货币政策对宏观经济的非线性效应研究
发布时间：2019-06-09 23:35
【摘要】：改革开放以来,我国经济已取得世界瞩目的成就,国内生产总值持续高速增长,这种利好现象的出现是诸多因素共同作用的结果,其中货币政策就扮演着重要角色,不过关于货币政策有效性问题一直都未形成统一意见,争论尚在持续,在此大环境下厘清我国货币政策问题有着重要的现实意义。 本文在内生增长理论框架下构建一个包含货币的内生经济增长模型,从而实现从理论上论证货币属性的目的,也就是考察货币供给对经济增长的影响问题,数值模拟表明在稳定状态下货币供给与经济增长之间呈现倒U型关系。为了验证理论分析结果在实际经济中的适应性,我们以中国经济数据为例,运用分位数回归模型进行实证检验,实证结果不仅证明了理论分析与经济实际的一致性,也证明了货币政策效应的稳健性。也就是说,我国货币政策效应并非表现为中性或超中性,而表现为更复杂的倒U型,这就为社会计划者制定实施货币政策提供了约束准绳,应避免过犹不及现象的出现。 随着世界经济一体化程度的不断加深,如果对货币政策的研究仍局限于国内范围的话,研究成果必将饱受质疑,于是研究不同国家市场之间相互依赖和影响的性质问题逐渐演变成学术界一大热点,这其中就涉及货币政策的波动效应研究。为了能够得到更具针对性的研究结论,本文将美国货币政策细化为传统货币政策和量化宽松货币政策,分别从波动效应的存在性检验和强度测算两个方面予以分析,运用虚拟变量刻画量化宽松货币政策的实施情况,并构造F统计量检测传统货币政策对我国宏观经济影响的存在问题,同时引进Gumbel Copula上尾相依系数来检测量化宽松货币政策冲击效应的存在问题。实证结果在证实理论分析合理性的同时进一步证明了我国货币政策效应的稳健性。 研究表明：我国货币政策是有效的,美国货币政策对我国宏观经济产生负的波动效应,鉴于此,为了实现我国经济平稳健康发展,当前社会计划者应重点做好以下三方面工作：继续推动内需经济,加大经济结构调整力度,以增强经济系统的抗冲击能力：继续推行区间货币政策,保持政策实施连续性,以提振市场信心；继续推进正向市场操作,冲销量化宽松后遗症,以稳定市场预期。
[Abstract]:Since the reform and opening up, China's economy has made remarkable achievements in the world, and the gross domestic product (GDP) has continued to grow at a high speed. The emergence of this favorable phenomenon is the result of the joint action of many factors, among which monetary policy plays an important role. However, there has been no unified opinion on the effectiveness of monetary policy, and the debate continues. It is of great practical significance to clarify the issue of monetary policy in China under this environment. Under the framework of endogenic growth theory, this paper constructs an endogenic economic growth model containing money, so as to achieve the purpose of theoretically demonstrating the monetary attribute, that is, to investigate the influence of money supply on economic growth. Numerical simulation shows that there is an inverted U-shaped relationship between money supply and economic growth in a stable state. In order to verify the adaptability of the theoretical analysis results in the actual economy, we take the Chinese economic data as an example and use the quantile regression model to carry on the empirical test. The empirical results not only prove the consistency between the theoretical analysis and the economic reality. It also proves the conservatism of monetary policy effect. That is to say, the effect of monetary policy in our country is not neutral or super-neutral, but more complex inverted U-shaped, which provides a constraint criterion for social planners to formulate and implement monetary policy, and the phenomenon of excessive failure should be avoided. With the deepening of the integration of the world economy, if the study of monetary policy is still limited to the domestic scope, the results of the study will certainly be questioned. Therefore, the study of the nature of interdependence and influence between markets in different countries has gradually evolved into a hot topic in academic circles, which involves the study of the volatility effect of monetary policy. In order to get more targeted research conclusions, this paper refines the monetary policy of the United States into traditional monetary policy and quantitative easing monetary policy, and analyzes the existence test and intensity measurement of fluctuation effect respectively. The virtual variables are used to depict the implementation of quantitative easing monetary policy, and F statistics are constructed to detect the existing problems of the macroeconomic impact of traditional monetary policy in China. At the same time, the upper and end dependence coefficient of Gumbel Copula is introduced to detect the impact effect of quantitative easing monetary policy. The empirical results not only confirm the rationality of the theoretical analysis, but also further prove the conservatism of the monetary policy effect in China. The research shows that the monetary policy of our country is effective, and the monetary policy of the United States has a negative fluctuation effect on the macro economy of our country. In view of this, in order to realize the steady and healthy development of the economy of our country, At present, social planners should focus on the following three aspects: continue to promote the domestic demand economy, increase the intensity of economic structural adjustment, in order to enhance the resilience of the economic system: continue to carry out interval monetary policy, maintain continuity in the implementation of the policy, To boost market confidence; Continue to promote positive market operations, write off the sequelae of quantitative easing, in order to stabilize market expectations.
【学位授予单位】：中国科学技术大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F822.0;F124
本文编号：2495991
[Abstract]:Since the reform and opening up, China's economy has made remarkable achievements in the world, and the gross domestic product (GDP) has continued to grow at a high speed. The emergence of this favorable phenomenon is the result of the joint action of many factors, among which monetary policy plays an important role. However, there has been no unified opinion on the effectiveness of monetary policy, and the debate continues. It is of great practical significance to clarify the issue of monetary policy in China under this environment. Under the framework of endogenic growth theory, this paper constructs an endogenic economic growth model containing money, so as to achieve the purpose of theoretically demonstrating the monetary attribute, that is, to investigate the influence of money supply on economic growth. Numerical simulation shows that there is an inverted U-shaped relationship between money supply and economic growth in a stable state. In order to verify the adaptability of the theoretical analysis results in the actual economy, we take the Chinese economic data as an example and use the quantile regression model to carry on the empirical test. The empirical results not only prove the consistency between the theoretical analysis and the economic reality. It also proves the conservatism of monetary policy effect. That is to say, the effect of monetary policy in our country is not neutral or super-neutral, but more complex inverted U-shaped, which provides a constraint criterion for social planners to formulate and implement monetary policy, and the phenomenon of excessive failure should be avoided. With the deepening of the integration of the world economy, if the study of monetary policy is still limited to the domestic scope, the results of the study will certainly be questioned. Therefore, the study of the nature of interdependence and influence between markets in different countries has gradually evolved into a hot topic in academic circles, which involves the study of the volatility effect of monetary policy. In order to get more targeted research conclusions, this paper refines the monetary policy of the United States into traditional monetary policy and quantitative easing monetary policy, and analyzes the existence test and intensity measurement of fluctuation effect respectively. The virtual variables are used to depict the implementation of quantitative easing monetary policy, and F statistics are constructed to detect the existing problems of the macroeconomic impact of traditional monetary policy in China. At the same time, the upper and end dependence coefficient of Gumbel Copula is introduced to detect the impact effect of quantitative easing monetary policy. The empirical results not only confirm the rationality of the theoretical analysis, but also further prove the conservatism of the monetary policy effect in China. The research shows that the monetary policy of our country is effective, and the monetary policy of the United States has a negative fluctuation effect on the macro economy of our country. In view of this, in order to realize the steady and healthy development of the economy of our country, At present, social planners should focus on the following three aspects: continue to promote the domestic demand economy, increase the intensity of economic structural adjustment, in order to enhance the resilience of the economic system: continue to carry out interval monetary policy, maintain continuity in the implementation of the policy, To boost market confidence; Continue to promote positive market operations, write off the sequelae of quantitative easing, in order to stabilize market expectations.
【学位授予单位】：中国科学技术大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F822.0;F124
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