供求冲击、异质性预期与货币政策范式选择
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摘要
文章构建新凯恩斯模型,研究了供求冲击和异质性预期下,不同货币政策调控范式的有效性。研究发现:中国的经济波动主要由需求冲击所驱动,预期呈现出理性预期和适应性预期混合的异质性特征,货币政策表现出明显的相机抉择倾向;需求冲击导致经济波动向稳态收敛的时间明显长于供给冲击,预期的理性程度提高有助于增进整体福利,事前承诺不一定优于相机抉择,尤其当预期呈现异质性特征时;货币政策忽视利率稳定化操作将导致更多的整体福利损失,需求冲击下这一损失又显著大于供给冲击下。文章认为:在当前预期呈现异质性特征的背景下,相机抉择型调控具有合理性,货币政策不宜盲目向事前承诺转型;在经济波动主要由需求冲击所驱动时,货币政策应考虑利率稳定化因素,保持稳健中性基调可防止不必要的利率扰动影响金融稳定,从而减少福利损失;长期来看,改善公众预期,逐步摆脱外需依赖,大力推进供给侧结构性改革,有助于提升货币政策调控的经济稳定作用。
Since the 2008 international financial crisis,many countries have returned to the discretionary paradigm in macroeconomic regulation.China’s 2017 Government Work Report also stressed to strengthen discretionary regulation of monetary policies for the first time.But up to now,scholars have not reached a consensus about which one is better between discretionary and ex-ante commitment paradigms.Most of the researches support the viewpoint that playing by the rule can improve the credibility of monetary policies with containing ex-ante commitment mechanism.However,the flexibility and pertinence of discretionary regulation undoubtedly play an important role in making the economy out of recession.So this paper aims to quantitatively analyze the economic stabilization effects of discretionary and ex-ante commitment paradigms by a new Keynesian model.Most of the literature uses the new Keynesian framework to make an analysis based on the rational expectation hypothesis.But in China,people have obviously idiosyncratic expectations and the rational degree of expectations needs to improve.So the monetary policy analysis based on the rational expectation hypothesis is not applicable to current reality.The 2016 Central Economic Working Conference firstly put forward"maintaining prudential and neutral monetary policies",but most of the monetary policy literature omits the impact of interest rate adjustment,so that the conclusions couldn’t adapt to the value orientation of current monetary policies.To accurately understand the efficiency of discretionary paradigms in the current Chinese context,this paper builds a new Keynesian model including idiosyncratic expectations and induces the formulas for discretionary and ex-ante commitment paradigms based on the triple-target loss welfare function with interest rate stabilization by the central bank.It shows that:(1)The demand shock mainly derives Chinese economic fluctuations,idiosyncratic expectations consist of rational ingredient and adaptive ingredient,and monetary policies incline to discretion.(2)The demand shock leads to a more sluggish economic fluctuation convergence than the supply shock,improving the rational degree of expectations helps to promote the whole welfare,and ex-ante commitment is not necessarily better than discretion,specifically when idiosyncratic expectations exists.(3)Monetary policies without interest rate stabilization operation result in a greater welfare loss,and the loss is greater under the demand shock than under the supply shock.It suggests that:(1)Discretion is reasonable under idiosyncratic expectations,and monetary policies shouldn’t be blindly transformed into the ex-ante commitment paradigm.(2)Monetary policies must be focused on interest rate stabilization under the condition of economic fluctuations mainly driven by the demand shock,and prudential and neutral monetary policies can prevent unnecessary interest disturbance from affecting financial stability,so as to promote large reduction in the welfare loss.(3)In the long run,improving public expectations,gradually getting rid of external dependence and vigorously pushing the supply-side structural reform can improve the stabilization effects of monetary policy regulation.
Since the 2008 international financial crisis,many countries have returned to the discretionary paradigm in macroeconomic regulation.China’s 2017 Government Work Report also stressed to strengthen discretionary regulation of monetary policies for the first time.But up to now,scholars have not reached a consensus about which one is better between discretionary and ex-ante commitment paradigms.Most of the researches support the viewpoint that playing by the rule can improve the credibility of monetary policies with containing ex-ante commitment mechanism.However,the flexibility and pertinence of discretionary regulation undoubtedly play an important role in making the economy out of recession.So this paper aims to quantitatively analyze the economic stabilization effects of discretionary and ex-ante commitment paradigms by a new Keynesian model.Most of the literature uses the new Keynesian framework to make an analysis based on the rational expectation hypothesis.But in China,people have obviously idiosyncratic expectations and the rational degree of expectations needs to improve.So the monetary policy analysis based on the rational expectation hypothesis is not applicable to current reality.The 2016 Central Economic Working Conference firstly put forward"maintaining prudential and neutral monetary policies",but most of the monetary policy literature omits the impact of interest rate adjustment,so that the conclusions couldn’t adapt to the value orientation of current monetary policies.To accurately understand the efficiency of discretionary paradigms in the current Chinese context,this paper builds a new Keynesian model including idiosyncratic expectations and induces the formulas for discretionary and ex-ante commitment paradigms based on the triple-target loss welfare function with interest rate stabilization by the central bank.It shows that:(1)The demand shock mainly derives Chinese economic fluctuations,idiosyncratic expectations consist of rational ingredient and adaptive ingredient,and monetary policies incline to discretion.(2)The demand shock leads to a more sluggish economic fluctuation convergence than the supply shock,improving the rational degree of expectations helps to promote the whole welfare,and ex-ante commitment is not necessarily better than discretion,specifically when idiosyncratic expectations exists.(3)Monetary policies without interest rate stabilization operation result in a greater welfare loss,and the loss is greater under the demand shock than under the supply shock.It suggests that:(1)Discretion is reasonable under idiosyncratic expectations,and monetary policies shouldn’t be blindly transformed into the ex-ante commitment paradigm.(2)Monetary policies must be focused on interest rate stabilization under the condition of economic fluctuations mainly driven by the demand shock,and prudential and neutral monetary policies can prevent unnecessary interest disturbance from affecting financial stability,so as to promote large reduction in the welfare loss.(3)In the long run,improving public expectations,gradually getting rid of external dependence and vigorously pushing the supply-side structural reform can improve the stabilization effects of monetary policy regulation.
引文
[1]卞志村,高洁超.适应性学习、宏观经济预期与中国最优货币政策[J].经济研究,2014,(4):32-46.
[2]卞志村,高洁超.宏观稳定视角的货币政策体制设计研究[J].金融经济学研究,2015,(2):3-14.
[3]卞志村,张义.央行信息披露、实际干预与通胀预期管理[J].经济研究,2012,(12):15-28.
[4]陈彦斌.“十三五”规划纲要关于宏观调控的新思路[N].光明日报,2016-05-04.
[5]程均丽.异质预期下的货币政策:相机还是承诺[J].国际金融研究,2010,(3):18-26.
[6]范从来,高洁超.适应性学习与中国通货膨胀非均衡分析[J].经济研究,2016,(9):17-28.
[7]郭豫媚,陈伟泽,陈彦斌.中国货币政策有效性下降与预期管理研究[J].经济研究,2016,(1):28-41.
[8]郭豫媚,周璇.央行沟通、适应性学习和货币政策有效性[J].经济研究,2018,(4):77-91.
[9][美]卡尔·瓦什.货币理论与政策[M].彭兴韵,曾刚,译.上海:格致出版社,上海三联书店,上海人民出版社,2012.
[10]刘凤良,鲁旭,易信.中国部门间通货膨胀的“均值回复”特征研究--新方法的构建及实证分析[J].管理世界,2012,(9):36-48.
[11]马勇,陈雨露.经济开放度与货币政策有效性:微观基础与实证分析[J].经济研究,2014,(3):35-46.
[12]王国静,田国强.金融冲击和中国经济波动[J].经济研究,2014,(3):20-34.
[13]肖争艳,陈彦斌.中国通货膨胀预期研究:调查数据方法[J].金融研究,2004,(11):1-18.
[14]许志伟,樊海潮,薛鹤翔.公众预期、货币供给与通货膨胀动态--新凯恩斯框架下的异质性预期及其影响[J].经济学(季刊),2015,(4):1211-1234.
[15]杨源源,张晓林,于津平.异质性预期、宏观经济波动与货币政策有效性--来自数量型和价格型工具的双重检验[J].国际金融研究,2017,(9):25-34.
[16]张蓓.我国居民通货膨胀预期的性质及对通货膨胀的影响[J].金融研究,2009,(9):40-54.
[17]Blanchard O J,Fischer S.Lectures on macroeconomics[M].Cambridge MA:The MIT Press,1989.
[18]Branch W A.The theory of rationally heterogeneous expectations:Evidence from survey data on inflation expectations[J].The Economic Journal,2004,114(497):592-621.
[19]Branch W A,Evans G W.Monetary policy and heterogeneous expectations[J].Economic Theory,2011,47(2-3):365-393.
[20]Calvo G A.Staggered prices in a utility-maximizing framework[J].Journal of Monetary Economics,1983,12(3):383-398.
[21]Cowan K,Filardo A,García P,et al.It in financially stable economies:Has it been flexible enough?[R].Documentos de Trabajo,2009.
[22]Evans G W,Honkapohja S.Monetary policy,expectations and commitment[J].The Scandinavian Journal of Economics,2006,108(1):15-38.
[23]Gelain P,Lansing K J,Mendicino C.House prices,credit growth,and excess volatility:Implications for monetary and macroprudential policy[R].Norges Bank Working Paper,2013.
[24]Hommes C H,Massaro D,Weber M.Monetary policy under behavioral expectations:Theory and experiment[R].Bank of Lithuania Working Paper,2015.
[25]Huang K X D,Liu Z,Zha T.Learning,adaptive expectations and technology shocks[J].The Economic Journal,2009,119(536):377-405.
[26]Lucas Jr R E.Expectations and the neutrality of money[J].Journal of Economic Theory,1972,4(2):103-124.
[27]McCallum B T,Nelson E.Timeless perspectives vs.discretionary monetary policy in forward-looking models[R].NBER Working Paper No.7915,2000.
[28]Muth J F.Rational expectations and the theory of price movements[J].Econometrica,1961,29(3):315-335.
[29]Orphanides A,Williams J C.The decline of activist stabilization policy:Natural rate misperceptions,learning,and expectations[J].Journal of Economic Dynamics and Control,2005,29(11):1927-1950.
[30]Pfajfar D,Zakelj B.Inflation expectations and monetary policy design:Evidence from the laboratory[R].CentER Discussion Paper Series No.2011-091,2011.
[31]Sargent T J,Wallace N.Rational expectations and the theory of economic policy[J].Journal of Monetary Economics,1976,2(2):169-183.
[32]Sargent T J.Bounded rationality in macroeconomics:The Arne Ryde memorial lectures[M].Clarendon Press,1993.
[33]Svensson L E O.Inflation targeting as a monetary policy rule[J].Journal of Monetary Economics,1999,43(3):607-654.
[34]Taylor J B.The role of policy in the great recession and the weak recovery[J].American Economic Review,2014,104(5):61-66.
[35]Woodford M.Optimal interest-rate smoothing[J].The Review of Economic Studies,2003,70(4):861-886.
[36]Woodford M.Inflation targeting and financial stability[R].NBER Working Paper No.17967,2012.
(1)尽管中国处于经济转型期,存在大量的非预期冲击,但是不可否认,经济主体预期的理性程度还不够高。许多研究显示我国是有限理性预期,适应性成分仍比较明显(张蓓,2009;范从来和高洁超,2016)。
(2)本文的异质性预期是指代表性主体的预期中同时包含理性成分和适应性成分,而非不同类型行为主体的预期。
(1)当前,迫于不断升级的中美贸易摩擦,中国货币政策有重回稳健的态势,但毋庸置疑,稳健中性才是货币政策的长期取向。2018年10 月,中国人民银行网站在沟通交流栏目中重申了稳健中性的货币政策取向保持不变。
(1)根据匿名审稿人的意见,采用HP滤波处理数据会存在DSGE模型变量与原始数据不匹配的问题,本文采用一阶差分滤去变量中的时间趋势;此外,还使用GDP平减指数代替CPI进行贝叶斯稳健性估计,所得结果与原文保持了较高的一致性。
(1)由于σ取0时经济总需求方程无法对货币政策制定形成实际约束,为比较需求冲击下货币政策是否采取稳定利率操作带来的经济波动效应变化,取σ=0.001,近似表示不采取稳定利率操作。
[2]卞志村,高洁超.宏观稳定视角的货币政策体制设计研究[J].金融经济学研究,2015,(2):3-14.
[3]卞志村,张义.央行信息披露、实际干预与通胀预期管理[J].经济研究,2012,(12):15-28.
[4]陈彦斌.“十三五”规划纲要关于宏观调控的新思路[N].光明日报,2016-05-04.
[5]程均丽.异质预期下的货币政策:相机还是承诺[J].国际金融研究,2010,(3):18-26.
[6]范从来,高洁超.适应性学习与中国通货膨胀非均衡分析[J].经济研究,2016,(9):17-28.
[7]郭豫媚,陈伟泽,陈彦斌.中国货币政策有效性下降与预期管理研究[J].经济研究,2016,(1):28-41.
[8]郭豫媚,周璇.央行沟通、适应性学习和货币政策有效性[J].经济研究,2018,(4):77-91.
[9][美]卡尔·瓦什.货币理论与政策[M].彭兴韵,曾刚,译.上海:格致出版社,上海三联书店,上海人民出版社,2012.
[10]刘凤良,鲁旭,易信.中国部门间通货膨胀的“均值回复”特征研究--新方法的构建及实证分析[J].管理世界,2012,(9):36-48.
[11]马勇,陈雨露.经济开放度与货币政策有效性:微观基础与实证分析[J].经济研究,2014,(3):35-46.
[12]王国静,田国强.金融冲击和中国经济波动[J].经济研究,2014,(3):20-34.
[13]肖争艳,陈彦斌.中国通货膨胀预期研究:调查数据方法[J].金融研究,2004,(11):1-18.
[14]许志伟,樊海潮,薛鹤翔.公众预期、货币供给与通货膨胀动态--新凯恩斯框架下的异质性预期及其影响[J].经济学(季刊),2015,(4):1211-1234.
[15]杨源源,张晓林,于津平.异质性预期、宏观经济波动与货币政策有效性--来自数量型和价格型工具的双重检验[J].国际金融研究,2017,(9):25-34.
[16]张蓓.我国居民通货膨胀预期的性质及对通货膨胀的影响[J].金融研究,2009,(9):40-54.
[17]Blanchard O J,Fischer S.Lectures on macroeconomics[M].Cambridge MA:The MIT Press,1989.
[18]Branch W A.The theory of rationally heterogeneous expectations:Evidence from survey data on inflation expectations[J].The Economic Journal,2004,114(497):592-621.
[19]Branch W A,Evans G W.Monetary policy and heterogeneous expectations[J].Economic Theory,2011,47(2-3):365-393.
[20]Calvo G A.Staggered prices in a utility-maximizing framework[J].Journal of Monetary Economics,1983,12(3):383-398.
[21]Cowan K,Filardo A,García P,et al.It in financially stable economies:Has it been flexible enough?[R].Documentos de Trabajo,2009.
[22]Evans G W,Honkapohja S.Monetary policy,expectations and commitment[J].The Scandinavian Journal of Economics,2006,108(1):15-38.
[23]Gelain P,Lansing K J,Mendicino C.House prices,credit growth,and excess volatility:Implications for monetary and macroprudential policy[R].Norges Bank Working Paper,2013.
[24]Hommes C H,Massaro D,Weber M.Monetary policy under behavioral expectations:Theory and experiment[R].Bank of Lithuania Working Paper,2015.
[25]Huang K X D,Liu Z,Zha T.Learning,adaptive expectations and technology shocks[J].The Economic Journal,2009,119(536):377-405.
[26]Lucas Jr R E.Expectations and the neutrality of money[J].Journal of Economic Theory,1972,4(2):103-124.
[27]McCallum B T,Nelson E.Timeless perspectives vs.discretionary monetary policy in forward-looking models[R].NBER Working Paper No.7915,2000.
[28]Muth J F.Rational expectations and the theory of price movements[J].Econometrica,1961,29(3):315-335.
[29]Orphanides A,Williams J C.The decline of activist stabilization policy:Natural rate misperceptions,learning,and expectations[J].Journal of Economic Dynamics and Control,2005,29(11):1927-1950.
[30]Pfajfar D,Zakelj B.Inflation expectations and monetary policy design:Evidence from the laboratory[R].CentER Discussion Paper Series No.2011-091,2011.
[31]Sargent T J,Wallace N.Rational expectations and the theory of economic policy[J].Journal of Monetary Economics,1976,2(2):169-183.
[32]Sargent T J.Bounded rationality in macroeconomics:The Arne Ryde memorial lectures[M].Clarendon Press,1993.
[33]Svensson L E O.Inflation targeting as a monetary policy rule[J].Journal of Monetary Economics,1999,43(3):607-654.
[34]Taylor J B.The role of policy in the great recession and the weak recovery[J].American Economic Review,2014,104(5):61-66.
[35]Woodford M.Optimal interest-rate smoothing[J].The Review of Economic Studies,2003,70(4):861-886.
[36]Woodford M.Inflation targeting and financial stability[R].NBER Working Paper No.17967,2012.
(1)尽管中国处于经济转型期,存在大量的非预期冲击,但是不可否认,经济主体预期的理性程度还不够高。许多研究显示我国是有限理性预期,适应性成分仍比较明显(张蓓,2009;范从来和高洁超,2016)。
(2)本文的异质性预期是指代表性主体的预期中同时包含理性成分和适应性成分,而非不同类型行为主体的预期。
(1)当前,迫于不断升级的中美贸易摩擦,中国货币政策有重回稳健的态势,但毋庸置疑,稳健中性才是货币政策的长期取向。2018年10 月,中国人民银行网站在沟通交流栏目中重申了稳健中性的货币政策取向保持不变。
(1)根据匿名审稿人的意见,采用HP滤波处理数据会存在DSGE模型变量与原始数据不匹配的问题,本文采用一阶差分滤去变量中的时间趋势;此外,还使用GDP平减指数代替CPI进行贝叶斯稳健性估计,所得结果与原文保持了较高的一致性。
(1)由于σ取0时经济总需求方程无法对货币政策制定形成实际约束,为比较需求冲击下货币政策是否采取稳定利率操作带来的经济波动效应变化,取σ=0.001,近似表示不采取稳定利率操作。