适应性学习与中国最优货币政策研究
摘要
现代宏观经济是一个经济主体相互影响的系统,同时也是私人经济部门同中央银行相互影响的预期反馈体系。由于经济体系当中,从微观到宏观层面都经常发生着各种动态的变化,作为追求效用最大化的理性经济主体,调整消费或投资等行为决策常常会依据其对宏观经济变量的预期。货币政策为了实现其目标,必须考虑公众预期的形成机制、影响因素及动态特征。
不同的经济主体对宏观经济运行认知以及对于未来的经济走势做出的预期是各不相同的,观察和调整始终伴随经济主体的预期与决策过程,所以公众必定长期甚至终生处在动态的观察和学习过程中。适应性学习理论作为理性预期假定之外的另一种预期形成方式,被广泛运用于包括货币政策领域在内的宏观经济研究分析中。经济主体之间也更多地通过信息传递进行相互学习,学习理论在微观经济主体学习机制中以过程理性假设代替传统模型的实质理性假设,为最优货币政策分析提供了更加坚实的微观基础,有助于货币政策效应更好地发挥,更好地实现货币政策目标。
当前,无论是货币政策理论研究或是操作实践中,货币政策的分析主要基于理性预期开展,而对适应性学习假定下的货币政策研究则相对不足,作为理性预期的适度背离和更贴近经济实际的预期形成方式,适应性学习假设下的公众是否学习及如何学习,通过适应性学习机制形成的通胀预期对通胀持久性的影响如何?面对以适应性学习作为预期形成机制的公众,我国的最优货币政策的选择和操作实践面临了如何选择及如何操作的问题。
本文将从预期、学习及最优货币政策理论分析着手,从学习和预期形成的角度分析货币政策的微观基础,从适应性学习对通胀的影响角度分析货币政策的宏观基础,并以中国公众的适应性学习为假设,建立适应性学习下的通胀预期形成机制,并构建适应性学习下的中国菲利普斯曲线,结合1996年～2013年的相关数据,就中国公众的适应性学习对通胀持久性的影响进行实证检验,认为我国短期通胀持久性主要是由公众适应性学习下的通胀预期导致,我国最优货币政策选择应实行稳健的前瞻性政策,积极应对通胀,同时应加强预期管理,稳定货币金融环境。
随后,本文结合当前我国货币政策分析框架和操作特征,根据实证检验的结果,在具有代表性的传统货币政策分析框架下对适应性学习下的最优货币政策规则进行综合研究。具体而言,基于传统货币政策分析框架,放松理性预期假设,为主体预期的形成引入适应性学习理论,通过模型分析求解适应性学习下的简单单参数最优货币政策规则；同时基于传统货币政策分析框架,对适应性学习下的灵活通胀目标制进行分析。
同时,鉴于学习理论在最优货币政策中的应用在国内还属较前沿的研究领域,本文也对相关理论进行了较为系统的梳理和归纳,对适应性学习下的最优货币政策分析文献进行了补充和完善。
正文共分七章,基本结构和主要内容如下：
第1章是本文导论,主要介绍了本文的选题背景,研究目的,研究方法和研究意义。提出理性预期理论在最优货币政策研究中的不足,以及中国货币政策面临的问题,以及本文将要采用的研究方法和可能的创新。
第2章是本文的文献综述,对学习理论的发展历程,以及适应性学习在最优货币政策研究中的应用相关的国内外研究文献进行了梳理、分析及评述。指出适应性学习在通胀波动与持续方面的解释,为预期管理提供更贴近真实经济的解释以及为中央银行最优货币政策研究提供的全新视角。
第3章较为系统地对预期与学习理论进行了分析,介绍评述了主要的预期理论及其发展历程；并从博弈学习理论出发,将经济主体的学习分为个体学习和社会学习,并简要回顾了菲利普斯曲线的发展历程,为后续章节开展适应性学习,通货膨胀及最优货币政策研究进行铺垫。
第4章中较为完整地对适应性学下的预期形成机制进行了数理推导和求解,并对主流的三种学习算法进行详细地分析推导和求解,最后对适应性学习机制和学习算法进行了评述和总结
第5章在适应性学习的假设之下,建立中国公众的预期形成方程及对应的中国菲利普斯曲线,并采用相关的宏观经济数据对适应性学习假设下的中国菲利普斯曲线以及公众的预期形成机制进行了综合实证分析。
第6章将根据适应性学习对中国通货膨胀的影响,对中国最优货币政策进行研究。首先回顾了我国转型期特有的货币政策框架、操作特征及通胀治理。随后基于第5章的研究结论,在货币政策分析的传统框架下构建学习经济系统,先后分析了理性预期和适应性学习下的简单单参数最优货币政策规则,以及适应性学习下的灵活通胀目标规则,对适应性学习下的我国稳健性和前瞻性最优货币政策进行了分析；
第7章是本文的结论、政策建议,研究存在的不足以及研究展望
本文主要结论如下：
(一)预期被广泛地纳入宏观经济学研究,经济学分析中的学习理论可以分为个体学习和社会学习理论,适应性学习理论作为预期理论的最新发展,是对理性预期的合理偏离,是更贴近经济现实的预期形成机制。
(二)适应性学习被广泛地引入了包括货币政策在内的前瞻性宏观经济分析。适应性学习机制的引入,使公众能够形成较为合理的通货膨胀预期,减缓了货币政策调控的难度。通过货币政策规则设计使得私人部门的预期在长期中向理性预期收敛,以及适应性学习下经济向理性预期均衡(REE,下同)收敛过程中所具有的特性,是适应性学习在货币政策研究的两个重要的方向。
(三)适应性学习下的预期更新是靠主体获得新的信息后重新估计参数进而更新预期实现的,适应性学习三种流行的参数更新方法(学习算法)主要是递归最小二乘学习,随机梯度学习和固定收益学习。适应性学习的动态过程不仅依赖于学习算法,而且也依赖于初始条件。初始值的设置对于模型参量的学习算法而言十分重要。
(四)适应性学习机制下,不同收益参数值对应的的预期特征及其对菲利普斯曲线的回归结果对比发现,我国短期通胀持久性主要受适应性学习下的公众预期影响。我国公众的适应性学习机制更符合递归最小二乘学习特征,即最近的通胀预期对当期的通胀影响最大,公众更多根据从最近的预测误差来修正预期,而不是建立在对经济结构的认识基础之上来修正预期。
(五)转型期这个特殊阶段中国货币政策可以逐渐由相机抉择向更加注重利率工具的货币政策规则转变,以实现价格稳定的同时促进经济稳定和协调发展。尤其是在适应性学习机制下,积极地反通胀,并与公众进行通胀目标的有效交流,有助于锚定公众的通胀预期,避免经济滑入滞涨。而对于适应性学习下的灵活通胀目标制,货币政策应确保参数的正确选择满足确定性和稳定性条件,并考虑收敛速度,以促使经济的均衡结果收敛于理性预期均衡或对均衡的偏离最小,进而增进社会福利,降低制度转变的成本。此外,决策者对公众教育的加强,有助于公众提高预期水平,建立正确的预期,有利于经济实现向理性预期均衡的收敛。
本文主要的可能创新在于：
(一)鉴于适应性学习及相关研究的前沿性,首次针对学习理论及其微观基础理论,以及适应性学习在最优货币政策研究中的应用为主线,从经济主体的适应性学习机制更新预期,到最优货币政策分析和操作,较为系统地梳理分析了学习、预期及最优货币政策相关的理论和研究,充实和完善了相关研究的文献。
(二)在适应性学习的研究视角下,提出包含通胀惯性、房地产价格指数、广义货币M2增长率及银行间同业拆借利率增长率为影响因素的通胀预期形成方程,基于影响因素的观测数据及适应性学习机制,通过固定收益学习算法和递归最小二乘学习算法计算得出适应性学习下我国公众的通胀预期数据。并对我国公众的学习机制与特征进行分析。结合相关宏观数据,对适应性学习下的中国菲利普斯曲线进行实证检验。
(三)将适应性学习应用于中国最优货币政策的选择与操作实践问题研究。根据实证检验的结果,基于传统货币政策分析框架,提出适应性学习下的最优货币政策规则,从理论分析上为稳健性和前瞻性的中国货币政策提供了新的诠释,指出适应性学习下的政策操作,除了以积极治理通货膨胀锚定公众预期外,同时还应注重通胀目标交流及公众预期的引导,避免经济滑入滞胀。而适应性学习下的灵活通胀目标制应确保理性预期均衡的稳定性和确定性,以及收敛速度,并加强公众教育,以更好实现我国货币政策目标。
Modern economy is a system of economic agents interact with each other, but also is a system of expectation feedback of interaction between private sector and central bank. Because of the economic system, all kinds of dynamic are often changing from micro to macro level, as a rational economic agent to pursuit the utility of maximization, adjustment of consumption or investment decision-making is often based on its expectations on macro economic variables. Monetary policy in order to achieve its goals must consider the formation mechanism, influencing factors and dynamic characteristics of public expectations.
Different economic agent makes different expectation for macroeconomic cognition and for the future economic trend, observation and adjustment has always been associated with the anticipation and decision process of economic agents, so the public must have long-term or even lifelong in observation and learning process dynamically. As another expectation formation mechanism besides rational expectation, adaptive learning theory is widely used in the fields of macroeconomic analysis, including monetary policy. Moreover,the economic agents learn from each other more through the transfer of information, in the microeconomy agents' learning mechanism,learning theory appears process rational assumptions instead of the traditional model-substantive rationality, providing a more solid micro foundation for the analysis of optimal monetary policy, contributing to the effect of monetary policy better, with better realizing the goal of monetary policy.
At present, both the theoretical research on monetary policy or operating in practice, the analysis of monetary policy is mainly based on rational expectations, but the monetary policy research under adaptive learning assumption is relatively insufficient, as a modest departure from rational expectations and more close to the economic actual expectation formation mechanism, under the adaptive learning asumption, whether the public to learn and how to learn, how does the formation mechanism of inflation expectations on inflation affect the persistence through adaptive learning? Facing to the public who use the adaptive learning as expected the formation mechanism, how to choose and how to face the problem about the optimal monetary policy choice and practice in china?
This paper will study and analyse the micro foundation of the monetary policy from learning and expectations formation angle, analyse the macro foundation of monetary policy from the angle that adaptive learning affect the infiation,starting with the expectation, learning and the optimal monetary policy theory analysis.and assuming that Chinese public use adaptive learning to form expection, establishing the Chinese Phillips curve under adaptive learning, combined with the data of1996-2013, with Chinese public under adaptive learning to make empirical test on inflation persistence effect, I think the short-run inflation persistence is mainly resulted from the inflation expectation under adaptive learning, the optimal monetary policy in China should be forward-looking and robust policy, and actively respond to inflation, while strengthening the management of expectations, stabilize monetary and financial environment.
Then, combining with the analysis framework and operating characteristics of the current monetary policy of china, according to the emprical analysis in chapter5,1analysed the optimal monetary policy rules under the representative traditional monetary framework under adaptive learning. Specifically, based on the traditional monetary policy analysis framework,relaxing the assumption of rational expectations, introducing the adaptive learning theory for agent to form expectation, I got the simple single parameter optimal monetary policy rule under adaptive learning through the model analysis; then I analysed the flexible inflation targeting rules under adaptive learning with traditional monetary policy framework.
At the same time, thinking about that the application of learning theory in the optimal monetary policy in China also belongs to the research field relatively new, this paper tries to summarize systematically the related theory, supplement the related literature ot the optimal monetary policy analysis under adaptive learning.
The fulltext is divided into seven chapters, the basic structure and the main contents are as follows:
The1st chapter is the introduction, mainly introduces the issues background、 research purpose, research methods and research significance. The shortcomings of the rational expectations theory in the research on optimal monetary policy, as well as the problems of China monetary policy facing, research methods will be used and the possible innovation in this paper.
The2nd chapter is literature review of this paper, to study,analyse and review the related domestic and foreign literatures about the development process of the learning theory, and the application of the research in optimal monetary policy under adaptive learning. Pointing out that the adaptive learning can give another interpretation in inflation volatility and persistence, to provide a new perspective closer to real economic explanation for expectation management and researching angle for central bank and the optimal monetary policy analysis.
The3rd chapter systematically analyses on expectations and learning theory, introduces and reviews the main expectations theory and its history of development; and based on the game learning theory, this chaper devided the agents'learning theroies into individual learning and social leaning, and briefly reviews the development of the Phillips curve, to make the prepration foe research of the adaptive learning, inflation and the optimal monetary policy research in the following chapters.
In the4th chapter, I comprehensive got the expectations formation mechanism under adaptive learing through mathematical derivation and solution, and the three learning algorithms on the mainstream of the detailed analysis is derived and solved, finally I carried on the review and summary of adaptive learning mechanism and learning algorithm.
In the5th chapter,I set up Chinese public expectation formation equation and corresponding China Phillips curve under adaptive learning hypothesis, and using the macroeconomic data related to test the Phillips curve of china under adaptive learning, and make the comrehensive analysis for public expectation formation mechanism through the empirical analysis.
The6th chapter will be based on the effect on the Chinese inflation of adaptive learning, conducts the research to the Chinese optimal monetary policy. First I reviews the transformation period of china's specific monetary policy framework, operation characteristics and inflation control. Then basing on the conclusion in chapter5,under the traditional framework for the analysis of monetary policy and building learning economic system, I have analyzed he simple one parameter optimal monetary policy rule under the rational expectations and the adaptive learning, and the flexible inflation targeting rule under adaptive learning, to analyse the robust and the looking-froward optimal monetary policy under adaptive learning in China.
The7th chapter is the conclusion, policy recommendations, research problems and research prospects of this paper.
The main conclusions of this paper are as follows:
(1) expectation is to be widely used in macroeconomics research, learning theories can be divided into individual and social learning theory, As the new development of the expectations theory, adaptive learning is the reasonable departure from rational expectations, and is a expectation formation mechanism closer to the economic reality.
(2) adaptive learning has been widely introduced into forward-looking macroeconomic analysis including monetary policy,The introduction of the adaptive learning mechanism, so that the public can form reasonable expectations of inflation, can relieve the difficulty for monetary policy to regulate and control macroecnomic. The monetary policy rule is designed so that the private sector's expectation can convergence to rational expectation in the long term, and the characteristics in the process that the economy convergence to the rational expectations equilibrium (REE, the same below) under adaptive learning, are the two important directions in the study of monetary policy with adaptive learning.
(3) the expectation updating under adaptive learning is on the agent get new information and then reestimate the parameters to achieve the updating of expectation, there are three popular parameter updating method (algorithm) for adaptive learning:Recursive least squares learning, stochastic gradient learning and constan gain learning. The dynamic process of adaptive learning depends not only on the learning algorithm, but also depends on the initial conditions. The initial value is very important for the learning algorithm of the model parameters.
(4)Under the adaptive learning mechanism,comparing within different empirical results of Phillips curve from different gain parameter values, I found that short-term inflation persistence in China is mainly affected by the expectation under adaptive learning. China's public adaptive learning mechanism is more in line with the recursive least squares learning characteristics, namely the recent inflation expectation brings the maximum effect on the inflation, the public more correct their expectaion according to the recent prediction error,but not to the knowledge foundation of the economic structure.
(5)In the special transitional stage of China, monetary policy may pay more attention to the shift from discretion to interest rate tool gradually,so that the inflation could be stable and stable economy, harmonious development could be achieved. Especially in the adaptive learning mechanism, actively anti-inflation, effective communication about the inflation target to the public, helps to anchor inflation expectations of the public, prevent the economy from sliding into stagflation. And consider the flexible inflation targeting under adaptive learning, monetary policy should be to ensure that the parameters meet the determinacy and stability conditions, and consider the convergence rate, so that the economy equilibrium converges to rational expectation equilibrium or on the minimum deviation from equilibrium, and enhance social welfare, reduce the cost of institution changing. In addition, the policy maker strengthens public education helps the public to improve the expected level, establish correct expectation and achieve the convergence for the economy to the rational expectations equilibrium.
This paper probably lies in innovation:
(1)In view of advanced adaptive learning and research, according to the theories of learning and its micro foundation,and the application of adaptive learning in the research of optimal monetary policy as the main line, from the agent's expectation updating in the adaptive learning mechanism, to the optimal monetary policy analysis and operation, I fistly systematicly sum up and analyse the theory and research of learning, expectation and optimal monetary policy, strengthened and improved the relevant research literature.
(2) Under the perspective of adaptive learning, I propose a inflation expectation forming equation which affected by the factors of inflation inertia, the real estate price index, M2growth rate and the interbank interest rate growth rate. based on the observation data of these influence factors and adaptive learning mechanism,I calculated the public's expectations of inflation in China under adaptive learning with the constant gain learning and the recursive least squares learning algorithm. And I analyse the learning mechanism and characteristics of Chinese public. Combined with the related macro data, I finished the empirical tests of the Chinese Phillips curve under adaptive learning.
(3) Perfoming the study of Chinese optimal monetary policy selection and operation practice applied with adaptive learning. According to the results of empirical testing, based on the traditional monetary policy analysis framework,I propose the optimal monetary policy rule under adaptive learning, provide a new interpretation for the Chinese robust and forward-looking monetary policy theoreticaly, I suggest that being about the policy operation under adaptive learning, besides anchorring public expectations by the positive anti-inflation policies, attention should also be paid to the inflation target communication and the guidance to public expectation, preventing the economy from sliding into stagflation. While the flexible inflation targeting under adaptive learning should ensure the stability and determinacy of rational expectations equilibrium, the speed of convergence, and strengthen education to the public, in order to achieve Chinese monetary policy target better.
不同的经济主体对宏观经济运行认知以及对于未来的经济走势做出的预期是各不相同的,观察和调整始终伴随经济主体的预期与决策过程,所以公众必定长期甚至终生处在动态的观察和学习过程中。适应性学习理论作为理性预期假定之外的另一种预期形成方式,被广泛运用于包括货币政策领域在内的宏观经济研究分析中。经济主体之间也更多地通过信息传递进行相互学习,学习理论在微观经济主体学习机制中以过程理性假设代替传统模型的实质理性假设,为最优货币政策分析提供了更加坚实的微观基础,有助于货币政策效应更好地发挥,更好地实现货币政策目标。
当前,无论是货币政策理论研究或是操作实践中,货币政策的分析主要基于理性预期开展,而对适应性学习假定下的货币政策研究则相对不足,作为理性预期的适度背离和更贴近经济实际的预期形成方式,适应性学习假设下的公众是否学习及如何学习,通过适应性学习机制形成的通胀预期对通胀持久性的影响如何?面对以适应性学习作为预期形成机制的公众,我国的最优货币政策的选择和操作实践面临了如何选择及如何操作的问题。
本文将从预期、学习及最优货币政策理论分析着手,从学习和预期形成的角度分析货币政策的微观基础,从适应性学习对通胀的影响角度分析货币政策的宏观基础,并以中国公众的适应性学习为假设,建立适应性学习下的通胀预期形成机制,并构建适应性学习下的中国菲利普斯曲线,结合1996年～2013年的相关数据,就中国公众的适应性学习对通胀持久性的影响进行实证检验,认为我国短期通胀持久性主要是由公众适应性学习下的通胀预期导致,我国最优货币政策选择应实行稳健的前瞻性政策,积极应对通胀,同时应加强预期管理,稳定货币金融环境。
随后,本文结合当前我国货币政策分析框架和操作特征,根据实证检验的结果,在具有代表性的传统货币政策分析框架下对适应性学习下的最优货币政策规则进行综合研究。具体而言,基于传统货币政策分析框架,放松理性预期假设,为主体预期的形成引入适应性学习理论,通过模型分析求解适应性学习下的简单单参数最优货币政策规则；同时基于传统货币政策分析框架,对适应性学习下的灵活通胀目标制进行分析。
同时,鉴于学习理论在最优货币政策中的应用在国内还属较前沿的研究领域,本文也对相关理论进行了较为系统的梳理和归纳,对适应性学习下的最优货币政策分析文献进行了补充和完善。
正文共分七章,基本结构和主要内容如下：
第1章是本文导论,主要介绍了本文的选题背景,研究目的,研究方法和研究意义。提出理性预期理论在最优货币政策研究中的不足,以及中国货币政策面临的问题,以及本文将要采用的研究方法和可能的创新。
第2章是本文的文献综述,对学习理论的发展历程,以及适应性学习在最优货币政策研究中的应用相关的国内外研究文献进行了梳理、分析及评述。指出适应性学习在通胀波动与持续方面的解释,为预期管理提供更贴近真实经济的解释以及为中央银行最优货币政策研究提供的全新视角。
第3章较为系统地对预期与学习理论进行了分析,介绍评述了主要的预期理论及其发展历程；并从博弈学习理论出发,将经济主体的学习分为个体学习和社会学习,并简要回顾了菲利普斯曲线的发展历程,为后续章节开展适应性学习,通货膨胀及最优货币政策研究进行铺垫。
第4章中较为完整地对适应性学下的预期形成机制进行了数理推导和求解,并对主流的三种学习算法进行详细地分析推导和求解,最后对适应性学习机制和学习算法进行了评述和总结
第5章在适应性学习的假设之下,建立中国公众的预期形成方程及对应的中国菲利普斯曲线,并采用相关的宏观经济数据对适应性学习假设下的中国菲利普斯曲线以及公众的预期形成机制进行了综合实证分析。
第6章将根据适应性学习对中国通货膨胀的影响,对中国最优货币政策进行研究。首先回顾了我国转型期特有的货币政策框架、操作特征及通胀治理。随后基于第5章的研究结论,在货币政策分析的传统框架下构建学习经济系统,先后分析了理性预期和适应性学习下的简单单参数最优货币政策规则,以及适应性学习下的灵活通胀目标规则,对适应性学习下的我国稳健性和前瞻性最优货币政策进行了分析；
第7章是本文的结论、政策建议,研究存在的不足以及研究展望
本文主要结论如下：
(一)预期被广泛地纳入宏观经济学研究,经济学分析中的学习理论可以分为个体学习和社会学习理论,适应性学习理论作为预期理论的最新发展,是对理性预期的合理偏离,是更贴近经济现实的预期形成机制。
(二)适应性学习被广泛地引入了包括货币政策在内的前瞻性宏观经济分析。适应性学习机制的引入,使公众能够形成较为合理的通货膨胀预期,减缓了货币政策调控的难度。通过货币政策规则设计使得私人部门的预期在长期中向理性预期收敛,以及适应性学习下经济向理性预期均衡(REE,下同)收敛过程中所具有的特性,是适应性学习在货币政策研究的两个重要的方向。
(三)适应性学习下的预期更新是靠主体获得新的信息后重新估计参数进而更新预期实现的,适应性学习三种流行的参数更新方法(学习算法)主要是递归最小二乘学习,随机梯度学习和固定收益学习。适应性学习的动态过程不仅依赖于学习算法,而且也依赖于初始条件。初始值的设置对于模型参量的学习算法而言十分重要。
(四)适应性学习机制下,不同收益参数值对应的的预期特征及其对菲利普斯曲线的回归结果对比发现,我国短期通胀持久性主要受适应性学习下的公众预期影响。我国公众的适应性学习机制更符合递归最小二乘学习特征,即最近的通胀预期对当期的通胀影响最大,公众更多根据从最近的预测误差来修正预期,而不是建立在对经济结构的认识基础之上来修正预期。
(五)转型期这个特殊阶段中国货币政策可以逐渐由相机抉择向更加注重利率工具的货币政策规则转变,以实现价格稳定的同时促进经济稳定和协调发展。尤其是在适应性学习机制下,积极地反通胀,并与公众进行通胀目标的有效交流,有助于锚定公众的通胀预期,避免经济滑入滞涨。而对于适应性学习下的灵活通胀目标制,货币政策应确保参数的正确选择满足确定性和稳定性条件,并考虑收敛速度,以促使经济的均衡结果收敛于理性预期均衡或对均衡的偏离最小,进而增进社会福利,降低制度转变的成本。此外,决策者对公众教育的加强,有助于公众提高预期水平,建立正确的预期,有利于经济实现向理性预期均衡的收敛。
本文主要的可能创新在于：
(一)鉴于适应性学习及相关研究的前沿性,首次针对学习理论及其微观基础理论,以及适应性学习在最优货币政策研究中的应用为主线,从经济主体的适应性学习机制更新预期,到最优货币政策分析和操作,较为系统地梳理分析了学习、预期及最优货币政策相关的理论和研究,充实和完善了相关研究的文献。
(二)在适应性学习的研究视角下,提出包含通胀惯性、房地产价格指数、广义货币M2增长率及银行间同业拆借利率增长率为影响因素的通胀预期形成方程,基于影响因素的观测数据及适应性学习机制,通过固定收益学习算法和递归最小二乘学习算法计算得出适应性学习下我国公众的通胀预期数据。并对我国公众的学习机制与特征进行分析。结合相关宏观数据,对适应性学习下的中国菲利普斯曲线进行实证检验。
(三)将适应性学习应用于中国最优货币政策的选择与操作实践问题研究。根据实证检验的结果,基于传统货币政策分析框架,提出适应性学习下的最优货币政策规则,从理论分析上为稳健性和前瞻性的中国货币政策提供了新的诠释,指出适应性学习下的政策操作,除了以积极治理通货膨胀锚定公众预期外,同时还应注重通胀目标交流及公众预期的引导,避免经济滑入滞胀。而适应性学习下的灵活通胀目标制应确保理性预期均衡的稳定性和确定性,以及收敛速度,并加强公众教育,以更好实现我国货币政策目标。
Modern economy is a system of economic agents interact with each other, but also is a system of expectation feedback of interaction between private sector and central bank. Because of the economic system, all kinds of dynamic are often changing from micro to macro level, as a rational economic agent to pursuit the utility of maximization, adjustment of consumption or investment decision-making is often based on its expectations on macro economic variables. Monetary policy in order to achieve its goals must consider the formation mechanism, influencing factors and dynamic characteristics of public expectations.
Different economic agent makes different expectation for macroeconomic cognition and for the future economic trend, observation and adjustment has always been associated with the anticipation and decision process of economic agents, so the public must have long-term or even lifelong in observation and learning process dynamically. As another expectation formation mechanism besides rational expectation, adaptive learning theory is widely used in the fields of macroeconomic analysis, including monetary policy. Moreover,the economic agents learn from each other more through the transfer of information, in the microeconomy agents' learning mechanism,learning theory appears process rational assumptions instead of the traditional model-substantive rationality, providing a more solid micro foundation for the analysis of optimal monetary policy, contributing to the effect of monetary policy better, with better realizing the goal of monetary policy.
At present, both the theoretical research on monetary policy or operating in practice, the analysis of monetary policy is mainly based on rational expectations, but the monetary policy research under adaptive learning assumption is relatively insufficient, as a modest departure from rational expectations and more close to the economic actual expectation formation mechanism, under the adaptive learning asumption, whether the public to learn and how to learn, how does the formation mechanism of inflation expectations on inflation affect the persistence through adaptive learning? Facing to the public who use the adaptive learning as expected the formation mechanism, how to choose and how to face the problem about the optimal monetary policy choice and practice in china?
This paper will study and analyse the micro foundation of the monetary policy from learning and expectations formation angle, analyse the macro foundation of monetary policy from the angle that adaptive learning affect the infiation,starting with the expectation, learning and the optimal monetary policy theory analysis.and assuming that Chinese public use adaptive learning to form expection, establishing the Chinese Phillips curve under adaptive learning, combined with the data of1996-2013, with Chinese public under adaptive learning to make empirical test on inflation persistence effect, I think the short-run inflation persistence is mainly resulted from the inflation expectation under adaptive learning, the optimal monetary policy in China should be forward-looking and robust policy, and actively respond to inflation, while strengthening the management of expectations, stabilize monetary and financial environment.
Then, combining with the analysis framework and operating characteristics of the current monetary policy of china, according to the emprical analysis in chapter5,1analysed the optimal monetary policy rules under the representative traditional monetary framework under adaptive learning. Specifically, based on the traditional monetary policy analysis framework,relaxing the assumption of rational expectations, introducing the adaptive learning theory for agent to form expectation, I got the simple single parameter optimal monetary policy rule under adaptive learning through the model analysis; then I analysed the flexible inflation targeting rules under adaptive learning with traditional monetary policy framework.
At the same time, thinking about that the application of learning theory in the optimal monetary policy in China also belongs to the research field relatively new, this paper tries to summarize systematically the related theory, supplement the related literature ot the optimal monetary policy analysis under adaptive learning.
The fulltext is divided into seven chapters, the basic structure and the main contents are as follows:
The1st chapter is the introduction, mainly introduces the issues background、 research purpose, research methods and research significance. The shortcomings of the rational expectations theory in the research on optimal monetary policy, as well as the problems of China monetary policy facing, research methods will be used and the possible innovation in this paper.
The2nd chapter is literature review of this paper, to study,analyse and review the related domestic and foreign literatures about the development process of the learning theory, and the application of the research in optimal monetary policy under adaptive learning. Pointing out that the adaptive learning can give another interpretation in inflation volatility and persistence, to provide a new perspective closer to real economic explanation for expectation management and researching angle for central bank and the optimal monetary policy analysis.
The3rd chapter systematically analyses on expectations and learning theory, introduces and reviews the main expectations theory and its history of development; and based on the game learning theory, this chaper devided the agents'learning theroies into individual learning and social leaning, and briefly reviews the development of the Phillips curve, to make the prepration foe research of the adaptive learning, inflation and the optimal monetary policy research in the following chapters.
In the4th chapter, I comprehensive got the expectations formation mechanism under adaptive learing through mathematical derivation and solution, and the three learning algorithms on the mainstream of the detailed analysis is derived and solved, finally I carried on the review and summary of adaptive learning mechanism and learning algorithm.
In the5th chapter,I set up Chinese public expectation formation equation and corresponding China Phillips curve under adaptive learning hypothesis, and using the macroeconomic data related to test the Phillips curve of china under adaptive learning, and make the comrehensive analysis for public expectation formation mechanism through the empirical analysis.
The6th chapter will be based on the effect on the Chinese inflation of adaptive learning, conducts the research to the Chinese optimal monetary policy. First I reviews the transformation period of china's specific monetary policy framework, operation characteristics and inflation control. Then basing on the conclusion in chapter5,under the traditional framework for the analysis of monetary policy and building learning economic system, I have analyzed he simple one parameter optimal monetary policy rule under the rational expectations and the adaptive learning, and the flexible inflation targeting rule under adaptive learning, to analyse the robust and the looking-froward optimal monetary policy under adaptive learning in China.
The7th chapter is the conclusion, policy recommendations, research problems and research prospects of this paper.
The main conclusions of this paper are as follows:
(1) expectation is to be widely used in macroeconomics research, learning theories can be divided into individual and social learning theory, As the new development of the expectations theory, adaptive learning is the reasonable departure from rational expectations, and is a expectation formation mechanism closer to the economic reality.
(2) adaptive learning has been widely introduced into forward-looking macroeconomic analysis including monetary policy,The introduction of the adaptive learning mechanism, so that the public can form reasonable expectations of inflation, can relieve the difficulty for monetary policy to regulate and control macroecnomic. The monetary policy rule is designed so that the private sector's expectation can convergence to rational expectation in the long term, and the characteristics in the process that the economy convergence to the rational expectations equilibrium (REE, the same below) under adaptive learning, are the two important directions in the study of monetary policy with adaptive learning.
(3) the expectation updating under adaptive learning is on the agent get new information and then reestimate the parameters to achieve the updating of expectation, there are three popular parameter updating method (algorithm) for adaptive learning:Recursive least squares learning, stochastic gradient learning and constan gain learning. The dynamic process of adaptive learning depends not only on the learning algorithm, but also depends on the initial conditions. The initial value is very important for the learning algorithm of the model parameters.
(4)Under the adaptive learning mechanism,comparing within different empirical results of Phillips curve from different gain parameter values, I found that short-term inflation persistence in China is mainly affected by the expectation under adaptive learning. China's public adaptive learning mechanism is more in line with the recursive least squares learning characteristics, namely the recent inflation expectation brings the maximum effect on the inflation, the public more correct their expectaion according to the recent prediction error,but not to the knowledge foundation of the economic structure.
(5)In the special transitional stage of China, monetary policy may pay more attention to the shift from discretion to interest rate tool gradually,so that the inflation could be stable and stable economy, harmonious development could be achieved. Especially in the adaptive learning mechanism, actively anti-inflation, effective communication about the inflation target to the public, helps to anchor inflation expectations of the public, prevent the economy from sliding into stagflation. And consider the flexible inflation targeting under adaptive learning, monetary policy should be to ensure that the parameters meet the determinacy and stability conditions, and consider the convergence rate, so that the economy equilibrium converges to rational expectation equilibrium or on the minimum deviation from equilibrium, and enhance social welfare, reduce the cost of institution changing. In addition, the policy maker strengthens public education helps the public to improve the expected level, establish correct expectation and achieve the convergence for the economy to the rational expectations equilibrium.
This paper probably lies in innovation:
(1)In view of advanced adaptive learning and research, according to the theories of learning and its micro foundation,and the application of adaptive learning in the research of optimal monetary policy as the main line, from the agent's expectation updating in the adaptive learning mechanism, to the optimal monetary policy analysis and operation, I fistly systematicly sum up and analyse the theory and research of learning, expectation and optimal monetary policy, strengthened and improved the relevant research literature.
(2) Under the perspective of adaptive learning, I propose a inflation expectation forming equation which affected by the factors of inflation inertia, the real estate price index, M2growth rate and the interbank interest rate growth rate. based on the observation data of these influence factors and adaptive learning mechanism,I calculated the public's expectations of inflation in China under adaptive learning with the constant gain learning and the recursive least squares learning algorithm. And I analyse the learning mechanism and characteristics of Chinese public. Combined with the related macro data, I finished the empirical tests of the Chinese Phillips curve under adaptive learning.
(3) Perfoming the study of Chinese optimal monetary policy selection and operation practice applied with adaptive learning. According to the results of empirical testing, based on the traditional monetary policy analysis framework,I propose the optimal monetary policy rule under adaptive learning, provide a new interpretation for the Chinese robust and forward-looking monetary policy theoreticaly, I suggest that being about the policy operation under adaptive learning, besides anchorring public expectations by the positive anti-inflation policies, attention should also be paid to the inflation target communication and the guidance to public expectation, preventing the economy from sliding into stagflation. While the flexible inflation targeting under adaptive learning should ensure the stability and determinacy of rational expectations equilibrium, the speed of convergence, and strengthen education to the public, in order to achieve Chinese monetary policy target better.
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