泰勒规则及其在我国的检验

【作者】 闫小娜；

【导师】 王松奇； 易宪容；

【作者基本信息】 中国社会科学院研究生院 ， 金融学， 2003， 硕士

【副题名】对我国货币政策的启示

【摘要】 随着经济日益趋向市场化，货币政策对宏观经济的调节作用也越来越显著。但货币政策究竟该如何调节经济，货币政策是应该实行相机抉择还是应该实行单一政策规则，货币政策规则是应该只盯住通货膨胀，还是应该多目标并存，国内外的学者争论已久。本文试图从对泰勒规则的研究出发，通过泰勒规则在国外的实践和在中国货币政策中的检验来回答这些问题。 在关于货币政策是应该相机抉择还是应该实行单一规则的讨论中，泰勒(1993)认为，在既定自然失业率和潜在产出下，每一个通货膨胀率都对应着一个实际均衡联邦基金利率，联邦储备可以通过调节实际均衡利率来获得通货膨胀和产出的稳定。这样，泰勒就建立了联邦利率与通货膨胀和产出之间的关系式，这个关系式也被称为泰勒规则(Taylor Rule)。1993年，美联储放弃了自1975年以来一直实行的货币供应量作为货币政策的中介目标，转而以利率调控经济，国内外不少学者认为，美联储现在奉行的实际上就是以泰勒规则为基础的单一货币政策规则。美国90年代以来货币政策取得的成功吸引不少学者运用泰勒规则对本国货币政策做出检验。 本文就泰勒规则在我国货币政策实践中的适用性做一粗浅的检验。论文共分四章：第一章系统介绍泰勒规则的由来、基本模型、以及泰勒规则的发展。由于泰勒规则强调利率对经济的调控，属于利率规则，第一章中还介绍了利率规则与货币数量规则之间的关系，并指出，这些规则在精神上与泰勒提倡的利率规则相似，为中央银行调控货币供应量提供了基准。从第二章开始，论文转向对我国货币政策的分析。第二章运用泰勒规则基本模型，分别检验了1992—2001年和1996—2001年的季度数据，揭示我国货币政策的演变情况。结论认为泰勒规则能够为我国运用利率调控经济提供一个基准。1996—2001年的利率对通货膨胀、产出缺口和汇率的系数比1992—2001年的系数显著，尤其是产出缺口系数在1996年之后较为显著，说明了我国利率逐渐市场化的过程和利率对宏观经济的调控能力逐渐加强。 第三章运用泰勒规则的扩展模型，检验了运用货币供应量的泰勒规则在我国货币政策实践中的适用性。尽管运用货币供应量的泰勒规则能够解释我国的货币政策运行情况，但无论是1980—2001年期间，还是1996—2001年期间，货币供应量的产出缺口系数都不显著。1996—2001年期间的货币供应量增长规则的产出缺口系数不显著，与同期利率规则的产出缺口系数显著形成对比，只能说明货币供应量对经济的调控能力逐渐下降，而利率的调控能力逐渐上升。由此，自然而然得出第四章的结论，我国货币政策应该逐渐向比较灵活的利率目标转变，也就是说，在对利率目标进行操作时，应该兼顾货币供应量在经济中的作用，实现利率政策、货币供应量政策和汇率政策的协调，避免因互相冲突而削弱政策的实施效果。 本文从分析泰勒规则在我国的检验入手，回答了我国货币政策面临的一些问题和今后的发展方向，认为利率将在今后的经济生活中扮演越来越重要的角色，实现利率对宏观经济的调控是我国货币政策演变的必然。一孔之见，希望能对我国货币政策操作目标转变和利率市场化进程有所裨益。更多还原

【Abstract】 With the trend of marketization of our economy, the adjustment function of monetary policy to macroeconomic is more and more prominent. Still there are a lot of problems about how to adjust economy through monetary policy. This paper started from the study of Taylor Rule, applied Taylor Rule to test our country’s monetary policy, then got the conclusion that interest rate should be the monetary policy medium target in the future.Taylor Rule was first proposed By John. B. Taylor (1993). He suggested that there exist corresponding relation between inflation and real equilibrium Federal fund interest rate when natural unemployment rate and potential output are given. That’s to say, Federal Reserve can accommodate interest rate to stabilize inflation and output gap. Taylor Rule provides theory foundation for American monetary policy practice from 1993, when U.S swerve to interest rate as its monetary policy medium target. More researchers and monetary authorities’ attention is attracted by the success of U.S monetary policy recent years, so is the study of Taylor Rule.This paper is organized as followings: Chapter one introduced the origin of Taylor Rule, Taylor Rule’s basic model and its recent development. Money growth rule and its relation to Taylor Rule were also presented in this chapter for its similarity in spirits to Taylor Rule. From Chapter two we began to analysis monetary policy in our country. Chapter two applied Taylor Rule’s basic model, tested interval quarter data from 1992 to 2001 and from 1996 to 2001, discovered the derivation of monetary policy in our country. The conclusion demonstrated that Taylor Rule could provide a benchmark for interest rate adjustment to macroeconomic. This chapter also compared the test results between 1992-2001 and 1996-2001, showed the process of marketization of interest rate and the enhancement of relation between interest rate and economic growth.Chapter three applied Taylor Rule’s expansion model, test the money growth rule’s applicability in our country. The results demonstrated output gap coefficients were not significant both in interval of 1980-2001 and in interval of 1996-2001, which was an brilliant comparison to the output gap coefficient significant in interest rate rule in the same period. This illuminates the descended of effects of money supply on economy and the ascended of interest rate’s influence on economy. Thus, we can draw the conclusion that monetary policy medium target should shift from money supply to interest rate. But the weight should be given to money supply in monetary policy, should realize coordination of interest rate policy, money supply policy and exchange rate policy, avoid the conflicts of these policies, which would weaken the implementation effects of monetary policy to economy.更多还原