中国货币政策规则与相机抉择效应研究
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摘要
货币政策效应研究一直是宏观经济学重点研究的问题。在国际货币政策操作出现“双转变”(一是货币政策的最终目标由多目标向单一目标的转变；二是货币政策的操作规范由相机抉择向规则的转变)的背景下,复杂多变的国际经济形势以及货币政策执行环境的变化必将影响我国的相机抉择操作策略,从而逐步实现向规则转变。在这个转变过程中,我国货币政策的变化就有两种来源：一是货币当局按照一定的反馈规则对经济形势的系统性变化；另一种变化则是相机抉择的变化。在我国纯粹的货币政策相机抉择操作框架下,并不涉及货币政策的成分划分问题,但是当我国逐步向规则转变时,货币政策的成分划分及相应成分的效应研究则成为必然。
为此,在文献回顾及基本理论概述的基础上,用货币政策相关理论分析了我国当前货币政策执行环境的变化及货币政策制订与执行所面临的挑战,并总结了货币政策相机抉择操作的实践效果及特征。分析初步认为,在新的环境及挑战下,我国货币政策的操作模式是含有规则成分的相机抉择模式。同时,在我国货币政策面临诸多挑战并且货币政策调控效应逐渐退化的背景下,货币政策相机抉择操作越来越不能适应当前的需要。
其次,在对各反馈规则进行初步甄别的基础上,本文以主要的货币政策反馈规则(泰勒利率规则、泰勒货币供给规则、McCallum规则及其修正)为基础,构建不同的成分分解模型。在此基础上,就不同模型对我国货币政策执行特征的拟合情况进行了实证分析,从比较的角度识别出能够最大限度地刻画及描述我国当前货币政策特征的分解模型或反馈规则,并明确了货币政策中规则成分的类型。研究表明,修正的McCallum规则能够更好地刻画我国的货币政策执行特征。在此基础上,进一步将货币政策分解为规则成分与相机抉择成分。
在对货币政策的成分进行分解后,我们首先将货币政策规则成分与货币政策相机抉择成分同时纳入到圣路易斯方程的框架中,计量检验货币政策不同成分的即时经济效应。结果表明,货币政策规则成分与相机抉择成分均对经济产生重要的影响,且货币政策规则的即时效应要远远大于相机抉择成分的即时效应,货币政策效应呈现出不同经济周期的非对称性,从而在否定货币政策中性命题的同时,也为由相机抉择向规则转变奠定了初步的实证基础。这也意味着我国当前的货币政策中确实具有规则成分与相机抉择成分,货币政策开始了由相机抉择向规则的转变,但是目前货币政策相机抉择仍然处于主要地位。这部分的实证分析初步刻画出我国当前货币政策操作的模式特征为：以相机抉择为主、规则为辅的操作框架。然后,为了深入剖析货币政策相机抉择的时滞效应及其时滞结构,进一步将McCallum规则及价格粘性假设纳入到SVAR模型中,从非结构建模的角度着重研究了货币政策相机抉择效应的时滞结构,结果表明货币政策效应具有较强的持续性及时滞性,从而解释了货币政策规则成分的即时效应远远大于相机抉择成分的即时效应。在此基础上,我们在VAR框架内用脉冲响应及方差分解工具进一步研究了相投抉择与规则对产出、通货膨胀率及汇率的效应。研究认为,我国货币政策对产出的总效应为25.108%,其中相机抉择的影响程度为24.38%,规则的影响程度为0.728%；货币政策对价格波动的影响程度为12.59%,其中相机抉择的影响程度为10%,规则的影响程度为2%；货币政策对汇率波动的影响程度为1.583%,其中相机抉择的影响程度为1.465%,规则的影响程度为0.118%。由此可见,从货币政策的滞后效应看,相机抉择对经济波动的影响程度仍然处于主要地位,但是规则的影响程度也不容忽视。我国货币政策的治理效果以经济增长最为显著,其次是通货膨胀,最后是汇率。相机抉择对产出波动的影响程度最大,而规则对治理通货膨胀的作用最大。由于我国仍然以相机抉择为主,而相机抉择的滞后性及任意性增加了经济的波动,并使得经济系统更加不稳定,这就使得向规则的转变变得非常必要。
在此基础上,为了比较货币政策操作模式转变前后对经济的影响,本文通过建立标准差更小的货币政策相机抉择成分,进一步模拟货币政策操作模式的转变如何影响货币政策对产出等变量的效应(由相机抉择为主转向以规则为主的操作模式)。结果表明,降低相机抉择的程度能够提高货币政策的效应,并能大大降低各宏观经济变量的波动程度。具体地,产出波动降低约57.154%,通货膨胀的波动降低12.817%,汇率的失调程度降低37.516,因此我们认为实现由相机抉择向规则的转变不仅能够提高货币政策对经济的调控成效,而且能够减少经济的波动程度,使经济向均衡方向发展。
最后,本文对相关结论进行了总结,并就完善货币政策操作框架,加快向规则转变,实现货币政策与其它政策的有机协调提出了政策建议。
Research on the effects of monetary policy has been the center of Macroeconomics. Under the environment of "double transformations" (one is the transformation from multi-goal to sing-goal, the other is from the paradigm of discretion to rule-oriented paradigm), the complex and ever-changing international economic situation and the change of environment of monetary policy conduction are destined to influence the paradigm of monetary policy to transform from discretion to rule. During the transformation, the changes of monetary policy arise from two sources:one is the systematic change caused by monetary authority according to certain feedback rule; the other is the component of discretion which is not expected. Under the paradigm of sole discretion, question about the monetary policy components does not exist, but when it comes to the transformation from discretion to rule, the components of monetary policy and their responding effects are essentially the hot objectives of being studied.
In order to solve the questions above based on reference review and basic theory illustration, this paper analyzes the change of monetary policy conduction and the challenges that monetary policy conduction faces, the results show that China's transformation from discretion to rule has its necessity and feasibility, then the paper makes an initial screening on different monetary policy feedback rule.
Based on the initial screening, this paper empirically investigates the fitness and reasonability of main feedback rules such as Taylor's rule and McCallum'rule to China's monetary policy conduction, then the paper makes a decision which rule is optimal and describes the type of rule components. The results show that McCallum's rule can describe China's monetary policy conduction characteristics best. Based on which, the paper puts both components into single equation to investigate the instant effects of different components on output and inflation. The results indicate that both components can significantly affect the economy, although the rule components'effects are bigger which means the asymmetric effects of monetary. The results also show the indeed existence of transformation from discretion to rule and it denies the neutrality proposition. In this section summarizes the paper the whole description about China's monetary policy conduction characteristics:discretion is superior to rule.
Because discretion components stand a main position compared to rule components in China and single equation method can not study the time-lagged effects on each macroeconomic variable at the same time, this paper goes on investigating the time-lagged structure of discretion effects in SVAR model involving McCallum rule and Sticky Price Hypothesis as short constraints. The results show strong persistence of discretion effects. Then we compute the contribution rate of each component to economic adjustments and control. It shows that the total contribution rate of monetary policy is 25.108 percent, in which discretion components and rule components take accounts of 24.38%and 0.728%respectively. The total contribution rate of monetary policy to inflation cure is 12.59%, in which shock component and rule component take accounts of 10%and 2%respectively. The total contribution rate of monetary policy to exchange rate is 1.583%, in which shock component and rule component take accounts of 1.465%and 0.118%respectively. The paper shows that the effects on output are the biggest and effects on exchange rate are the lowest, effects on inflation is between the effects on output and exchange rate. Later, the paper constructs a simulation discretion component which has a even smaller standard error compared to original discretion component keeping the rule components unchanged, based on which the paper simulates the effects of monetary rule and monetary discretion under a rule-oriented paradigm. The results show that reducing the importance of discretion can significantly improve monetary policy effects on economic stability and reduce the fluctuation of each macro variable included in the model.
In order to compare the effects of monetary policy before and afar the transformation, we model the effects of rule-oriented monetary policy. The results indicate that the rule-oriented monetary policy can not only improve the effects of monetary policy, but also can reduce the fluctuations of each micro variable such as output gap, inflation gap and exchange rate misalignment.
Finally, we conclude the paper and make some useful suggestions. For example, speed up the step of transformation from discretion-oriented paradigm to rule-oriented paradigm, improve the monetary policy effects of China and strengthen the coordination of monetary policy with the others.
为此,在文献回顾及基本理论概述的基础上,用货币政策相关理论分析了我国当前货币政策执行环境的变化及货币政策制订与执行所面临的挑战,并总结了货币政策相机抉择操作的实践效果及特征。分析初步认为,在新的环境及挑战下,我国货币政策的操作模式是含有规则成分的相机抉择模式。同时,在我国货币政策面临诸多挑战并且货币政策调控效应逐渐退化的背景下,货币政策相机抉择操作越来越不能适应当前的需要。
其次,在对各反馈规则进行初步甄别的基础上,本文以主要的货币政策反馈规则(泰勒利率规则、泰勒货币供给规则、McCallum规则及其修正)为基础,构建不同的成分分解模型。在此基础上,就不同模型对我国货币政策执行特征的拟合情况进行了实证分析,从比较的角度识别出能够最大限度地刻画及描述我国当前货币政策特征的分解模型或反馈规则,并明确了货币政策中规则成分的类型。研究表明,修正的McCallum规则能够更好地刻画我国的货币政策执行特征。在此基础上,进一步将货币政策分解为规则成分与相机抉择成分。
在对货币政策的成分进行分解后,我们首先将货币政策规则成分与货币政策相机抉择成分同时纳入到圣路易斯方程的框架中,计量检验货币政策不同成分的即时经济效应。结果表明,货币政策规则成分与相机抉择成分均对经济产生重要的影响,且货币政策规则的即时效应要远远大于相机抉择成分的即时效应,货币政策效应呈现出不同经济周期的非对称性,从而在否定货币政策中性命题的同时,也为由相机抉择向规则转变奠定了初步的实证基础。这也意味着我国当前的货币政策中确实具有规则成分与相机抉择成分,货币政策开始了由相机抉择向规则的转变,但是目前货币政策相机抉择仍然处于主要地位。这部分的实证分析初步刻画出我国当前货币政策操作的模式特征为：以相机抉择为主、规则为辅的操作框架。然后,为了深入剖析货币政策相机抉择的时滞效应及其时滞结构,进一步将McCallum规则及价格粘性假设纳入到SVAR模型中,从非结构建模的角度着重研究了货币政策相机抉择效应的时滞结构,结果表明货币政策效应具有较强的持续性及时滞性,从而解释了货币政策规则成分的即时效应远远大于相机抉择成分的即时效应。在此基础上,我们在VAR框架内用脉冲响应及方差分解工具进一步研究了相投抉择与规则对产出、通货膨胀率及汇率的效应。研究认为,我国货币政策对产出的总效应为25.108%,其中相机抉择的影响程度为24.38%,规则的影响程度为0.728%；货币政策对价格波动的影响程度为12.59%,其中相机抉择的影响程度为10%,规则的影响程度为2%；货币政策对汇率波动的影响程度为1.583%,其中相机抉择的影响程度为1.465%,规则的影响程度为0.118%。由此可见,从货币政策的滞后效应看,相机抉择对经济波动的影响程度仍然处于主要地位,但是规则的影响程度也不容忽视。我国货币政策的治理效果以经济增长最为显著,其次是通货膨胀,最后是汇率。相机抉择对产出波动的影响程度最大,而规则对治理通货膨胀的作用最大。由于我国仍然以相机抉择为主,而相机抉择的滞后性及任意性增加了经济的波动,并使得经济系统更加不稳定,这就使得向规则的转变变得非常必要。
在此基础上,为了比较货币政策操作模式转变前后对经济的影响,本文通过建立标准差更小的货币政策相机抉择成分,进一步模拟货币政策操作模式的转变如何影响货币政策对产出等变量的效应(由相机抉择为主转向以规则为主的操作模式)。结果表明,降低相机抉择的程度能够提高货币政策的效应,并能大大降低各宏观经济变量的波动程度。具体地,产出波动降低约57.154%,通货膨胀的波动降低12.817%,汇率的失调程度降低37.516,因此我们认为实现由相机抉择向规则的转变不仅能够提高货币政策对经济的调控成效,而且能够减少经济的波动程度,使经济向均衡方向发展。
最后,本文对相关结论进行了总结,并就完善货币政策操作框架,加快向规则转变,实现货币政策与其它政策的有机协调提出了政策建议。
Research on the effects of monetary policy has been the center of Macroeconomics. Under the environment of "double transformations" (one is the transformation from multi-goal to sing-goal, the other is from the paradigm of discretion to rule-oriented paradigm), the complex and ever-changing international economic situation and the change of environment of monetary policy conduction are destined to influence the paradigm of monetary policy to transform from discretion to rule. During the transformation, the changes of monetary policy arise from two sources:one is the systematic change caused by monetary authority according to certain feedback rule; the other is the component of discretion which is not expected. Under the paradigm of sole discretion, question about the monetary policy components does not exist, but when it comes to the transformation from discretion to rule, the components of monetary policy and their responding effects are essentially the hot objectives of being studied.
In order to solve the questions above based on reference review and basic theory illustration, this paper analyzes the change of monetary policy conduction and the challenges that monetary policy conduction faces, the results show that China's transformation from discretion to rule has its necessity and feasibility, then the paper makes an initial screening on different monetary policy feedback rule.
Based on the initial screening, this paper empirically investigates the fitness and reasonability of main feedback rules such as Taylor's rule and McCallum'rule to China's monetary policy conduction, then the paper makes a decision which rule is optimal and describes the type of rule components. The results show that McCallum's rule can describe China's monetary policy conduction characteristics best. Based on which, the paper puts both components into single equation to investigate the instant effects of different components on output and inflation. The results indicate that both components can significantly affect the economy, although the rule components'effects are bigger which means the asymmetric effects of monetary. The results also show the indeed existence of transformation from discretion to rule and it denies the neutrality proposition. In this section summarizes the paper the whole description about China's monetary policy conduction characteristics:discretion is superior to rule.
Because discretion components stand a main position compared to rule components in China and single equation method can not study the time-lagged effects on each macroeconomic variable at the same time, this paper goes on investigating the time-lagged structure of discretion effects in SVAR model involving McCallum rule and Sticky Price Hypothesis as short constraints. The results show strong persistence of discretion effects. Then we compute the contribution rate of each component to economic adjustments and control. It shows that the total contribution rate of monetary policy is 25.108 percent, in which discretion components and rule components take accounts of 24.38%and 0.728%respectively. The total contribution rate of monetary policy to inflation cure is 12.59%, in which shock component and rule component take accounts of 10%and 2%respectively. The total contribution rate of monetary policy to exchange rate is 1.583%, in which shock component and rule component take accounts of 1.465%and 0.118%respectively. The paper shows that the effects on output are the biggest and effects on exchange rate are the lowest, effects on inflation is between the effects on output and exchange rate. Later, the paper constructs a simulation discretion component which has a even smaller standard error compared to original discretion component keeping the rule components unchanged, based on which the paper simulates the effects of monetary rule and monetary discretion under a rule-oriented paradigm. The results show that reducing the importance of discretion can significantly improve monetary policy effects on economic stability and reduce the fluctuation of each macro variable included in the model.
In order to compare the effects of monetary policy before and afar the transformation, we model the effects of rule-oriented monetary policy. The results indicate that the rule-oriented monetary policy can not only improve the effects of monetary policy, but also can reduce the fluctuations of each micro variable such as output gap, inflation gap and exchange rate misalignment.
Finally, we conclude the paper and make some useful suggestions. For example, speed up the step of transformation from discretion-oriented paradigm to rule-oriented paradigm, improve the monetary policy effects of China and strengthen the coordination of monetary policy with the others.
引文
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