泰勒规则及其在中国的检验
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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,通过泰勒规则在中国货币政策中的检验,得出利率在未来应该成为中国货币政策的中介目标。
在关于货币政策是应该实行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。
本文就泰勒规则在中国货币政策实践中的适用性做一检验。论文共分五章:第一章引言,系统介绍泰勒规则的由来、基本模型、以及泰勒规则的发展,还介绍了相关的货币政策规则,以及国内外学者关于泰勒规则的研究综述。第二章主要介绍了中国改革开放以来的货币政策,及其所面临的政策困境,并分析了泰勒规则在中国的适用性。第三章运用中国1996-2008年的季度数据,通过单位根检验,协整检验,回归等计量方法,检验了泰勒规则的基本模型,揭示中国货币政策的演变情况。结论认为泰勒规则能够为中国运用利率调控经济提供一个基准。1996-2008年的利率对通货膨胀、产出缺口和汇率的系数均通过显著性检验,尤其是加入汇率后,拟合优度有显著提高,说明了在中国汇率改革的过程中利率对宏观经济的调控能力逐渐加强。第四章提出了泰勒规则在中国实践中的局限及改进方向。最后,本文给出了几点货币政策建议。
本文从分析泰勒规则在中国的检验入手,提出了中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中货币政策演变的必然。本文希望通过研究能够对中国货币政策的制定和利率市场化改革有所裨益。
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. For example, monetary policy is rule or discretion; monetary policy is only inflation target or many targets. There have been much debate at home and overseas. 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.
At the debate of rule or discretion, 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 is to say, Federal Reserve can Accommodate interest rate to stabilize inflation and output gap. Taylor Rule provides theory foundation for American monetary Policy practice froml993, when U.S swerves to interest rate as its monetary policy medium target. Researchers and monetary authorities' attention are attracted by the success of U.S monetary policy recent years, so is the study of Taylor Rule.
This paper organized as followings: Chapter one not only introduced the origin of Taylor Rule, Taylor Rule's basic model and its recent development, but also introduced related monetary policy rules and literature reviews on Taylor Rule at home and abroad. From Chapter two we began to analysis monetary policy in our country from reform and opening-up, obstacles facing and applicability of Taylor Rule in our country. Chapter three applied Taylor Rule's basic model from 1996 to 2008, and 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. The results demonstrated output gap coefficients were more significant after importing exchange rate. Chapter four introduced Taylor Rule's limitations and improving directions. Finally, this paper estimated some advice about monetary policy for our country.
This paper tried to start from the examination of Taylor Rule in our country, and answered some problems which monetary policy in our country faced and ways in future. Then, 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. Wish to do some profit to monetary policy operating target transformation and interest rate marketization.
在关于货币政策是应该实行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。
本文就泰勒规则在中国货币政策实践中的适用性做一检验。论文共分五章:第一章引言,系统介绍泰勒规则的由来、基本模型、以及泰勒规则的发展,还介绍了相关的货币政策规则,以及国内外学者关于泰勒规则的研究综述。第二章主要介绍了中国改革开放以来的货币政策,及其所面临的政策困境,并分析了泰勒规则在中国的适用性。第三章运用中国1996-2008年的季度数据,通过单位根检验,协整检验,回归等计量方法,检验了泰勒规则的基本模型,揭示中国货币政策的演变情况。结论认为泰勒规则能够为中国运用利率调控经济提供一个基准。1996-2008年的利率对通货膨胀、产出缺口和汇率的系数均通过显著性检验,尤其是加入汇率后,拟合优度有显著提高,说明了在中国汇率改革的过程中利率对宏观经济的调控能力逐渐加强。第四章提出了泰勒规则在中国实践中的局限及改进方向。最后,本文给出了几点货币政策建议。
本文从分析泰勒规则在中国的检验入手,提出了中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中货币政策演变的必然。本文希望通过研究能够对中国货币政策的制定和利率市场化改革有所裨益。
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. For example, monetary policy is rule or discretion; monetary policy is only inflation target or many targets. There have been much debate at home and overseas. 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.
At the debate of rule or discretion, 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 is to say, Federal Reserve can Accommodate interest rate to stabilize inflation and output gap. Taylor Rule provides theory foundation for American monetary Policy practice froml993, when U.S swerves to interest rate as its monetary policy medium target. Researchers and monetary authorities' attention are attracted by the success of U.S monetary policy recent years, so is the study of Taylor Rule.
This paper organized as followings: Chapter one not only introduced the origin of Taylor Rule, Taylor Rule's basic model and its recent development, but also introduced related monetary policy rules and literature reviews on Taylor Rule at home and abroad. From Chapter two we began to analysis monetary policy in our country from reform and opening-up, obstacles facing and applicability of Taylor Rule in our country. Chapter three applied Taylor Rule's basic model from 1996 to 2008, and 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. The results demonstrated output gap coefficients were more significant after importing exchange rate. Chapter four introduced Taylor Rule's limitations and improving directions. Finally, this paper estimated some advice about monetary policy for our country.
This paper tried to start from the examination of Taylor Rule in our country, and answered some problems which monetary policy in our country faced and ways in future. Then, 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. Wish to do some profit to monetary policy operating target transformation and interest rate marketization.
引文
[1] Favero, Carlo A. and Riccardo Rovelli. Modeling and Identifying Central Banks' Preferences[J]. Centre for Economic Policy Research Discussion Paper, 1999,No.2178.
[2] Levin, Andrew, Volker Wieland, and John C. Williams. Robustness of Simple Policy Rules under Model Uncertainty[M].In Taylor, J.B.(Ed), Monetary Policy Rules University of Chicago Press,Chicago,1999.
[3] Taylor, John B. Discretion Versus Policy rules in Practice [J]. Carnegie- Rochester Conference Series on Public Policy, 1993.39:195-214.
[4] Kozicki, Sharon. How Useful Are Taylor Rules for Monetary Policy?[J] Federal Reserve Bank of Kansas City, Economic Reviewl999, No 84(2):5-33.
[5] Clarida, Richard, JordiGali, and Mark Gertler. Monetary Policy and Macroeconomic Stability: Evidence and Some Theory [J]. The Quarterly Journal of Economics,2000,115(1):147-66.
[6] Judd, John P. and Glenn D. Rudebusch.. Taylor's Rule and the Fed: 1970-1997[J].FRBSR Economic Review, 1998, 3:3-16.
[7] Rudebusch, Glenn D. Is the Fed too Timid? Monetary Policy in an Uncertain World [J]. Review of Economics and Statistics, 2001, 83(2):203-17.
[8] Rapach, David E and Christian E.Weber. Are Real Interest Rates Really Nonstationary? [J] Seattle University Working Paper, (June), 2001.
[9] McCallum, Bennett T and Edward Nelson. Performance of Operational Policy Rules in an Estimated Semiclassical Structural Model [M]. In Taylor, J.B.(Ed), Monetary Policy Rules University of Chicago Press,Chicago,1999.
[10] Rudebusch, Glenn D and Lars E O. Svensson. Policy Rules for Inflation Targeting [M] In Taylor, J.B.(Ed), Monetary Policy Rules. University of Chicago Press:Chicago, 1999.
[11] Batini, Nicoletta and Andrew G Haldane. Forward-Looking Rules for Monetary Policy[M]. Taylor J. B.(Ed), Monetary Policy Rules University of Chicago Press:Chicago,1999.
[12] Taylor, John B. A Historical Analysis of Monetary Policy Rules [M]. In Taylor, J.B. (Ed),Monetary Policy Rules.University of Chicago Press,Chicago,1999.
[13]Sack,Brian and Volker Wieland.Interest Rate Smoothing and Optimal Monetary Policy.A Review of Recent Empirical Evidence[J].Finance and Economics Discussion Series,1999-39,Federal Reserve Board,(August).
[14]Williams,John C.Simple Rules for Monetary Policy[J].Finance and Economics Discussion Series,1999-12,Federal Reserve Board,(February).
[15]Clarida,Richard,Jordi Gali,and Mark Gertler.Monetary policy rules in practice Some international,evidence[J].European Economic Review42(6):1033-67.
[16]Lars E.O.Svensson,2003,What Is Wrong with Taylor Rules? Using Judgment in Monetary Policy through Targeting Rules[J],Journal of Economic Literature,Vol.41,No.2.June,426-477.
[17]谢平,罗雄.泰勒规则及其在中国货币政策中的检验[J].经济研究,2002,3.
[18]王建国.泰勒规则与我国货币政策反应函数的实证研究[J],数量经济技术经济研究,2006,1.
[19]陆军,钟丹.泰勒规则在中国的协整检验[J].经济研究,2003,8.
[20]刘金全,刘志刚.我国GDP增长序列中趋势成分与周期成分的分解[J].数量经济技术经济研究,2004,5.
[21]钱宥妮.菲利普斯曲线在中国经济中的实证研究[J].财经研究,2005,6.
[22]沈利生.我国潜在经济增长率变动趋势估计[J].数量经济技术经济研究,1999.12.
[23]周海春.劳动力无限供给条件下的中国经济潜在增长率[J].管理世界,1999,3.
[24]石柱鲜,黄红梅,石庆华.关于中国潜在GDP与景气波动——通货膨胀的经验研究[J].世界经济研究,2004,8.
[25]张金清,赵伟.开放经济条件下我国潜在产出水平的估算与解析——基于新凯恩斯主义的理论框架[J].数量经济技术经济研究,2009,1.
[26]刘斌,张怀清.我国产出缺口的估计[J].金融研究,2001,10.
[27]刘斌.稳健的最优简单货币政策规则在我国的应用[J].金融研究,2006,4.
[28]张屹山,张代强.前瞻性货币政策反应函数在我国货币政策中的检验[J].经济研究,2007,3.
[29]王胜,邹恒甫.开放经济中的泰勒规则[J].统计研究,2006,3.
[30]李维刚.泰勒规则、联储货币政策及我国货币调控问题的思考[J].国际金融研究,2001,6.
[31]卞志村,管征.最优货币政策规则的前瞻性视角分析[J].金融研究,2005.9.
[32]范从来.论货币政策中间目标的选择[J].金融研究,2004,6.
[33]方先明,熊鹏.我国利率政策调控的时滞效应研究[J].财经研究,2005,8.
[34]刘明志.货币供应量和利率作为货币政策中介目标的适应性[J].金融研究,2006,1.
[35]卞志村.转型期的中国货币政策规则:基于拟合效果的选择[J].南京师大学报(社会科学版),2007,6.
[36]胡海鸥,贾德奎.货币理论与货币政策[M].上海:上海人民出版社,2007.
[37]钱小安.中国货币政策的形成与发展[M].上海:上海人民出版社、上海三联出版社,2000.
[38]王晓天.开放条件下的货币政策规则研究[M].北京:中国金融出版社,2007.
[39]卞志村.转型期货币政策规则研究[M].北京:人民出版社,2006.
[40]任啸.货币传导:中国货币政策传导的制度分析[M].成都:四川大学出版社,2005.
[41]汪红驹.中国货币政策有效性研究[M].北京:中国人民大学出版社,2003.
[2] Levin, Andrew, Volker Wieland, and John C. Williams. Robustness of Simple Policy Rules under Model Uncertainty[M].In Taylor, J.B.(Ed), Monetary Policy Rules University of Chicago Press,Chicago,1999.
[3] Taylor, John B. Discretion Versus Policy rules in Practice [J]. Carnegie- Rochester Conference Series on Public Policy, 1993.39:195-214.
[4] Kozicki, Sharon. How Useful Are Taylor Rules for Monetary Policy?[J] Federal Reserve Bank of Kansas City, Economic Reviewl999, No 84(2):5-33.
[5] Clarida, Richard, JordiGali, and Mark Gertler. Monetary Policy and Macroeconomic Stability: Evidence and Some Theory [J]. The Quarterly Journal of Economics,2000,115(1):147-66.
[6] Judd, John P. and Glenn D. Rudebusch.. Taylor's Rule and the Fed: 1970-1997[J].FRBSR Economic Review, 1998, 3:3-16.
[7] Rudebusch, Glenn D. Is the Fed too Timid? Monetary Policy in an Uncertain World [J]. Review of Economics and Statistics, 2001, 83(2):203-17.
[8] Rapach, David E and Christian E.Weber. Are Real Interest Rates Really Nonstationary? [J] Seattle University Working Paper, (June), 2001.
[9] McCallum, Bennett T and Edward Nelson. Performance of Operational Policy Rules in an Estimated Semiclassical Structural Model [M]. In Taylor, J.B.(Ed), Monetary Policy Rules University of Chicago Press,Chicago,1999.
[10] Rudebusch, Glenn D and Lars E O. Svensson. Policy Rules for Inflation Targeting [M] In Taylor, J.B.(Ed), Monetary Policy Rules. University of Chicago Press:Chicago, 1999.
[11] Batini, Nicoletta and Andrew G Haldane. Forward-Looking Rules for Monetary Policy[M]. Taylor J. B.(Ed), Monetary Policy Rules University of Chicago Press:Chicago,1999.
[12] Taylor, John B. A Historical Analysis of Monetary Policy Rules [M]. In Taylor, J.B. (Ed),Monetary Policy Rules.University of Chicago Press,Chicago,1999.
[13]Sack,Brian and Volker Wieland.Interest Rate Smoothing and Optimal Monetary Policy.A Review of Recent Empirical Evidence[J].Finance and Economics Discussion Series,1999-39,Federal Reserve Board,(August).
[14]Williams,John C.Simple Rules for Monetary Policy[J].Finance and Economics Discussion Series,1999-12,Federal Reserve Board,(February).
[15]Clarida,Richard,Jordi Gali,and Mark Gertler.Monetary policy rules in practice Some international,evidence[J].European Economic Review42(6):1033-67.
[16]Lars E.O.Svensson,2003,What Is Wrong with Taylor Rules? Using Judgment in Monetary Policy through Targeting Rules[J],Journal of Economic Literature,Vol.41,No.2.June,426-477.
[17]谢平,罗雄.泰勒规则及其在中国货币政策中的检验[J].经济研究,2002,3.
[18]王建国.泰勒规则与我国货币政策反应函数的实证研究[J],数量经济技术经济研究,2006,1.
[19]陆军,钟丹.泰勒规则在中国的协整检验[J].经济研究,2003,8.
[20]刘金全,刘志刚.我国GDP增长序列中趋势成分与周期成分的分解[J].数量经济技术经济研究,2004,5.
[21]钱宥妮.菲利普斯曲线在中国经济中的实证研究[J].财经研究,2005,6.
[22]沈利生.我国潜在经济增长率变动趋势估计[J].数量经济技术经济研究,1999.12.
[23]周海春.劳动力无限供给条件下的中国经济潜在增长率[J].管理世界,1999,3.
[24]石柱鲜,黄红梅,石庆华.关于中国潜在GDP与景气波动——通货膨胀的经验研究[J].世界经济研究,2004,8.
[25]张金清,赵伟.开放经济条件下我国潜在产出水平的估算与解析——基于新凯恩斯主义的理论框架[J].数量经济技术经济研究,2009,1.
[26]刘斌,张怀清.我国产出缺口的估计[J].金融研究,2001,10.
[27]刘斌.稳健的最优简单货币政策规则在我国的应用[J].金融研究,2006,4.
[28]张屹山,张代强.前瞻性货币政策反应函数在我国货币政策中的检验[J].经济研究,2007,3.
[29]王胜,邹恒甫.开放经济中的泰勒规则[J].统计研究,2006,3.
[30]李维刚.泰勒规则、联储货币政策及我国货币调控问题的思考[J].国际金融研究,2001,6.
[31]卞志村,管征.最优货币政策规则的前瞻性视角分析[J].金融研究,2005.9.
[32]范从来.论货币政策中间目标的选择[J].金融研究,2004,6.
[33]方先明,熊鹏.我国利率政策调控的时滞效应研究[J].财经研究,2005,8.
[34]刘明志.货币供应量和利率作为货币政策中介目标的适应性[J].金融研究,2006,1.
[35]卞志村.转型期的中国货币政策规则:基于拟合效果的选择[J].南京师大学报(社会科学版),2007,6.
[36]胡海鸥,贾德奎.货币理论与货币政策[M].上海:上海人民出版社,2007.
[37]钱小安.中国货币政策的形成与发展[M].上海:上海人民出版社、上海三联出版社,2000.
[38]王晓天.开放条件下的货币政策规则研究[M].北京:中国金融出版社,2007.
[39]卞志村.转型期货币政策规则研究[M].北京:人民出版社,2006.
[40]任啸.货币传导:中国货币政策传导的制度分析[M].成都:四川大学出版社,2005.
[41]汪红驹.中国货币政策有效性研究[M].北京:中国人民大学出版社,2003.