摘要
货币政策是中央银行调整名义变量进而导致真实经济产生变化的宏观调控政策。由于经济结构的差异性，作为总量调控手段的货币政策对不同的经济变量存在不同的影响，并且伴随着经济的运行持续发生作用，中央银行必须对货币政策进行动态优化。
动态优化方法要求必须从经济系统整体出发，将连续的经济看作离散的时间序列，研究决策者在离散的多步决策过程中的最优化问题，选定决策序列以使目标函数取得极值。货币政策动态优化是指央行选择合适的货币政策工具，在经济结构约束条件下设定最优工具值，使得货币政策的收益最大化或者损失最小化。在多步决策过程中经济主体会对经济变量的变动形成预期，中央银行必须在附加预期的经济条件约束下进行决策，世界范围内对此的研究方兴未艾。本文将对这一政策框架内的工具、目标、经济结构和约束条件进行系统研究。
全文分为六章。
第一章论述了货币政策目标和各种操作工具。传统经济学认为目标包括经济增长、充分就业、物价稳定和国际收支平衡，金融理论又添加了金融稳定目标，除了以上五个目标之外，还包括一些在特定经济条件下追求的目标，各目标之间存在一些内在的矛盾。设置中介目标是为了更好地观察最终目标的实现情况。货币政策工具包括数量型和价格型两种，在不同经济条件下中央银行选择使用，同时在特定经济特征还面临单一工具和组合工具的选择问题。本文利用普尔模型对中国货币政策工具的选择做了实证检验，对变量时间序列选择滚动研究的实证方法，对经济的连续性进行了模拟，实证表明数量型和价格型在现阶段中国需要组合使用。
第二章论述了货币政策传导机制。特定经济结构形成特定的货币政策传导机制，这是由于货币在各个市场中的需求弹性不同决定的。传导机制各渠道的不同步性导致经济变量的变化在时间上存在差异，追求不同经济目标的中央银行必须根据货币政策传导机制进行优化。在经济发展变化过程中，传导机制也会不断发生变化，经济条件和金融条件都会对传导机制的变化产生影响。检验和度量货币政策传导机制的方法主要是VAR(向量自回归)方法。本文利用VAR方法对中国货币政策传导机制进行了实证检验，结果显示价格型工具和数量型工具都会产生作用，但作用时间分布存在较大差异；通过信贷渠道的传导更为明显，通过利率渠道的传导呈现逐步强化的趋势。
第三章研究了在各种货币政策规则下如何进行动态优化和调整。根据中介目标设置的货币政策规则是动态优化的前提与约束。固定货币数量规则下货币政策必须根据经济的实际情况来对货币量的增长率进行调整，在预期经济状况约束下按照固定比例提高货币供应量。在名义收入规则，由于在对名义收入进行动态优化和调整时特征方程会出现不稳定情况，此时通胀缺口和产出缺口不会在稳定状态下运行，优化会受到阻碍。在泰勒规则下实施货币政策动态优化应当将产出缺口、通胀缺口的预期值与利率相联系，实施前瞻性的规则。本文利用泰勒规则对中国实际情况进行了实证分析，得出中国目前实施的不是标准泰勒规则，但利率平滑化倾向明显。以预期通货膨胀为中介目标的通胀定标规则根据附加预期的菲利普斯曲线进行调整，本文引入发展中国家的金融深化过程中货币政策工具的组合给予考虑，提出相应的货币政策动态优化方法。
第四章研究经济制度变迁过程中货币政策的优化与调整问题。经济制度是经济条件中的重要一环。首先不同的资源配置路径会导致经济条件状况存在差异，货币政策传导机制不同：其次制度变迁还具有路径依赖，初始状况会内生地反映在变迁路径中。发展中国家在发展初期受制于内部供需不足，普遍通过压低利率和汇率以发展外向型经济，货币政策优化工具的选择范围受到局限，在货币政策目标改变之前，对利率和汇率在特定约束条件下的优化原则是主动性、可控性和渐进性。在利率自由化过程中选择渐进性路径，实现利率平滑化：在开放经济环境中，受到追求稳定低水平汇率的目标约束，汇率市场化也选择渐进路径，以人民币为例，本文利用博弈理论对汇率工具进行动态优化，提出汇率形成路径的优化模型。
第五章研究了特定经济条件下的货币政策动态优化存在的限制及对策。本文研究了流动性陷阱的产生机理，提出在长期追求稳定真实利率、追求低水平名义利率和通胀预期的条件下会形成流动性陷阱。对于采取金融压制的国家，陷入流动性陷阱存在很大的可能性。逃离流动性陷阱的一揽子方法不仅要着眼于针对名义变量的调整，比如对名义利率、汇率、价格水平等的调整，还应对真实变量进行相应的调整，包括调整经济结构、实施财政政策等。
第六章针对中性货币政策进行了系统研究。中性货币政策的前提是中央银行改变利己主义的指导思想，不再追求通过货币政策干预真实经济，而是采取使自然利率与真实利率相等的利他主义指导。中性货币政策工具的动态优化方法采取同向小幅、连续调整，工具的调整跟随真实经济的变动进行。由于目前中国在指导思想、最终目标、信誉基础、行动顺序和信息环境方面还存在不足，现阶段尚不适合采用中性货币政策。
货币政策动态优化是近年来货币政策理论中的最新研究，目前系统性的研究还很欠缺，其中课题众多而艰深，由于本人水平有限，难免挂一漏万。文中大多经济模型是在学术前辈的成果基础上加入自己的独立思考得来，也有些独立构建的模型，虽然可能不太成熟，却也反映了笔者数年在某些观点、研究方法上的点滴思考，勉强算作创新了。
The monetary policy is the macro policy that the central bank can administrate the real economic through adjusting namely variable. Because of the divergence of economical structure, monetary policy, as an instrument to control macro-economic, can cause different influence to the different economy. Monetary policy keeps on taking place accompany with the economy movement, the central bank must carry on the dynamic optimizal monetary policy.
Using dynamic optimization must set out from the whole economic system. The policy maker must take the continuous economy as discontinuous time-list, and make selection into the multi-step programme. Dynamic optimal monetary policy is the best fit instrument to pursuit the maximum profit or minimum loss under the binding condition of economic instructure. It is true that economic unit will format their expectation in the multi-step programme, the central bank must make selection under this expectation. The research into the world is just unfolding. This text will carry on the system research to the tool, target, economic structure and restraint in the dynamic optimal monetary policy frame.
The paper is made up of six chapters.
Chapter 1 describes the monetary policy target and various operation tools. The classic economics thinks that the target includes economy growth, full employment, commodity price, and international balanced budget. Financial theories increase the financial stable target from practice and theries angle. In addition to above five targets, there are some targets under the particular condition. It is benefit to establish some intertarget. The monetary policy tools include the quantity tools and price tools. The central bank selects to use them under different economic condition. I use the Pool Model to examine the applicability of different Chinese monetary policy tools. The conclusion is that quantity tools and price tools need to be made up.
Chapter 2 is about the monetary policy transmission mechanism. Because of the difference of elastic of currency in each market, there are particular monetary policy transmission mechanisms to fit for the particular economic structure. The central bank that pursues the different economic target must optimal their policy according to the mechanism. Monetary policy transmission mechanism will change as the economic conditions change. The main method to measure mechanism is the method of VAR. In this text I use the method of VAR to measure Chinese monetary policy transmission mechanism. The conclusion is that both price tools and quantity tools are effective but have time-lag difference. Credit channel is more obvious, and interest rate channel has the trend to enhance gradually.
Chapter 3 discuss how to optimal monetary policy under different monetary rules. Under the fixed monetary growth rule, the central bank must change the growth rate according to the actual conditions. Under the namely income rule, the inflation gap and output gap will be unstable. Under the Taylor's rule, the optimal monetary policy should be link the expectation of inflation gap and output gap with interest rate. In this paper, I examine the applicability of the Taylor's rule in China and find that Chinese central bank does not use the standard Taylor's rule but pursues the interest rate smoothly. Under the inflating target rule, the central bank adjust the monetary tools according to different between the real inflation rate and it's target. That is, it is important that there has considerable relation between tools and real economy. This paper studies how to use the tool combination into the financial deeply of developing countries.
In chapter 4, I will discuss optimal monetary policy under regime switching. First, the path of resource dispose will influence the economic structure. Next, there is the path dependence effect under regime switching. In developing countries, finance restrain is a widespread phenomenon that means lower interest rate and lower exchange rate. This paper will provide a framework about how to conduct monetary policy under financial deepening.
Chapter 5 investigates how to conduct monetary policy in an economy with near-zero nominal interest rates, that is named liquidity trap. Once economy is in liquidity trap, the central bank will be restrained to conduct interest rate for improving economy. This paper studies the cause of liquidity trap, and suggests how to escape from liquidity trap.
Chapter 6 is about the neutral monetary policy. The premise of the neutral monetary policy is altruism other than egoism. The dynamic optimal monetary policy under this framework that pursues natural interest rate equal real interest rate will be conducted small and continue. Because our country has some shortcomings, so it is not suitable for adopting this framework.
Dynamic optimal monetary policy is the latest research in recent years. The system research still lacks very much, and topic of that is numerous and abstruse. Limited by my level, it is hard to avoid for one thing cited. Mostly model in this paper is established on the achievements of the academic elder. Some models that set up independently, although probably not so mature, they reflect my view and my research method in recent years.
引文
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104 K.Kopecky 和 D.Vanhoose, 2004, A Model of the Monetary Sector with and without Binding Capital Requirements, Journal of Banking and Finance。
105 参见 V.Anjan, 1996, Capital Requirements, Monetary Policy, and Aggregate Bank Lending: Theory and Empirical Evidence。
106 参见 B.Holmstrom 和 J.Tirole, 1997, Financial Intermediation, Loanable Funds and the Real Sector, Quarterly Journal of Economics V112:663-91。
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