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1、华中科技大学 博士学位论文 货币政策规则及其在我国的适用性研究 姓名：龙成学 申请学位级别：博士 专业：西方经济学 指导教师：徐长生 20090526 I 华 中 科 技 大 学 博 士 学 位 论 文 摘 要 货币政策操作规范是影响货币政策有效性的重要因素。根据货币经济学理论， 货币政策操作规范有两种基本类型：依规则行事和相机抉择。长期以来，关于这两 种类型哪种更有效一直存在争议， 但最近30年以来的多数研究支持规则型货币政策。 本文在借鉴国内外已有研究成果的基础上，通过数理建模、统计分析、计量分 析、经验分析以及比较分析等方法，分别从理论与实证两个方面对货币政策规则及 其在我国的适用性进行
2、了研究。在理论部分，第2章系统回顾了货币政策的规则与相 机抉择之争，第3章详细介绍了货币政策规则研究的三种模型，第4章全面阐述了各 种货币政策规则的内涵及特点。在实证部分，第5章对麦克勒姆规则与泰勒规则这两 种工具规则在我国的适用性进行了分析，第6章对利率规则和货币供应量规则这两种 目标规则在我国的适用性进行了分析，第7章对通货膨胀目标制在我国的适用性及其 具体操作框架进行了探索。本文得出的主要结论有： （1）长期来看，货币政策应当依规则行事而不是相机抉择。相机抉择由于具有 时间不一致性，会导致通胀偏差出现，使社会福利变差。相反，货币政策规则由于 对未来的货币政策预先作出了可信承诺，因而具有时
3、间一致性，能够消除通胀偏差。 （2）固定或消极的规则与纯粹的相机抉择是货币政策操作规范的两个极端，因 而都是不可取的。最明智的做法是，央行既应当关注政策的可信度和透明度，又应 当考虑政策的灵活性和前瞻性。因此，作为一种积极的、前瞻性的、具有相机抉择 特征的目标规则 灵活通货膨胀目标制，已成为目前最流行的货币政策规则。 （3）麦克勒姆规则与泰勒规则目前在我国不具有适用性，其原因至少有三点： 一是这两种规则属于工具规则，调控手段过于单一，信息利用效率较低；二是我国 的基础货币投放和短期利率调整具有顺周期特性，而且政策工具的市场化水平较低； 三是可操作性相当差，包括货币流通速度的变化难以观察、各种经
4、济变量缺口难以 测度以及政策反应函数的系数难以确定等。 （4）利率目标规则和货币供应量目标规则目前在我国同样不具有适用性。我国 利率调整在通货膨胀治理方面效果欠佳，而且利率的可控性、可测性以及与实体经 济的相关性都比较弱。虽然货币供应量与实体经济相关性较强，货币需求函数也相 III 华 中 科 技 大 学 博 士 学 位 论 文 Abstract The operation norm of monetary policy is an important factor that affects its effectiveness. According to monetary economics,
5、 the operation norm of monetary policy has two fundamental types: commitment to rule or discretion. So far, there has been a debate about which one is more effective. But over the past 3 decades most researches support that monetary policy should commit to rule. By using the existing research achiev
6、ements at home and abroad for references, this dissertation tries to study the monetary policy rule and its application in China from theory and empirical analysis based on mathematical modeling, statistical analysis, econometric analysis, experience analysis and comparative analysis. The theoretica
7、l part consists of three chapters. Chapter 2 r eviews systematically the debate between the rule and the discretion of monetary policy. Chapter 3 introduces the three main models of the monetary policy rule in detail. Chapter 4 expatiates comprehensively on the specific meanings and characteristics
8、of various monetary policy rules. The empirical part also consists of three chapters. Chapter 5 analyses the applicabilities of two instrument rules in China, namely McCallum Rule and Taylor Rule. Chapter 6 analyses the applicabilities of two target rules in China, namely interest rate targeting and
9、 money supply targeting. Chapter 7 explores the applicabilities in China and the concrete operation framework of inflation targeting. The main conclusions of this dissertation are as follows: (1) From the view of long- term, monetary policy should commit to rule and abandon the discretion. Because t
10、he discretion with time inconsistency will give rise to inflation bias, social welfare is inevitably worse off. Just the opposite, the monetary policy rule can acquire time consistency by making a credible commitment to follow the monetary policy arrangements which are set in advance, so inflation b
11、ias will be eliminated. (2) The fixed or passive rule and the pure discretion are two extremes of the operation norm of monetary policy, thereby they are not desirable. So it is advisable that central bank takes account of the flexibility and foresight of policy as well as pays close attention to th
12、e credibility and transparency of policy. As an active, forward- looking target IV 华 中 科 技 大 学 博 士 学 位 论 文 rule with a discretionary character, inflation targeting has therefore become the most prevailing rule at present. (3) The McCallum Rule and the Taylor Rule are not applicable to China currentl
13、y. There are at least three reasons for this. Firstly, the two rules belong to instrument rule, so their means of regulation are relatively single and their efficiencies of information utilization are fairly low. Secondly, the base money and the interest rate are procyclical and the marketization of
14、 them is at a very low levels. Thirdly, the maneuverability of the two instrument rules is quite poor because it is difficult to observe the changes in the velocity of money, to measure the gaps of the economic variables and to determine the coefficients of the policy reaction function. (4) The inte
15、rest rate targeting and the money supply targeting are also not applicable to China presently. The adjustment of interest rate showed a very poor performance in steering inflation in the past. Moreover, the interest rate s controllability, measurability and relevance with the real economy are relati
16、vely weak. On the other hand, despite the fact that the relevance between money supply and the real economy is fairly strong and the function of money demand is comparatively stable, the controllability and measurability of money supply have gone wrong. (5) China already possesses the basic conditions to implement flexible inflation targeting at present. Accordingly, Chinese monetary policy operation should switch to this
