting and the money supply targeting are also not applicable to China presently. The adjustment of interest rate showed a very poor performance in steering inflation in the past. Moreover, the interest rate's controllability, measurability and relevance with the real economy are relatively weak. On the other hand, despite the fact that the relevance between money supply and the real economy is fairly strong and the function of money demand is comparatively stable, the controllability and measurability of money supply have gone wrong.
(5) China already possesses the basic conditions to implement flexible inflation targeting at present. Accordingly, Chinese monetary policy operation should switch to this target rule timely for stabilizing the public's expectation more effectively, reducing the inflation rate and its fluctuations, and ultimately promoting the quick, stable and sustainable economic growth.
The main innovations of this dissertation are as follows:
(1) When the previous researches tested the McCallum Rule in the form of nominal income target, the constant term in the rule expression, namely the logarithm of the growth rate of nominal income was determined subjectively and casually because the potential economic growth rate is difficult to estimate. For eliminating the constant term, this dissertation uses creatively the one order difference of the rule expression to test the McCallum Rule. By this way, the research conclusion gets more robustnesses.
(2) In the process of testing the Taylor Rule, for conforming to the monetary policy practices in China, setting the reaction function of monetary policy has three main distinctions from the previous researches. Firstly, the central bank's inflation target has time-variation which shows a positive correlation with the real inflation rate. Secondly, central bank's policy reaction is asymmetric because the reaction coefficients are different between the positive inflation gap and the negative inflation gap. Thirdly, the gap of economic growth rate takes the place of the gap of output.
(3) For reviewing the effect of interest rate in steering inflation, this dissertation redefines the neutral interest rate from the angle of the correlation between the adjustment of interest rate and the change of inflation rate, and then constructs creatively a bivariate SVAR model which includes the first order difference of inflation and real interest rate to decompose China's real interest rate since 1997 into two components: neutral interest rate and interest rate gap.
(4) When this dissertation makes an inquiry into the basic framework of China's inflation targeting, it uses the different methods from the previous researches to set the interval and the time limit of inflation targeting. Namely, the historical average of inflation rates that excluded outliers is adopted as the mid-point of target range and the width of the target range is determined by referencing the international experiences. The time limit of inflation targeting is measured by statistical analysis according to the historical datum of the changes of inflation rate.
引文
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