货币政策规则理论及其在中国的应用
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摘要
在货币政策的研究领域中,规则与相机抉择之间的争论,已有很长的历史。自20世纪70年代以来,货币政策规则理论研究取得了突破性进展,尤其是动态不一致性理论的提出,使人们认识到相机抉择的货币政策易于引起时间不一致性和通货膨胀倾向。20世纪90年代,货币政策规则在理论和实践方面的重要进展表现在：Taylor(1993)提出了以利率为政策工具的泰勒规则、1990年新西兰在世界上率先实行通货膨胀目标制的货币政策、以Svensson等为代表的经济学家对通货膨胀目标制进行了较为深入的理论研究,所有这些都极大地推动了货币政策规则理论的研究。自新西兰实行通货膨胀目标制以来,许多国家纷纷采用了这种新的货币政策框架,其货币政策操作具有规则性的因素,这种货币政策的实施,对于这些国家成功控制通货膨胀,实现宏观经济的稳定具有极其重要的作用。自1984年中国人民银行履行中央银行职能以来,我国的货币政策的操作具有相机抉择的特点,宏观经济处在冷热交替之中,宏观经济时常面临着不稳定性的威胁。从20世纪90年代中期开始,我国开始实行以货币供应量为中介目标的货币政策框架,货币供应量在宏观调控中重要性日益显示。然而,近年来的货币政策实践表明,货币供应量指标与货币政策最终目标之间关系的稳定性在下降,中央银行对货币供应量的控制越来越困难,货币供应量的内生性在增强,中央银行通过控制货币供应量以实现货币政策目标的有效性正在下降,因此迫切需要对现行的货币政策框架进行调整和完善。由于相机抉择的货币政策容易产生动态不一致性和通货膨胀倾向,因此,在货币政策框架中引入规则的因素显得尤为必要。在进行货币政策框架的设计时,需要弄清楚的问题是：货币政策规则的类型有哪些?每一种类型的货币政策规则的适用条件是什么?其实践效果如何?我国现行的货币政策框架有效吗?如果我国现行的货币政策框架缺乏效率的话,那么在我国未来的货币政策框架选择中,应该考虑选择哪种货币政策规则?所有这些正是本文需要研究的问题。本文研究的主要内容为：
导论部分主要介绍论文的研究背景与研究意义,对国内外在货币政策规则方面的研究进行了较为全面的综述,简要阐述了论文的主要内容以及研究方法,指出了论文的主要创新与不足。
第1章给出了货币政策规则的概念,并对货币政策规则进行了分类,尤其是对目标规则与工具规则进行了详细的介绍。工具规则不仅包括传统规则,如泰勒规则、McCallum规则、弗里德曼规则、梅尔泽规则,而且包括非传统规则,如汇率规则和货币条件指数。目标规则主要涉及通货膨胀目标规则、价格水平目标规则、货币增长目标规则、名义GDP目标规则、汇率目标规则和通货膨胀-价格水平混合目标规则。
第2章是货币政策规则理论研究的起点,通常来说,货币政策存在两种操作方式,一种是以规则的方式进行,一种是以相机抉择的方式进行,究竟哪种方式更可取?对此,学术界曾进行过长期的争论。动态不一致性理论的提出,结束了规则与相机抉择之间的长期的争论。该理论认为,相机抉择的货币政策容易导致时间不一致性和通货膨胀倾向。巴罗和戈登的研究进一步证明了规则优于相机抉择；为了克服货币政策的通货膨胀倾向,除了采用规则性的货币政策外,从理论上来说,还有其它多种方案可供选择,如声誉约束、雇佣保守中央银行家进行货币政策操作、采用带有免责条款的委托代理、设计最优激励性契约和实行通货膨胀目标制。
第3章分别从图形和数理模型的视角对货币政策工具选择理论进行分析,研究认为,利率与货币量的选择取决于IS曲线和LM曲线的稳定性。对于著名工具规则泰勒规则的推导,本文采用两种方法,一是从货币数量论的角度推导出泰勒规则,二是从动态宏观经济模型的角度进行推导。自泰勒提出泰勒规则以来,经济学家广泛地运用泰勒规则对各国的货币政策进行实证分析和政策评价,同时对泰勒规则进行修正与扩展。关于泰勒规则在实证方面的应用,本文主要从以下几个方面进行分析：泰勒规则在发达经济体的应用；泰勒规则在新兴市场经济体的应用；泰勒规则在中国的应用。
第4章主要研究最流行的目标规则：通货膨胀目标制。主要内容包括通货膨胀目标制的内涵与特点、实行通货膨胀目标制的前提条件、通货膨胀目标制对宏观经济影响的效果。由于近年来价格水平目标制和名义收入目标制这两个目标规则在理论研究中的重要性日益显现,国外近年来对这两个目标规则关注的文献日益增多,本文在国外文献研究的基础上,对通货膨胀目标制与这两个目标规则的比较进行了归纳。
第5章对我国现行的货币政策框架的有效性进行实证分析,研究认为我国现行货币政策框架的有效性在下降,有必要对现行货币政策框架进行改革与完善,建议我国未来货币政策框架的改革方向是向通货膨胀目标制转变。
本文的创新主要表现在：
第一,利用时变参数模型估计中国的货币政策反应函数。目前国内主要利用不变参数的泰勒规则对中国货币政策进行检验。而中国是一个处于转型中的发展中国家,中央银行的货币政策目标处在调整变化中,货币政策的框架在渐进调整之中,中央银行对各宏观经济变量的变化的反应也随着时间的变化而发生变化,使用不变参数的泰勒规则对中国的货币政策反应函数进行估计可能不太恰当,因此,本文使用状态空间模型和Kalman滤波估计的时变参数的泰勒规则可能更加符合中国的实际。
第二,利用平滑转换回归模型估计非线性的泰勒规则。国内现有的文献,大多采用线性泰勒规则来估计中国中央银行的反应函数。实际上,中央银行在面对不同的通货膨胀压力和经济增长环境下,对宏观经济变量的反应可能不同,线性规则难以对这种情形加以刻画。本文利用平滑转换回归模型对我国中央银行的货币政策反应函数进行检验,认为我国中央银行的货币政策具有非线性的特点。
第三,对通货膨胀目标制与其他目标规则的比较进行归纳。国内现有文献对目标规则的研究主要集中在对通货膨胀目标制的介绍上。其它两个目标规则,价格水平目标制和名义GDP目标制虽然没有在实践中得到应用,但却具有重要的理论研究价值。国外近年来对这两个目标规则研究的兴趣正在日益增强。本文在现有国外文献研究的基础上,对通货膨胀目标制与价格水平目标制和名义收入目标制这两个目标规则之间的比较给予介绍,以引起国内学术界对这两个目标规则的研究进行关注。
The controversy between rules and discretion in the monetary policy research has a long history. Since the seventies of the 20th century, monetary policy rule has made breakthrough progress in theoretical research, after the theory of dynamic inconsistency being put forward, people began to realize that discretionary prone to time inconsistency of monetary policy and inflation bias. The significant progress of monetary policy rules in theory and practice in the 1990s reflected in the following:Taylor (1993) put forward a Taylor rule that interest rate as policy instrument, New Zealand took the lead in the world to establish inflation targeting monetary policy in 1990. Svensson, as a representative, had been intensive studying the theory of inflation targeting. All of these greatly promoted the research in monetary policy rule theory. After New Zealand first implementation of inflation targeting, many other countries have also adopted this new monetary policy framework, The implementation of monetary policy that include rule in these countries can successfully control inflation and achieve macroeconomic stability.After 1984, the People's Bank of China to perform the functions of the Central Bank, the operation of monetary policy decisions with the discretion features, The macro-economy state had been changing between hot and cold, and macroeconomic instability faced with the threat. In the mid-90s from the 20th century, China began to implement monetary policy framework that money supply is the intermediate target, it became important for money supply in the macro-control. However, the performance of monetary policy in recent years shows that relationship between the money supply indicators and the ultimate objective of monetary policy had become instable, it is become more and more difficulty for the central bank to control money supply, the endogenous of money supply is increasing, the efficiency of central bank through controlling money supply to achieve monetary policy objectives is declining, it is an urgent for monetary authority to adjust and improve the current monetary policy framework.. Because of discretionary monetary policy being prone to inconsistency and inflationary bias, therefore, it is important for China to introduce rule in the monetary policy framework. During the design of monetary policy framework, it is necessary to clarify the following question:Which kind of monetary policy rules there is? What is the application of each type of monetary policy rules? How about effective of each type of monetary policy rules in practice? Is China's current monetary policy framework effective? If China's current monetary policy framework lack of efficient, then which monetary policy rule should be selected for the China's, future monetary policy framework design? The dissertation will study all above issue. The main content of this dissertation is:
Introduction section introduces the research background and significance, overviews monetary policy rules research home and aboard, briefly describes the main contents and research methods in this dissertation, points out the major innovation and deficiencies of the dissertation.
Chapter 1 gives the concept of monetary policy rules, and monetary policy rules are classified, in particular to introduce in detail about the instrument rules and targeting rules. Instrument rules not only include the traditional rules, such as Taylor rules, McCallum rules, Friedman rule, Melzer rules, but also non-traditional rules, such as exchange rate rules and monetary conditions index. Targeting rules Mainly include following rules, such as inflation targeting rule, price level targeting rules, monetary growth targeting, nominal GDP targeting rule, exchange rate targeting and hybrid inflation and price-level targeting.
Chapter 2 is the starting point for monetary policy rule theory research. in general, There are two way to implement monetary policy,one way is with rules, the other way is with discretion. The question is which way is more appropriate? Various economics schools had been debating in this subject for a long time. The dynamic inconsistency theory ended the long time dispute between rules and discretion. The dynamic inconsistency theory suggest that discretionary monetary policies is easily result in time inconsistency and inflation bias. Barro and Gordon's research further verified the rules is better than discretionary; In order to overcome the inflationary bias in monetary policy, in addition to use monetary policy rules, there are other options available in theory, such as the reputation constraints, hiring a conservative central bankers to implement monetary policy, the use of the Principal-agent Theory with escape clause, design the optimal incentive contract and the implementation of inflation targeting.
Chapter 3, The theory of monetary policy instrument choice is analyzed both from the perspective of graphical and from mathematical model. The research suggest that the instrument choice between money supply and interest rate depends on the stability of IS curve and LM curve. To derive the famous instrument rule:Taylor rule. There are two method can be used, one is from the perspective of the quantity theory of money, the other is from the perspective of dynamic macroeconomic models. Since Taylor put forward his famous instrument rule, the Taylor rule has been extensively used in studying and evaluating most of countries'monetary policy, in empirical study economist also modified and extended Taylor rule. About the application of Taylor rules in empirical study,this dissertation main include the following studies:Taylor rule is applied to estimate the developed economies'monetary police reaction functions; Taylor rules is applied in estimating emerging market economies'monetary policy rule; Taylor rule is applied to estimate China's monetary police reaction functions.
Chapter 4 is mainly study the most popular targeting rule:inflation targeting. The main content of research include the content and features of inflation targeting, the prerequisite conditions for inflation targeting implementation, the effect of inflation targeting impact on macro-economy. It is growing important for two targeting rule (price level targeting and nominal income targeting rules) in recent years. For this reason, It is necessary to make a comparative analysis for inflation targeting and these two targeting rules.
Chapter 5, we make a empirical research about the effectiveness of our current monetary policy framework. The research show that the effectiveness of the current monetary policy framework is decline, it is necessary to reform and improve the current monetary policy framework, the research suggest that the reform direction of China's future monetary policy framework is to transfer to inflation targeting. The innovation of this dissertation is mainly manifested in:
Firstly, we use time-varying parameter model to estimate China's monetary policy reaction function. At present, most researchers mainly use time-invariant parameter Taylor rule to test China's monetary policy. China is a developing country in transition, the central bank's monetary policy objective is always changes and adjustment, the monetary policy framework in the gradual adjustment, the responses of central bank to the changes of macroeconomic variables is changing, using the time-invariant parameter Taylor rule to estimate China's monetary policy reaction function may not be appropriate, therefore, It may be more in line with China's actual for using state-space model and Kalman filter to estimate time-varying parameters Taylor rule.
Secondly, we use smooth transition regression model to estimate the nonlinear Taylor rule. At present, most researcher use linear Taylor rule to estimate China's central bank's reaction function. In fact, the central bank in the face of different inflationary pressures and different growth conditions, the response of the central bank to macroeconomic variables are also different, it is difficult for the linear rule to describe this situation. In this paper, we use smooth transition regression model to estimate the China's central bank's monetary policy reaction function. The research shows that the China's central bank's monetary policy reaction has nonlinear characteristics.
Finally, we summarize the comparative studies between inflation targeting and the other two targeting rules. Existing literature on the targeting rules have focused on the introduction of inflation targeting. Although the other two targeting rules, such as price level targeting and nominal GDP targeting, is not applied in practice, but it has important theoretical research value. The research interests about the two targeting rules has been growing in recent years abroad. Based on the existing of Foreign literature, we give a comparison between inflation targeting and two targeting rules (price level targeting and nominal GDP targeting). The aim is to attract researcher to study.the two targeting rules.
导论部分主要介绍论文的研究背景与研究意义,对国内外在货币政策规则方面的研究进行了较为全面的综述,简要阐述了论文的主要内容以及研究方法,指出了论文的主要创新与不足。
第1章给出了货币政策规则的概念,并对货币政策规则进行了分类,尤其是对目标规则与工具规则进行了详细的介绍。工具规则不仅包括传统规则,如泰勒规则、McCallum规则、弗里德曼规则、梅尔泽规则,而且包括非传统规则,如汇率规则和货币条件指数。目标规则主要涉及通货膨胀目标规则、价格水平目标规则、货币增长目标规则、名义GDP目标规则、汇率目标规则和通货膨胀-价格水平混合目标规则。
第2章是货币政策规则理论研究的起点,通常来说,货币政策存在两种操作方式,一种是以规则的方式进行,一种是以相机抉择的方式进行,究竟哪种方式更可取?对此,学术界曾进行过长期的争论。动态不一致性理论的提出,结束了规则与相机抉择之间的长期的争论。该理论认为,相机抉择的货币政策容易导致时间不一致性和通货膨胀倾向。巴罗和戈登的研究进一步证明了规则优于相机抉择；为了克服货币政策的通货膨胀倾向,除了采用规则性的货币政策外,从理论上来说,还有其它多种方案可供选择,如声誉约束、雇佣保守中央银行家进行货币政策操作、采用带有免责条款的委托代理、设计最优激励性契约和实行通货膨胀目标制。
第3章分别从图形和数理模型的视角对货币政策工具选择理论进行分析,研究认为,利率与货币量的选择取决于IS曲线和LM曲线的稳定性。对于著名工具规则泰勒规则的推导,本文采用两种方法,一是从货币数量论的角度推导出泰勒规则,二是从动态宏观经济模型的角度进行推导。自泰勒提出泰勒规则以来,经济学家广泛地运用泰勒规则对各国的货币政策进行实证分析和政策评价,同时对泰勒规则进行修正与扩展。关于泰勒规则在实证方面的应用,本文主要从以下几个方面进行分析：泰勒规则在发达经济体的应用；泰勒规则在新兴市场经济体的应用；泰勒规则在中国的应用。
第4章主要研究最流行的目标规则：通货膨胀目标制。主要内容包括通货膨胀目标制的内涵与特点、实行通货膨胀目标制的前提条件、通货膨胀目标制对宏观经济影响的效果。由于近年来价格水平目标制和名义收入目标制这两个目标规则在理论研究中的重要性日益显现,国外近年来对这两个目标规则关注的文献日益增多,本文在国外文献研究的基础上,对通货膨胀目标制与这两个目标规则的比较进行了归纳。
第5章对我国现行的货币政策框架的有效性进行实证分析,研究认为我国现行货币政策框架的有效性在下降,有必要对现行货币政策框架进行改革与完善,建议我国未来货币政策框架的改革方向是向通货膨胀目标制转变。
本文的创新主要表现在：
第一,利用时变参数模型估计中国的货币政策反应函数。目前国内主要利用不变参数的泰勒规则对中国货币政策进行检验。而中国是一个处于转型中的发展中国家,中央银行的货币政策目标处在调整变化中,货币政策的框架在渐进调整之中,中央银行对各宏观经济变量的变化的反应也随着时间的变化而发生变化,使用不变参数的泰勒规则对中国的货币政策反应函数进行估计可能不太恰当,因此,本文使用状态空间模型和Kalman滤波估计的时变参数的泰勒规则可能更加符合中国的实际。
第二,利用平滑转换回归模型估计非线性的泰勒规则。国内现有的文献,大多采用线性泰勒规则来估计中国中央银行的反应函数。实际上,中央银行在面对不同的通货膨胀压力和经济增长环境下,对宏观经济变量的反应可能不同,线性规则难以对这种情形加以刻画。本文利用平滑转换回归模型对我国中央银行的货币政策反应函数进行检验,认为我国中央银行的货币政策具有非线性的特点。
第三,对通货膨胀目标制与其他目标规则的比较进行归纳。国内现有文献对目标规则的研究主要集中在对通货膨胀目标制的介绍上。其它两个目标规则,价格水平目标制和名义GDP目标制虽然没有在实践中得到应用,但却具有重要的理论研究价值。国外近年来对这两个目标规则研究的兴趣正在日益增强。本文在现有国外文献研究的基础上,对通货膨胀目标制与价格水平目标制和名义收入目标制这两个目标规则之间的比较给予介绍,以引起国内学术界对这两个目标规则的研究进行关注。
The controversy between rules and discretion in the monetary policy research has a long history. Since the seventies of the 20th century, monetary policy rule has made breakthrough progress in theoretical research, after the theory of dynamic inconsistency being put forward, people began to realize that discretionary prone to time inconsistency of monetary policy and inflation bias. The significant progress of monetary policy rules in theory and practice in the 1990s reflected in the following:Taylor (1993) put forward a Taylor rule that interest rate as policy instrument, New Zealand took the lead in the world to establish inflation targeting monetary policy in 1990. Svensson, as a representative, had been intensive studying the theory of inflation targeting. All of these greatly promoted the research in monetary policy rule theory. After New Zealand first implementation of inflation targeting, many other countries have also adopted this new monetary policy framework, The implementation of monetary policy that include rule in these countries can successfully control inflation and achieve macroeconomic stability.After 1984, the People's Bank of China to perform the functions of the Central Bank, the operation of monetary policy decisions with the discretion features, The macro-economy state had been changing between hot and cold, and macroeconomic instability faced with the threat. In the mid-90s from the 20th century, China began to implement monetary policy framework that money supply is the intermediate target, it became important for money supply in the macro-control. However, the performance of monetary policy in recent years shows that relationship between the money supply indicators and the ultimate objective of monetary policy had become instable, it is become more and more difficulty for the central bank to control money supply, the endogenous of money supply is increasing, the efficiency of central bank through controlling money supply to achieve monetary policy objectives is declining, it is an urgent for monetary authority to adjust and improve the current monetary policy framework.. Because of discretionary monetary policy being prone to inconsistency and inflationary bias, therefore, it is important for China to introduce rule in the monetary policy framework. During the design of monetary policy framework, it is necessary to clarify the following question:Which kind of monetary policy rules there is? What is the application of each type of monetary policy rules? How about effective of each type of monetary policy rules in practice? Is China's current monetary policy framework effective? If China's current monetary policy framework lack of efficient, then which monetary policy rule should be selected for the China's, future monetary policy framework design? The dissertation will study all above issue. The main content of this dissertation is:
Introduction section introduces the research background and significance, overviews monetary policy rules research home and aboard, briefly describes the main contents and research methods in this dissertation, points out the major innovation and deficiencies of the dissertation.
Chapter 1 gives the concept of monetary policy rules, and monetary policy rules are classified, in particular to introduce in detail about the instrument rules and targeting rules. Instrument rules not only include the traditional rules, such as Taylor rules, McCallum rules, Friedman rule, Melzer rules, but also non-traditional rules, such as exchange rate rules and monetary conditions index. Targeting rules Mainly include following rules, such as inflation targeting rule, price level targeting rules, monetary growth targeting, nominal GDP targeting rule, exchange rate targeting and hybrid inflation and price-level targeting.
Chapter 2 is the starting point for monetary policy rule theory research. in general, There are two way to implement monetary policy,one way is with rules, the other way is with discretion. The question is which way is more appropriate? Various economics schools had been debating in this subject for a long time. The dynamic inconsistency theory ended the long time dispute between rules and discretion. The dynamic inconsistency theory suggest that discretionary monetary policies is easily result in time inconsistency and inflation bias. Barro and Gordon's research further verified the rules is better than discretionary; In order to overcome the inflationary bias in monetary policy, in addition to use monetary policy rules, there are other options available in theory, such as the reputation constraints, hiring a conservative central bankers to implement monetary policy, the use of the Principal-agent Theory with escape clause, design the optimal incentive contract and the implementation of inflation targeting.
Chapter 3, The theory of monetary policy instrument choice is analyzed both from the perspective of graphical and from mathematical model. The research suggest that the instrument choice between money supply and interest rate depends on the stability of IS curve and LM curve. To derive the famous instrument rule:Taylor rule. There are two method can be used, one is from the perspective of the quantity theory of money, the other is from the perspective of dynamic macroeconomic models. Since Taylor put forward his famous instrument rule, the Taylor rule has been extensively used in studying and evaluating most of countries'monetary policy, in empirical study economist also modified and extended Taylor rule. About the application of Taylor rules in empirical study,this dissertation main include the following studies:Taylor rule is applied to estimate the developed economies'monetary police reaction functions; Taylor rules is applied in estimating emerging market economies'monetary policy rule; Taylor rule is applied to estimate China's monetary police reaction functions.
Chapter 4 is mainly study the most popular targeting rule:inflation targeting. The main content of research include the content and features of inflation targeting, the prerequisite conditions for inflation targeting implementation, the effect of inflation targeting impact on macro-economy. It is growing important for two targeting rule (price level targeting and nominal income targeting rules) in recent years. For this reason, It is necessary to make a comparative analysis for inflation targeting and these two targeting rules.
Chapter 5, we make a empirical research about the effectiveness of our current monetary policy framework. The research show that the effectiveness of the current monetary policy framework is decline, it is necessary to reform and improve the current monetary policy framework, the research suggest that the reform direction of China's future monetary policy framework is to transfer to inflation targeting. The innovation of this dissertation is mainly manifested in:
Firstly, we use time-varying parameter model to estimate China's monetary policy reaction function. At present, most researchers mainly use time-invariant parameter Taylor rule to test China's monetary policy. China is a developing country in transition, the central bank's monetary policy objective is always changes and adjustment, the monetary policy framework in the gradual adjustment, the responses of central bank to the changes of macroeconomic variables is changing, using the time-invariant parameter Taylor rule to estimate China's monetary policy reaction function may not be appropriate, therefore, It may be more in line with China's actual for using state-space model and Kalman filter to estimate time-varying parameters Taylor rule.
Secondly, we use smooth transition regression model to estimate the nonlinear Taylor rule. At present, most researcher use linear Taylor rule to estimate China's central bank's reaction function. In fact, the central bank in the face of different inflationary pressures and different growth conditions, the response of the central bank to macroeconomic variables are also different, it is difficult for the linear rule to describe this situation. In this paper, we use smooth transition regression model to estimate the China's central bank's monetary policy reaction function. The research shows that the China's central bank's monetary policy reaction has nonlinear characteristics.
Finally, we summarize the comparative studies between inflation targeting and the other two targeting rules. Existing literature on the targeting rules have focused on the introduction of inflation targeting. Although the other two targeting rules, such as price level targeting and nominal GDP targeting, is not applied in practice, but it has important theoretical research value. The research interests about the two targeting rules has been growing in recent years abroad. Based on the existing of Foreign literature, we give a comparison between inflation targeting and two targeting rules (price level targeting and nominal GDP targeting). The aim is to attract researcher to study.the two targeting rules.
引文
①中国人民银行哈尔滨中心支行课题组(2008)
①斯洛伐克、芬兰和西班牙在加入欧元区后,不再实行通货膨胀目标制,而其它国家在实行通货膨胀目标制后,没有退出这种制度。
①我国货币政策的这种表述,看不出是单目标还是多目标,如果是单目标,是稳定币值还是经济增长?如果是多目标,在这些目标出现冲突时,各目标之间应如何协调?稳定币值用什么指标来反映?是用通货膨胀率,还是用汇率、CPI、PPI或GDP平减指数?每种指标的具体目标值究竟是多少?我国现行的货币政策框架都没有给予明确的规定。
②Debelle和Fischer(1994)将中央银行的独立性分为目标独立性和工具独立性。目标独立性是指中央银行能够不受干预地确定货币政策目标；工具独立性是指中央银行可以自主选择政策工具以实现其政策目标。
①国际货币基金组织在其1999年所提出的《货币与金融政策透明度良好做法准则》中对货币政策透明度的定义是,货币政策透明度是指一种环境,即在易懂、容易获取和及时的基础上,让公众了解有关政策目标及其法律、制度和经济框架,政策制定及其原理,与货币和金融政策有关的数据和信息,以及机构的职责。(钱小安,2002)
②谢平,刘斌,货币政策规则研究的新进展,金融研究2004年第2期
①关于工具规则的概念与类型详见第1章。
①有关目标规则的概念与类型详见下一章。
②这些国家包括：新西兰、加拿大、英国、瑞典、澳大利亚、捷克、以色列、波兰、巴西、智利、哥伦比亚、南非、泰国、韩国、墨西哥、冰岛、挪威、匈牙利、秘鲁、菲律宾、危地马拉、印度尼西亚、罗马利亚、土耳其、塞尔维亚和加纳。
①在什么条件下,价格水平目标制比通货膨胀目标制更可取,详细分析见Barnett and Engineer (2000)
②赞成名义收入目标制的情形在Hall and Mankiw(1994)的文献中得到证明。
③菲利普斯曲线或经济的供给方面对于名义收入目标制绩效的重要性已不是什么新话题,实际上Bean (1983)和West (1986)早已对此有所强调。
① Merriam-Webster (1988), Webster's Ninth New Collegiate Dictionary, Merriam-Webster.
②他们就是泰勒所讨论的规则。Taylor, John B., ed. (1998c),.The Robustness and Efficiency of Monetary Policy Rules as Guidelines for Interest Rate Setting by the European Central Bank,. prepared for Sveriges Riksbank-ⅡES Conference on Monetary Policy Rules, Stockholm, June 12-13,1998.
① Svensson (2003)所说的可操作的目标指的是根据传统损失函数中的变量或数值(如通货膨胀和产出缺口等)来设定的目标,而不是中央银行对外宣称的价格稳定或最大可持续的产出增长。
②然而,Svensson(2004)承认,“一般目标规则(general targeting rule)”这个术语与Walsh(2003)定义的“目标制度(targeting regimes)”相比可能不太恰当。
①括号中的数据为采用通货膨胀目标制的时间。
①基础货币M0由本国通货和银行在中央银行的存款构成；M1由流通中的通货和银行的活期存款构成；广义货币M2由M1和定期存款构成。
①基于一些经验性的偏相关分析,真实利率(缺口)对产出缺口或真实经济的影响的滞后期要短于对通货膨胀影响的滞后期。而且Blinder(1995)和英格兰银行货币政策委员会(1999)的发现也证实了这种观点。其它些采用后顾性模型的研究,如Svensson (1996)、Ball (1997)以及Rudebusch and Svensson(1999)也将货币政策对产出缺口的影响的时滞描述成短于对通货膨胀影响的时滞。
②在他所使用的模型中,总供给曲线中,前瞻性程度为1,这是一种极端的情形。而Ball(1997)和Svensson(1997)所使用的模型是一个加速主义的菲利普斯曲线(accerlerationist Phillips curve),前瞻性程度为零,这是另一种极端的情形。
①例如,法国和英国使本国货币钉住马克,成功运用汇率目标规则降低了通货膨胀。1987年,法国开始将汇率钉住马克时,当时的通货膨胀率为3%,比德国高2个百分点。到了1992年,法国的通货膨胀率降至2%,该水平被认为与物价稳定是相一致的,甚至低于德国的通货膨胀率。1996年,法国和德国的通货膨胀率十分接近,略低于2%。同样,英国在1990年钉住马克之后,英国的通货膨胀率从10%降到1992年的3%。
②这种货币局制度实际上也是一种汇率目标规则,它要求中央银行能随时根据公众需求,对新比索以1：1的固定比率兑换美元。这样,货币当局对于本币必须有超过100%的外币储备,从而对中央银行有更强、更透明的约束。
③例如1990年德国的统一。受德国统一及东德重建的巨大的财政扩张引起通货膨胀的影响,德国的长期利率上升一直持续到1991年2月,短期利率上升直到1991年12月。这种冲击通过欧洲货币体系(ERM)直接传递到钉住德国马克的其它国家,使这些国家的利率也上升。结果是,持续地维持汇率目标使经济增长速度明显下降,失业率显著上升,法国在汇率机制中保持钉住汇率就经历了这样的过程。
①这是因为,在浮动汇率制下,如果货币政策过于扩张,汇率就会下降,对汇率下降的担忧,可以阻止中央银行实施过于扩张的货币政策,也能够阻止政治家向中央银行施压要求采取过于扩张的货币政策。
②又称弗里德曼“单一规则”
①值得注意的是,McCallum(1988)年提出他的规则时,泰勒还没有提出他的著名的泰勒规则。然而,Judd and Motley (1992)提出了一个以利率为工具的政策规则,这个规则将利率与名义产出而不是泰勒规则中的产出缺口联系起来。但它却没有像泰勒规则那样得到广泛的认可。
①由于后面将对泰勒规则作详细分析,所以在此只作简单介绍。
①对此问题的深入讨论已超出本论文的研究范围,故在此不再详述。
①袁鹰(2006)开放经济条件下我国货币政策规则的选择与运用,金融研究2006年第11期
①英文的表述为：Conditional Versus Unconditional Rules.
②英文的表述为：Ad Hoc Versus Optimal Rules.
③为了使规则具有可操作性,泰勒使用当前的年度通货膨胀率表示πt,使用线性的去趋势产出(detrended output)表示Xt。
①英文的表述为：Targeting Versus Instrument Rules.
①英文的表述为：Rules Describing Discretion Outcomes Versus Rules Derived from a Commitment.
②让人进一步感到迷惑不解的是,如果仅考虑取决于当前经济状态的规则,那么在承诺下的最优工具规则与在相机抉择下、损失函数中产出缺口的权重(λ)较小所得到的规则是相同的,见Clarida,Gali, and Gertler(1999)。
③英文的表述为：Mechanical Rules Versus Rules as"Guidelines".
①①尽管主张货币规则应该是机械的,但Simons (1936)也承认像固定货币供给这样的无条件规则很可能过于僵硬。
①也就是说：当经济处于衰退时期,中央银行应当采用扩张性的货币政策,通过增加货币供给量和降低利率,以刺激总需求,使经济从衰退中走出来；当经济处于繁荣时期,中央银行应当采用紧缩性的货币政策,通过减少货币供给量和提高利率,以降低总需求,以抑制通货膨胀。
①Orphanides and Williams(2003)的研究说明了政策错误和内生预期的相互作用是如何对20世纪70年代的滞胀产生影响的。
②相机抉择”的货币政策是指,在经济萧条时,采取宽松的货币政策,刺激有效需求,增加就业机会,促进经济增长；反之,在经济过热出现通货膨胀时,采取紧缩性的货币政策,以抑制有效需求,限制投资和消费增长。这种货币政策的操作,目的在于通过调节货币数量,抵消非货币因素引起的经济周期性波动,实现国民经济的稳定增长。
①中央银行滥用权力的一个例子是,货币政策容易受到政治性经济周期的影响。例如,在美国大选之前实行扩张性政策,以刺激生产和就业,因为这一政策所引起的通货膨胀在大选之前还不会表现出来。因此,如果中央银行领导人如果与政治家结盟,相机抉择政策就会引起大选日期经济波动。
②产生这一问题的主要原因是经济活动受企业和个人对中央银行未来政策预期的影响。给定企业和个人的预期,货币当局有通过意外的扩张性刺激产出,进而追求通货膨胀的倾向。
③王宇著,《伯南克时代：格林斯潘之后的美联储货币政策展望》,东北财经大学出版社,2006。
①以下内容参考Walsh (2003)
①注意方程(3-11)中的γt表示名义利率,r表示均衡真实利率,也可以将方程(3-11)表示成：rt=r*+(1+β1)(πt-π*)+β2yt。其中的l仍然表示名义利率,但r*表示均衡名义利率而不是均衡的真实利率。需要注意的是这里的泰勒规则为一个“积极的("active")”货币政策规则,因为它对通货膨胀偏离的反应1+β1 >1。Leeper(1991)将对通货膨胀的反应系数大于1的货币政策称之为“积极的("active")”的货币政策,反之称之为“消极的(passive)”货币政策。
①蔡跃洲,吉昱华(2004)根据泰勒(Taylor,1999)的这一段文字叙述,利用数学模型的方法从货币数量论推导出泰勒规则。具体方法是：假定货币总量每期按固定比率k增长,根据货币数量论,MtVt=PtYt,由于货币流通速度取决于利率和实际产出,所以Vt=g(rt,Yt),将其代入货币数量方程有：Mtg(rt,Yt)=PtYt。由于假定货币总量是按照每期固定比率增长,所以Mt=M0(1+k)t。由此可以得到：rt=h(M0,k,Pt,Yt)。
②有些文献提出了具有利率平滑的泰勒型规则(Taylor-type rules),例如Sack and Wieland(2000)所提出的规则为：rt=ρrt-1+(1-ρ)[r+πt+β1(πt-π*)+β2yt],其中,0<ρ ①德意志银行的月度报告(1999年4月)将货币条件指数MCI表述为“……MCI是指对于一个给定的时期t,与基期相比的真实有效汇率的变化和真实短期利率的变化的加权平均值……”有关MCI的研究也可以在Gerlach and Smets (2000)的文献中看到。
①限于篇幅,不打算在此介绍他的所有分析。
①如果λ=0,那么该模型称之为“严格通货膨胀目标制("strict inflation targeting") ",在此,假定兄>0,因此,它是一个“有弹性的通货膨胀目标制(flexible inflation targeting) "。
②适宜一致性预期,假定α1为1,这里的损失函数与上述Woodford (2003a)的x*等于0的第二种情形相似,有关x*等于0的情形的讨论详见Woodford (2003a, p.407)。
③以下的推导也可参见Svensson(1997)和Svensson (1999b)的附录。
①这个规则也可以从中央银行的由通货膨胀和产出构成的二次损失函数的框架中得到。(Svensson,1997； Bernanke and Woodford,1997)。
②事前实际利率可表示为rrt*=rt-E(πt+k(?)│Ωt),将其代入方程(3-41)得到下式：rrt*=rr*+(β-1)[E(πt+k(?)│Ωt)-π*]+γ[E(xt+k(?)│Ωt)],其中,rr*=r*-π*。
①见Boivin and Giannoni (2003)
②例如Dolado, Maria-Dolores, and Naveira (2004)发现了泰勒规则非线性行为的证据,这与凸性的菲利普斯曲线的最优响应有关。
③对于这种泰勒规则的设定,见Erceg and Levin (2003)
① Bayoumi and Sgherri(2004)给出了泰勒规则中时变参数的类似证据。
②的确,短期反应(1-ρ)ct和(1-ρt)γg,t为常数。
①也就是说,短期反应系数为γπ=(1-ρ)γπ,γg=(1-ρ)γg,长期反应由γπ和γg给定。
①所谓联邦基金利率是指美国同业拆借市场的利率,它是最主要的隔夜拆借利率。这种利率的变动能够敏感地反映银行之间资金的余缺,并将同业拆借市场的资金余缺传递给工商企业,进而影响消费、投资和国民经济。
①后续的研究工作大多数在于估计与原始泰勒规则相一致的政策反应函数。然而,当这些研究者在原始泰勒规则中添加利率平滑项后,拟合度大大改善,这有助于用泰勒规则来描述许多中央银行的行为。
②如Rudebusch (2002,2006)、Sack (1998,2000)、Williams (1999)、Lansing (2002)、CGG(2000)和 Woodford(2003)等。
①由于Miller的任期太短,因此忽略了Miller时期(1978年第2季度-1979年第2季度)。
①这种已经实现的时间序列与McCallum(1999)和McCallum and Nelson(2000b)所说的“操作问题”相当。
① Bernanke and Mihov(1998)给出了1979年10月-1982年期间货币政策的操作工具是非借入储备的证据。对于其它时期,他们证明联储将联邦基金利率作为货币政策的工具。
①韩国银行(2003)对“采用一切方法”的定义是指,中央银行使用所有度量通货膨胀压力的可能的指标,包括计量经济模型、主要数据以及其它近似指标(产出缺口、非加速通货膨胀失业率NAIRU,流动性缺口、货币推力指数(monetary thrust index)以设定货币政策的方向。
②对于这种非传统的工具,近年来有许多经验。Ho and McCauley (2003)和Mohanty and Scatigna (2005)的研究有过详尽的描述。著名的案例包括巴西和土耳其,它们广泛使用汇率指数化债券稳定汇率预期。1998年之前,智利对源于汇率投机的短期资本流入要求缴纳准备金(reserve requirements);近年来阿根廷和泰国引入了对源于货币升值的资本流入的各种控制方法；2003年乌拉圭将其短期美元债务转换成长期证券,避免即将来临的违约从而阻止进一步的货币贬值。
①Mishkin and Savastano(2001)的研究认为,对汇率变动的“剧烈和频繁地”反应提高了汇率成为事实上的货币政策锚的风险。
②Ball(2002)认为在这种情形下,最恰当的政策工具是将汇率与利率结合起来的货币条件指数(MCI),而不是单一的利率,根据近年来澳大利亚和新西兰的经验,他证明当冲击来源于金融的扰动时,与基于利率的反应相比,基于MCI的反应会降低产出波动。Wollmershauser(2006)的研究得出了类似的结论：通过对源于金融扰动的汇率冲击进行反应,中央银行能够降低产出和通货膨胀的不确定性。然而,这种观点也存在问题,因为MCI不是政策工具,并且将金融冲击从真实冲击中分离出来也不是件容易的事。
①之所以选择以2000年为基期,是因为2000年的物价比较稳定。
①与Mehra (1999)不同的是,这里引入的不是货币供应量增长率而是货币供应量缺口。
②本文在泰勒规则中引入的是汇率的缺口,而不是汇率的水平值。
③至于k和q的取值,本文在实证分析中根据模型拟合效果进行选择。
①由于国际清算银行只公布中国1994年1月以后的有效汇率指数,受统计数据的限制,估计引入汇率因素的货币政策反应函数的样本区间为1994年第1季度-2009年第3季度。
①出于节约篇幅的考虑,在此不打算介绍Kalman滤波和状态空间模型,有关状态空间模型和卡尔曼滤波的理论与估计方法详见Hamilton (1994)、Harvey (1989)和高铁梅等(2006)。
②董文泉,高铁梅等经济周期波动的分析与预测方法fMl.长春：吉林人学出版社1998.336-352,434-454。
③TVP指时变参数(Time-Varying Parameters),即参数会随着时间的变化而变化。
。例如,谢平,罗雄(2002)等研究认为,我国货币政策规则是一个不稳定的规则,利率对通货膨胀缺口的反应系数小于1。
①平滑转换回归模型的英文表述为：Smooth Transition Regression Model,简称STR模型。
②在Terasvirta(2004)所提出的STR模型之前,经典的STR模型的早期研究文献有Goldfeld and Quandt(1972)及Madadla (1977)等,近年来的文献有Granger and Terasvirta (1993), Terasvirta (1994,1998), Franses and van Dijk (2000)及van Dijk, Terasvirta and Franses (2002)等。
①LSTR1模型的转换函数的形式为G={1+exp[-γ(st-c)]}-1,在图3-20的示意图中,c=0.5,γ分别等于0.2、0.4、0.6、0.8、1、2、4、6、8和10,图形是用matlab软件画出的。
①详见Gerlach & Schnabel(2000).Gerlach.Kristen(2003),Gerdesmeier & Roffia (2004)and Surico(2003)。
②详见Judd & Rudebusch(1998)对美国经济的分析。
①对STR模型的详细讨论,见Terasvirta (1998),和Terasvirta (2004)
①因为G*(·)=G(·)-1/2,所以当θ→ 0,G(·)→1/2
①联邦基金利率(Federal Funds Rate)指的是美国同业拆借市场的利率,其最主要的隔夜拆借利率。这种利率的变动能够灵敏地反映银行之间资金的余缺,美联储通过瞄准并调节同业拆借利率就能够对商业银行的资金成本直接产生影响,并将同业拆借市场的资金余缺信息传递给厂商,进而对消费、投资和国民经济产生影响。
①[美]本.S.伯南克、托马斯.劳巴克、弗雷德里克.S.米什金、亚当.S.波森著：《通货膨胀目标制：国际经验》东北财经大学出版社2006年版,第4页。
②有3个曾经实行过通货膨胀目标制的国家：斯洛伐克、芬兰和西班牙在加入欧元区后,不再实行通货膨胀目标制这种货币政策策略。
③米什金(Mishikin,1999)将货币政策的“名义锚”(Nominal Anchor)定义为保证国内货币价值长期稳定的约束机制。凡是可以锁定通货膨胀预期、减弱货币政策动态不一致性、降低通货膨胀偏差的机制都可以作为“名义锚”。充当货币政策名义锚的变量常见的有：汇率、货币供应量、通货膨胀率等。
① Kuttner (2004)又将这种定义称为“实践性定义”。
②因此,Svensson (1997)又称通货膨胀目标制为通货膨胀预测钉住(inflation forecast targeting)
① King (1997)称这种通货膨胀目标制为“通货膨胀疯子("inflation nutter") "。
②孙丽(2005)
③郭万山(2004)将inflation targeting翻译为“通货膨胀钉住制度”
①这里给出的是封闭经济下的通货膨胀目标制的后顾性模型。有关开放经济条件下的通货膨胀目标制的原理,详见Svensson, Lars E. O.,2000. "Open-economy inflation targeting," Journal of International Economics, vol.50 (1), pages 155-183, February。
①也就是说在中央银行的目标函数中赋予通货膨胀的权重越大,中央银行更加关注通货膨胀。
①目标变量实际上是指进入中央银行损失函数中的变量。
①这个结果证实了Benati (2004)对20个OECD国家通货膨胀动态性研究的结果。
①争论的详细讨论见Lin and Ye (2007)
②这些研究包括：Ammer and Freeman (1995)、Mishkin and Posen (1997) 、Groenveld (1998)、Kutt ner and Posen (1999)、Johnson (2002)以及Ball and Sheridan (2003)等。
③详见Bernanke et al. (1999)、Svensson (1997)和Mishkin (1999)
①弹性价格水平目标制的英文表述为：Flexible Price-Level targeting。
①弹性通货膨胀目标制的英文表述为：Flexible Inflation Targeting。
①这个模型依赖于Taylor (1979)、Calvo (1983)、Rotemberg (1987)、Roberts (1995)和McCallum (1997)等的贡献,在文献中通常称之为新凯恩斯模型,Clarida, Gali and Gertler (1999)认为这个模型提供了一种分析货币政策的有用框架。
①名义锚就是指中央银行用来锁定物价水平的名义变量,常见的名义锚包括：通货膨胀率、汇率和货币供应量等。
①2005年8月中国人民银行宣布实行“盯住一篮子货币”的汇率政策,但固定汇率制的本质并没有完全改变。
①易宪容.中国通货膨胀的原因和特征[J].金融管理与研究.2007,(10)。
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①斯洛伐克、芬兰和西班牙在加入欧元区后,不再实行通货膨胀目标制,而其它国家在实行通货膨胀目标制后,没有退出这种制度。
①我国货币政策的这种表述,看不出是单目标还是多目标,如果是单目标,是稳定币值还是经济增长?如果是多目标,在这些目标出现冲突时,各目标之间应如何协调?稳定币值用什么指标来反映?是用通货膨胀率,还是用汇率、CPI、PPI或GDP平减指数?每种指标的具体目标值究竟是多少?我国现行的货币政策框架都没有给予明确的规定。
②Debelle和Fischer(1994)将中央银行的独立性分为目标独立性和工具独立性。目标独立性是指中央银行能够不受干预地确定货币政策目标；工具独立性是指中央银行可以自主选择政策工具以实现其政策目标。
①国际货币基金组织在其1999年所提出的《货币与金融政策透明度良好做法准则》中对货币政策透明度的定义是,货币政策透明度是指一种环境,即在易懂、容易获取和及时的基础上,让公众了解有关政策目标及其法律、制度和经济框架,政策制定及其原理,与货币和金融政策有关的数据和信息,以及机构的职责。(钱小安,2002)
②谢平,刘斌,货币政策规则研究的新进展,金融研究2004年第2期
①关于工具规则的概念与类型详见第1章。
①有关目标规则的概念与类型详见下一章。
②这些国家包括：新西兰、加拿大、英国、瑞典、澳大利亚、捷克、以色列、波兰、巴西、智利、哥伦比亚、南非、泰国、韩国、墨西哥、冰岛、挪威、匈牙利、秘鲁、菲律宾、危地马拉、印度尼西亚、罗马利亚、土耳其、塞尔维亚和加纳。
①在什么条件下,价格水平目标制比通货膨胀目标制更可取,详细分析见Barnett and Engineer (2000)
②赞成名义收入目标制的情形在Hall and Mankiw(1994)的文献中得到证明。
③菲利普斯曲线或经济的供给方面对于名义收入目标制绩效的重要性已不是什么新话题,实际上Bean (1983)和West (1986)早已对此有所强调。
① Merriam-Webster (1988), Webster's Ninth New Collegiate Dictionary, Merriam-Webster.
②他们就是泰勒所讨论的规则。Taylor, John B., ed. (1998c),.The Robustness and Efficiency of Monetary Policy Rules as Guidelines for Interest Rate Setting by the European Central Bank,. prepared for Sveriges Riksbank-ⅡES Conference on Monetary Policy Rules, Stockholm, June 12-13,1998.
① Svensson (2003)所说的可操作的目标指的是根据传统损失函数中的变量或数值(如通货膨胀和产出缺口等)来设定的目标,而不是中央银行对外宣称的价格稳定或最大可持续的产出增长。
②然而,Svensson(2004)承认,“一般目标规则(general targeting rule)”这个术语与Walsh(2003)定义的“目标制度(targeting regimes)”相比可能不太恰当。
①括号中的数据为采用通货膨胀目标制的时间。
①基础货币M0由本国通货和银行在中央银行的存款构成；M1由流通中的通货和银行的活期存款构成；广义货币M2由M1和定期存款构成。
①基于一些经验性的偏相关分析,真实利率(缺口)对产出缺口或真实经济的影响的滞后期要短于对通货膨胀影响的滞后期。而且Blinder(1995)和英格兰银行货币政策委员会(1999)的发现也证实了这种观点。其它些采用后顾性模型的研究,如Svensson (1996)、Ball (1997)以及Rudebusch and Svensson(1999)也将货币政策对产出缺口的影响的时滞描述成短于对通货膨胀影响的时滞。
②在他所使用的模型中,总供给曲线中,前瞻性程度为1,这是一种极端的情形。而Ball(1997)和Svensson(1997)所使用的模型是一个加速主义的菲利普斯曲线(accerlerationist Phillips curve),前瞻性程度为零,这是另一种极端的情形。
①例如,法国和英国使本国货币钉住马克,成功运用汇率目标规则降低了通货膨胀。1987年,法国开始将汇率钉住马克时,当时的通货膨胀率为3%,比德国高2个百分点。到了1992年,法国的通货膨胀率降至2%,该水平被认为与物价稳定是相一致的,甚至低于德国的通货膨胀率。1996年,法国和德国的通货膨胀率十分接近,略低于2%。同样,英国在1990年钉住马克之后,英国的通货膨胀率从10%降到1992年的3%。
②这种货币局制度实际上也是一种汇率目标规则,它要求中央银行能随时根据公众需求,对新比索以1：1的固定比率兑换美元。这样,货币当局对于本币必须有超过100%的外币储备,从而对中央银行有更强、更透明的约束。
③例如1990年德国的统一。受德国统一及东德重建的巨大的财政扩张引起通货膨胀的影响,德国的长期利率上升一直持续到1991年2月,短期利率上升直到1991年12月。这种冲击通过欧洲货币体系(ERM)直接传递到钉住德国马克的其它国家,使这些国家的利率也上升。结果是,持续地维持汇率目标使经济增长速度明显下降,失业率显著上升,法国在汇率机制中保持钉住汇率就经历了这样的过程。
①这是因为,在浮动汇率制下,如果货币政策过于扩张,汇率就会下降,对汇率下降的担忧,可以阻止中央银行实施过于扩张的货币政策,也能够阻止政治家向中央银行施压要求采取过于扩张的货币政策。
②又称弗里德曼“单一规则”
①值得注意的是,McCallum(1988)年提出他的规则时,泰勒还没有提出他的著名的泰勒规则。然而,Judd and Motley (1992)提出了一个以利率为工具的政策规则,这个规则将利率与名义产出而不是泰勒规则中的产出缺口联系起来。但它却没有像泰勒规则那样得到广泛的认可。
①由于后面将对泰勒规则作详细分析,所以在此只作简单介绍。
①对此问题的深入讨论已超出本论文的研究范围,故在此不再详述。
①袁鹰(2006)开放经济条件下我国货币政策规则的选择与运用,金融研究2006年第11期
①英文的表述为：Conditional Versus Unconditional Rules.
②英文的表述为：Ad Hoc Versus Optimal Rules.
③为了使规则具有可操作性,泰勒使用当前的年度通货膨胀率表示πt,使用线性的去趋势产出(detrended output)表示Xt。
①英文的表述为：Targeting Versus Instrument Rules.
①英文的表述为：Rules Describing Discretion Outcomes Versus Rules Derived from a Commitment.
②让人进一步感到迷惑不解的是,如果仅考虑取决于当前经济状态的规则,那么在承诺下的最优工具规则与在相机抉择下、损失函数中产出缺口的权重(λ)较小所得到的规则是相同的,见Clarida,Gali, and Gertler(1999)。
③英文的表述为：Mechanical Rules Versus Rules as"Guidelines".
①①尽管主张货币规则应该是机械的,但Simons (1936)也承认像固定货币供给这样的无条件规则很可能过于僵硬。
①也就是说：当经济处于衰退时期,中央银行应当采用扩张性的货币政策,通过增加货币供给量和降低利率,以刺激总需求,使经济从衰退中走出来；当经济处于繁荣时期,中央银行应当采用紧缩性的货币政策,通过减少货币供给量和提高利率,以降低总需求,以抑制通货膨胀。
①Orphanides and Williams(2003)的研究说明了政策错误和内生预期的相互作用是如何对20世纪70年代的滞胀产生影响的。
②相机抉择”的货币政策是指,在经济萧条时,采取宽松的货币政策,刺激有效需求,增加就业机会,促进经济增长；反之,在经济过热出现通货膨胀时,采取紧缩性的货币政策,以抑制有效需求,限制投资和消费增长。这种货币政策的操作,目的在于通过调节货币数量,抵消非货币因素引起的经济周期性波动,实现国民经济的稳定增长。
①中央银行滥用权力的一个例子是,货币政策容易受到政治性经济周期的影响。例如,在美国大选之前实行扩张性政策,以刺激生产和就业,因为这一政策所引起的通货膨胀在大选之前还不会表现出来。因此,如果中央银行领导人如果与政治家结盟,相机抉择政策就会引起大选日期经济波动。
②产生这一问题的主要原因是经济活动受企业和个人对中央银行未来政策预期的影响。给定企业和个人的预期,货币当局有通过意外的扩张性刺激产出,进而追求通货膨胀的倾向。
③王宇著,《伯南克时代：格林斯潘之后的美联储货币政策展望》,东北财经大学出版社,2006。
①以下内容参考Walsh (2003)
①注意方程(3-11)中的γt表示名义利率,r表示均衡真实利率,也可以将方程(3-11)表示成：rt=r*+(1+β1)(πt-π*)+β2yt。其中的l仍然表示名义利率,但r*表示均衡名义利率而不是均衡的真实利率。需要注意的是这里的泰勒规则为一个“积极的("active")”货币政策规则,因为它对通货膨胀偏离的反应1+β1 >1。Leeper(1991)将对通货膨胀的反应系数大于1的货币政策称之为“积极的("active")”的货币政策,反之称之为“消极的(passive)”货币政策。
①蔡跃洲,吉昱华(2004)根据泰勒(Taylor,1999)的这一段文字叙述,利用数学模型的方法从货币数量论推导出泰勒规则。具体方法是：假定货币总量每期按固定比率k增长,根据货币数量论,MtVt=PtYt,由于货币流通速度取决于利率和实际产出,所以Vt=g(rt,Yt),将其代入货币数量方程有：Mtg(rt,Yt)=PtYt。由于假定货币总量是按照每期固定比率增长,所以Mt=M0(1+k)t。由此可以得到：rt=h(M0,k,Pt,Yt)。
②有些文献提出了具有利率平滑的泰勒型规则(Taylor-type rules),例如Sack and Wieland(2000)所提出的规则为：rt=ρrt-1+(1-ρ)[r+πt+β1(πt-π*)+β2yt],其中,0<ρ
①限于篇幅,不打算在此介绍他的所有分析。
①如果λ=0,那么该模型称之为“严格通货膨胀目标制("strict inflation targeting") ",在此,假定兄>0,因此,它是一个“有弹性的通货膨胀目标制(flexible inflation targeting) "。
②适宜一致性预期,假定α1为1,这里的损失函数与上述Woodford (2003a)的x*等于0的第二种情形相似,有关x*等于0的情形的讨论详见Woodford (2003a, p.407)。
③以下的推导也可参见Svensson(1997)和Svensson (1999b)的附录。
①这个规则也可以从中央银行的由通货膨胀和产出构成的二次损失函数的框架中得到。(Svensson,1997； Bernanke and Woodford,1997)。
②事前实际利率可表示为rrt*=rt-E(πt+k(?)│Ωt),将其代入方程(3-41)得到下式：rrt*=rr*+(β-1)[E(πt+k(?)│Ωt)-π*]+γ[E(xt+k(?)│Ωt)],其中,rr*=r*-π*。
①见Boivin and Giannoni (2003)
②例如Dolado, Maria-Dolores, and Naveira (2004)发现了泰勒规则非线性行为的证据,这与凸性的菲利普斯曲线的最优响应有关。
③对于这种泰勒规则的设定,见Erceg and Levin (2003)
① Bayoumi and Sgherri(2004)给出了泰勒规则中时变参数的类似证据。
②的确,短期反应(1-ρ)ct和(1-ρt)γg,t为常数。
①也就是说,短期反应系数为γπ=(1-ρ)γπ,γg=(1-ρ)γg,长期反应由γπ和γg给定。
①所谓联邦基金利率是指美国同业拆借市场的利率,它是最主要的隔夜拆借利率。这种利率的变动能够敏感地反映银行之间资金的余缺,并将同业拆借市场的资金余缺传递给工商企业,进而影响消费、投资和国民经济。
①后续的研究工作大多数在于估计与原始泰勒规则相一致的政策反应函数。然而,当这些研究者在原始泰勒规则中添加利率平滑项后,拟合度大大改善,这有助于用泰勒规则来描述许多中央银行的行为。
②如Rudebusch (2002,2006)、Sack (1998,2000)、Williams (1999)、Lansing (2002)、CGG(2000)和 Woodford(2003)等。
①由于Miller的任期太短,因此忽略了Miller时期(1978年第2季度-1979年第2季度)。
①这种已经实现的时间序列与McCallum(1999)和McCallum and Nelson(2000b)所说的“操作问题”相当。
① Bernanke and Mihov(1998)给出了1979年10月-1982年期间货币政策的操作工具是非借入储备的证据。对于其它时期,他们证明联储将联邦基金利率作为货币政策的工具。
①韩国银行(2003)对“采用一切方法”的定义是指,中央银行使用所有度量通货膨胀压力的可能的指标,包括计量经济模型、主要数据以及其它近似指标(产出缺口、非加速通货膨胀失业率NAIRU,流动性缺口、货币推力指数(monetary thrust index)以设定货币政策的方向。
②对于这种非传统的工具,近年来有许多经验。Ho and McCauley (2003)和Mohanty and Scatigna (2005)的研究有过详尽的描述。著名的案例包括巴西和土耳其,它们广泛使用汇率指数化债券稳定汇率预期。1998年之前,智利对源于汇率投机的短期资本流入要求缴纳准备金(reserve requirements);近年来阿根廷和泰国引入了对源于货币升值的资本流入的各种控制方法；2003年乌拉圭将其短期美元债务转换成长期证券,避免即将来临的违约从而阻止进一步的货币贬值。
①Mishkin and Savastano(2001)的研究认为,对汇率变动的“剧烈和频繁地”反应提高了汇率成为事实上的货币政策锚的风险。
②Ball(2002)认为在这种情形下,最恰当的政策工具是将汇率与利率结合起来的货币条件指数(MCI),而不是单一的利率,根据近年来澳大利亚和新西兰的经验,他证明当冲击来源于金融的扰动时,与基于利率的反应相比,基于MCI的反应会降低产出波动。Wollmershauser(2006)的研究得出了类似的结论：通过对源于金融扰动的汇率冲击进行反应,中央银行能够降低产出和通货膨胀的不确定性。然而,这种观点也存在问题,因为MCI不是政策工具,并且将金融冲击从真实冲击中分离出来也不是件容易的事。
①之所以选择以2000年为基期,是因为2000年的物价比较稳定。
①与Mehra (1999)不同的是,这里引入的不是货币供应量增长率而是货币供应量缺口。
②本文在泰勒规则中引入的是汇率的缺口,而不是汇率的水平值。
③至于k和q的取值,本文在实证分析中根据模型拟合效果进行选择。
①由于国际清算银行只公布中国1994年1月以后的有效汇率指数,受统计数据的限制,估计引入汇率因素的货币政策反应函数的样本区间为1994年第1季度-2009年第3季度。
①出于节约篇幅的考虑,在此不打算介绍Kalman滤波和状态空间模型,有关状态空间模型和卡尔曼滤波的理论与估计方法详见Hamilton (1994)、Harvey (1989)和高铁梅等(2006)。
②董文泉,高铁梅等经济周期波动的分析与预测方法fMl.长春：吉林人学出版社1998.336-352,434-454。
③TVP指时变参数(Time-Varying Parameters),即参数会随着时间的变化而变化。
。例如,谢平,罗雄(2002)等研究认为,我国货币政策规则是一个不稳定的规则,利率对通货膨胀缺口的反应系数小于1。
①平滑转换回归模型的英文表述为：Smooth Transition Regression Model,简称STR模型。
②在Terasvirta(2004)所提出的STR模型之前,经典的STR模型的早期研究文献有Goldfeld and Quandt(1972)及Madadla (1977)等,近年来的文献有Granger and Terasvirta (1993), Terasvirta (1994,1998), Franses and van Dijk (2000)及van Dijk, Terasvirta and Franses (2002)等。
①LSTR1模型的转换函数的形式为G={1+exp[-γ(st-c)]}-1,在图3-20的示意图中,c=0.5,γ分别等于0.2、0.4、0.6、0.8、1、2、4、6、8和10,图形是用matlab软件画出的。
①详见Gerlach & Schnabel(2000).Gerlach.Kristen(2003),Gerdesmeier & Roffia (2004)and Surico(2003)。
②详见Judd & Rudebusch(1998)对美国经济的分析。
①对STR模型的详细讨论,见Terasvirta (1998),和Terasvirta (2004)
①因为G*(·)=G(·)-1/2,所以当θ→ 0,G(·)→1/2
①联邦基金利率(Federal Funds Rate)指的是美国同业拆借市场的利率,其最主要的隔夜拆借利率。这种利率的变动能够灵敏地反映银行之间资金的余缺,美联储通过瞄准并调节同业拆借利率就能够对商业银行的资金成本直接产生影响,并将同业拆借市场的资金余缺信息传递给厂商,进而对消费、投资和国民经济产生影响。
①[美]本.S.伯南克、托马斯.劳巴克、弗雷德里克.S.米什金、亚当.S.波森著：《通货膨胀目标制：国际经验》东北财经大学出版社2006年版,第4页。
②有3个曾经实行过通货膨胀目标制的国家：斯洛伐克、芬兰和西班牙在加入欧元区后,不再实行通货膨胀目标制这种货币政策策略。
③米什金(Mishikin,1999)将货币政策的“名义锚”(Nominal Anchor)定义为保证国内货币价值长期稳定的约束机制。凡是可以锁定通货膨胀预期、减弱货币政策动态不一致性、降低通货膨胀偏差的机制都可以作为“名义锚”。充当货币政策名义锚的变量常见的有：汇率、货币供应量、通货膨胀率等。
① Kuttner (2004)又将这种定义称为“实践性定义”。
②因此,Svensson (1997)又称通货膨胀目标制为通货膨胀预测钉住(inflation forecast targeting)
① King (1997)称这种通货膨胀目标制为“通货膨胀疯子("inflation nutter") "。
②孙丽(2005)
③郭万山(2004)将inflation targeting翻译为“通货膨胀钉住制度”
①这里给出的是封闭经济下的通货膨胀目标制的后顾性模型。有关开放经济条件下的通货膨胀目标制的原理,详见Svensson, Lars E. O.,2000. "Open-economy inflation targeting," Journal of International Economics, vol.50 (1), pages 155-183, February。
①也就是说在中央银行的目标函数中赋予通货膨胀的权重越大,中央银行更加关注通货膨胀。
①目标变量实际上是指进入中央银行损失函数中的变量。
①这个结果证实了Benati (2004)对20个OECD国家通货膨胀动态性研究的结果。
①争论的详细讨论见Lin and Ye (2007)
②这些研究包括：Ammer and Freeman (1995)、Mishkin and Posen (1997) 、Groenveld (1998)、Kutt ner and Posen (1999)、Johnson (2002)以及Ball and Sheridan (2003)等。
③详见Bernanke et al. (1999)、Svensson (1997)和Mishkin (1999)
①弹性价格水平目标制的英文表述为：Flexible Price-Level targeting。
①弹性通货膨胀目标制的英文表述为：Flexible Inflation Targeting。
①这个模型依赖于Taylor (1979)、Calvo (1983)、Rotemberg (1987)、Roberts (1995)和McCallum (1997)等的贡献,在文献中通常称之为新凯恩斯模型,Clarida, Gali and Gertler (1999)认为这个模型提供了一种分析货币政策的有用框架。
①名义锚就是指中央银行用来锁定物价水平的名义变量,常见的名义锚包括：通货膨胀率、汇率和货币供应量等。
①2005年8月中国人民银行宣布实行“盯住一篮子货币”的汇率政策,但固定汇率制的本质并没有完全改变。
①易宪容.中国通货膨胀的原因和特征[J].金融管理与研究.2007,(10)。
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