【作者】 郑重；

【导师】 艾洪德；

【作者基本信息】 东北财经大学 ， 金融学， 2012， 博士

【摘要】 我国经济在经历了2008年的探底之后,从2008年底的谷底开始迅速反弹,但随之而来的是通货膨胀率也迅速上升,到2010年底,CPI通胀率达到4.7%,RPI通胀率达到4.23%,到2011.Ⅲ,CPI通胀率达到6.27%,RPI通胀率更是达到6.03%,持续攀升的居民消费价格指数加深了社会公众和理论界对未来通货膨胀持续上升的担忧。为应对不断上涨的通胀率,人民银行不得不采取紧缩的货币政策,突出的表现为将存款准备金率累计提高至历史高点、持续正回购、频繁提高存贷款基准利率、持续加强信贷管制等一系列紧缩政策,更主要的是,人民银行2011年首次将稳定通胀预期、控制通货膨胀率作为货币政策的首要目标,并公布了全年调控通货膨胀率的目标区间,但这样一来,势必要以降低GDP增速为代价,因而货币政策陷入两难境地。因而深入认识我国通货膨胀的特征,可以为货币政策的适时调整和有效运用,为政府各种宏观调控政策的有效组合提供参考依据。自然的问题便是,我国的通货膨胀具有怎样的动态特征?决定我国通货膨胀的具体因素是什么?通货膨胀的动态特征和影响因素对我国施行货币政策规则又有怎样的影响呢?本文真是基于这些现实问题,试图从通胀惯性和混合菲利普斯曲线的角度研究我国通货膨胀的动态特征,以及在通胀惯性和通胀预期约束下,我国应如何实行前瞻性货币政策规则。因而本文研究对于货币当局管理通胀预期、降低通胀惯性和货币政策操作具有重要的理论价值和现实意义。除导言和结论外,本文研究内容分为4章：第2章对通胀惯性、混合菲利普斯曲线与前瞻性货币政策规则作了一个系统的理论综述。本章则试图梳理出通胀惯性、混合菲利普斯曲线与前瞻性货币政策规则的一个理论脉络,以期为后面通胀惯性与混合菲利普斯曲线的理论框架的设计和实证分析,以及基于混合菲利普斯曲线分析前瞻性货币政策规则的政策效应奠定理论基础。第3章主要给出了通胀惯性、混合菲利普斯曲线与前瞻性货币政策规则的一个理论框架。首先,本章在回顾Gali和Gertler(2000)基于结构框架提出的混合菲利普斯曲线的基础上,将Roberts (2001)、Zhang、Osborn和Kim(2008)、杨继生(2009)的一些观点和做法融合进来,从而给出新凯恩斯混合菲利普斯曲线的高阶滞后的形式。高阶滞后的新凯恩斯混合菲利普斯曲线既体现了理性预期增广的菲利普斯曲线,又体现了适应性预期增广的菲利普斯曲线,因而从更加微观的角度给出了新凯恩斯混合菲利普斯曲线的形式,同时刻画了通胀惯性对通货膨胀的影响。同时,高阶滞后的新凯恩斯混合菲利普斯曲线还包含了反映适应性预期与理性预期特征的结构参数以及反映厂商定价概率和预期特征的深度参数。其次,在回顾货币政策规则的基准线性理性预期(LRE)模型的基础上,本章基于高阶滞后的新凯恩斯混合菲利普斯曲线,构建起前瞻性货币政策规则的线性理性预期(LRE)模型,并进一步给出基于混合菲利普斯曲线的前瞻性货币政策规则的最优形式。第4章则试图基于GMM模型对高阶滞后的混合菲利普斯曲线进行计量检验和实证分析,这样不仅可以通过混合菲利普斯曲线及其结构参数和深度参数刻画我国通货膨胀的动态特征,而且可以更准确地度量通胀惯性的大小及其对通货膨胀的影响。同时,为稳健起见,本章分别选择CPI和RPI作为通货膨胀率的衡量指标进行实证分析。结构参数的GMM估计结果表明：我国菲利普斯曲线具有高阶滞后混合菲利普斯曲线的特征,通货膨胀同时存在向前看的理性预期和向后看的适应性预期,因而货币政策应从通胀预期管理和降低通胀惯性两个方面同时入手；深度参数的GMM估计结果表明：在厂商定价概率方面,CPI通胀率相对于RPI通胀率,产品价格调整时间间隔较长,厂商对经济政策的反应较不敏感；在厂商预期行为方面,CPI通胀率相对于RPI通胀率,厂商对适应性预期的依赖程度超过了理性预期。第5章将基于高阶滞后的混合菲利普斯曲线的前瞻性货币政策规则方程的LRE系统转化为SVAR系统,并在SVAR系统中进行结构参数估计和冲击响应分析,其中,结构参数估计用以检验基于混合菲利普斯曲线的前瞻性货币政策规则的参数值,冲击响应分析则是在混合菲利普斯曲线的货币政策传导机制下,在前瞻性货币政策规则的货币政策框架下,模拟需求冲击、供给冲击和货币政策冲击对通货膨胀率、产出缺口以及短期名义利率的影响路径。结构参数估计表明：我国以CPI和RPI为基础货币政策规则具有前瞻性特点和惯性特征,且以CPI为基础的货币政策规则的前瞻性相对于以RPI为基础的货币政策规则的前瞻性较强,以CPI为基础的货币政策规则的时滞性相对于以RPI为基础的货币政策规则的时滞性较强。冲击响应分析表明：产出缺口、通货膨胀率和短期名义利率对货币政策(扰动)冲击、需求(扰动)冲击和供给(扰动)冲击具有滞后效应；通胀惯性对广义冲击响应路径和结构冲击响应路径具有显著影响；以RPI为基础的货币政策效果优于以CPI为基础的货币政策效果,以RPI为基础的货币政策效果具有确定性,经济变量偏离稳态后最终会恢复到稳态水平,以CPI为基础的货币政策效果则具有不确定性特征。更多还原

【Abstract】 China’s economy touched the bottom in2008. From the end of2008, the economy began to rebound quickly, but meanwhile the inflation rate is rising rapidly. Till the end of2010, the CPI inflation rate reached4.7%, the RPI inflation rate reached4.23%. In the third quarter of2011, the CPI inflation rate reached6.27%, the RPI inflation rate reached6.03%. The continous rise of consumer price index deepens the concerns among the public and theorists that the inflation will continue to rise in the future. In response to a rising inflation rate, People’s Bank of China had adopted a tight monetary policy which appeared as rise of the deposit reserve ratio to a record high, continuous positive repurchase, frequent rise of benchmark deposit and lending interest rates, continued to strengthen credit control series of austerity policies. More importantly, the People’s Bank of China for the first time set stabilize inflation expectations, control the rate of inflation as the primary goal of monetary policy in2011, and announced a target range for annual regulation of the rate of inflation, but the cost is reducing the growth rate of GDP. Thus the monetary policy falls into a dilemma. Understanding of the characteristics of China’s inflation can help the adjustment and the effective use of monetary policy and the effective combination of various government macro-control policies. The natural question is, what dynamic characteristics China’s inflation has? What are the factors determining inflation in China? How does the dynamic characteristics and influencing factors of inflation influence the implementation of monetary policy rules in China?This article was based on these practical problems, trying to find out the dynamic characteristics of China’s inflation from the perspective of inflation inertia and hybrid Phillips curve. And with inflation inertia and inflation expectations constraints, how would China implement forward-looking monetary policy rules. This study has important theoretical and practical significance to the monetary authorities in the management of inflation expectations, reduce inflation inertia and monetary policy operationsIn addition to the introduction and conclusion, the book is divided into4chapters:Chapter2made a systematic theory of inflation inertia, the hybrid Phillips curve with forward-looking monetary policy rules reviewed. This chapter attempts to tease out a theoretical context of the inertia of inflation, the hybrid Phillips curve and forward-looking monetary policy rules, in order to design and empirical analysis of the theoretical framework behind inflation inertia and hybrid Phillips curve, and based on the hybrid Phillips curve analysis of forward-looking the policy effects of monetary policy rules to lay the theoretical foundation.Chapter3gives a theoretical framework for the inflation inertia, the hybrid Phillips curve with forward-looking monetary policy rule. First, the chapter reviewed Gali and Gertler (2000) based on the structural framework of the hybrid Phillips curve, merged Roberts (2001), Zhang Osborn and Kim (2008), Yang Jisheng (2009) views and practices, which gives the New Keynesian hybrid Phillips curve in the form of higher order lag. High order lag in the new Keynesian hybrid Phillips curve not only embodies the rational expectations augmented Phillips curve, but also embodies the adaptive expectations augmented Phillips curve, and thus from a more microscopic point of view gives the New Keynesian hybrid Phillips curve form and depicts the inertia of inflation impact on inflation. At the same time, high order lag new Keynesian hybrid Phillips curve also contains a reflecting adaptive expectations and rational expectations features of the structural parameters as well as to reflect the firm pricing probability and the expected characteristics of the depth parameter. Secondly, in the Review of Monetary Policy Rules benchmark linear rational expectations (LRE) model on the basis of this chapter, based on higher order lags behind the new Keynesian hybrid Phillips curve, constructed from the forward-looking monetary policy rules in linear rational expectations (LRE) model and further gives the optimal form of the forward-looking monetary policy rule based on the hybrid Phillips curve.Chapter4attempts to measure higher order lag hybrid Phillips curve based on GMM model testing and empirical analysis, not only to portray the dynamic characteristics of China’s inflation to mix Phillips curve and its structural parameters and depth parameters, and can be more accurately measure the size of the inflation inertia and its impact on inflation. Meanwhile, for robustness, this chapter selected the CPI and RPI as the measurement of inflation rate for empirical analysis. The structural parameters of the GMM estimation results show that:our Phillips curve has higher order lag hybrid characteristics, inflation at the same time there are forward-looking rational expectations, and backward-looking adaptive expectations, and therefore monetary policy should manage inflation expectations and reduce inflation inertia both at the same time; depth parameters of the GMM estimation results show that:firm pricing probability, the CPI inflation rate relative to the RPI rate of inflation, the price adjustment interval is longer, firms is less sensitive on the economic policy response; firms expected behavior, the CPI inflation rate relative to the RPI inflation rate, the dependence of the firms of adaptive expectations is more than rational expectations.Chapter5converted monetary policy rule based on the higher order lag hybrid Phillips curve forward-looking equation LRE system into the SVAR system, and structural parameter estimates and impulse response analysis in the SVAR system, in which the parameters estimated for the test parameter values based on forward-looking monetary policy rules in the hybrid Phillips curve, the impulse response analysis in the monetary policy transmission mechanism of the hybrid Phillips curve in the forward-looking monetary policy rules under the monetary policy framework, simulated demand shocks, supply shocks and monetary policy impact on the rate of inflation, output gap and short-term nominal interest rate path. Structural Parameter Estimation Indicates: China’s monetary policy rules based on the CPI and RPI has forward-looking, characteristics and inertia characteristics; the CPI based monetary policy rules forward-looking characteristics is stronger relative to that of RPI-based. The delay from the CPI based monetary policy rules is stronger than that of RPI-based. The impulse response analysis showed:the output gap, inflation and short-term nominal interest rate impact of monetary policy (disturbance) the impact of demand (disturbance) shocks and supply (disturbance)have lag effect; inflation inertia, the generalized impulse response path and structure of the shock response path has a significant effect; RPI-based monetary policy is more effective than the effects of monetary policy based on the CPI; RPI-based monetary policy effect with certainty, economic variables deviate from the steady state will eventually recover to a steady-state level, The effects of monetary policy based on the CPI has the characteristics of uncertainty.更多还原