本文關(guān)鍵詞： 大宗商品價(jià)格指數(shù) 大宗商品 資產(chǎn)價(jià)格 利率政策 最優(yōu)利率規(guī)則　出處：《浙江財(cái)經(jīng)大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：利率政策作為政府宏觀調(diào)控的重要手段在近幾年中被頻繁使用,但隨著經(jīng)濟(jì)社會(huì)的發(fā)展,越來(lái)越多的因素制約著利率政策有效性的發(fā)揮。尤其是近幾十年國(guó)內(nèi)大宗商品市場(chǎng)的飛速發(fā)展,極大改變了微觀經(jīng)濟(jì)主體的資產(chǎn)選擇,并通過(guò)消費(fèi)和生產(chǎn)等環(huán)節(jié),影響著通貨膨脹和經(jīng)濟(jì)增長(zhǎng)。因此本文帶著大宗商品價(jià)格波動(dòng)會(huì)對(duì)利率、通貨膨脹和產(chǎn)出產(chǎn)生怎樣的影響,以及央行利率政策是否能夠?qū)Υ笞谏唐穬r(jià)格波動(dòng)做出合理反應(yīng)的問(wèn)題展開(kāi)了研究。希望通過(guò)建立大宗商品價(jià)格和利率政策之間的合理聯(lián)系,為央行利率政策的制定提供參考依據(jù)。本文首先通過(guò)貨幣政策與資產(chǎn)價(jià)格關(guān)系的文獻(xiàn)綜述。在對(duì)國(guó)內(nèi)外關(guān)于資產(chǎn)價(jià)格和貨幣政策關(guān)系的研究成果進(jìn)行梳理的過(guò)程中,引出了大宗商品價(jià)格與利率政策間需要解決的問(wèn)題;其次,本文對(duì)大宗商品價(jià)格與利率政策進(jìn)行研究。通過(guò)對(duì)已有研究的借鑒和創(chuàng)新,將大宗商品價(jià)格變量引入傳統(tǒng)經(jīng)濟(jì)模型,建立大宗商品價(jià)格和利率政策間的模型關(guān)系,從而推導(dǎo)出適合我國(guó)現(xiàn)階段國(guó)情、考慮大宗商品價(jià)格波動(dòng)因素在內(nèi)的最優(yōu)利率反應(yīng)方程,為利率政策調(diào)控提供理論依據(jù);然后,本文編制大宗商品價(jià)格指數(shù)�？紤]到國(guó)內(nèi)缺乏權(quán)威的大宗商品價(jià)格指數(shù)作為研究對(duì)象,本文依據(jù)現(xiàn)有指數(shù)的編制經(jīng)驗(yàn),通過(guò)篩選最具代表性的商品期貨合約、設(shè)定合理的權(quán)重、選取兼具實(shí)用性和準(zhǔn)確性特點(diǎn)的加權(quán)平均法,編制出了符合本文研究目的的大宗商品價(jià)格指數(shù),以此作為我國(guó)大宗商品價(jià)格的代理變量;接著本文對(duì)大宗商品價(jià)格指數(shù)與利率政策的關(guān)系進(jìn)行實(shí)證。通過(guò)對(duì)利率與大宗商品價(jià)格變動(dòng)、股價(jià)變動(dòng)、房?jī)r(jià)、產(chǎn)出和通貨膨脹之間建立的VAR模型進(jìn)行脈沖響應(yīng)分析和方差分解。由于大宗商品價(jià)格變動(dòng)、股價(jià)變動(dòng)和房?jī)r(jià)的沖擊會(huì)對(duì)通貨膨脹、尤其是產(chǎn)出水平形成較大的影響,從而影響利率政策的實(shí)施效果,為了避免實(shí)體經(jīng)濟(jì)的運(yùn)行因過(guò)大的資產(chǎn)價(jià)格波動(dòng)沖擊嚴(yán)重偏離預(yù)期目標(biāo),利率政策需要針對(duì)以上三種資產(chǎn)的價(jià)格波動(dòng)進(jìn)行適時(shí)調(diào)控,保證實(shí)體經(jīng)濟(jì)在目標(biāo)區(qū)間內(nèi)運(yùn)行。在政策實(shí)施的初期,利率的提高能夠迅速有效的抑制大宗商品價(jià)格變動(dòng)、股價(jià)變動(dòng)和房?jī)r(jià)的上漲。由于大宗商品價(jià)格變動(dòng)、股價(jià)變動(dòng)和房?jī)r(jià)的沖擊也會(huì)對(duì)利率造成影響,所以,在制定利率政策時(shí),需將上述三種資產(chǎn)價(jià)格波動(dòng)對(duì)利率政策的準(zhǔn)確、有效實(shí)施產(chǎn)生的影響考慮在內(nèi)。從本章的實(shí)證研究還可以看出,大宗商品價(jià)格變動(dòng)對(duì)產(chǎn)出、通貨膨脹和利率形成的影響不小于股價(jià)變動(dòng)、房?jī)r(jià)對(duì)其產(chǎn)生的影響。因而,研究最優(yōu)利率政策對(duì)大宗商品價(jià)格的最優(yōu)反應(yīng)系數(shù)具有十分重要的理論和實(shí)踐意義;最后,本文計(jì)算央行應(yīng)對(duì)大宗商品價(jià)格波動(dòng)的最優(yōu)利率規(guī)則。運(yùn)用狀態(tài)空間模型對(duì)時(shí)變的參數(shù)進(jìn)行估計(jì),計(jì)算得到了央行應(yīng)對(duì)大宗商品價(jià)格波動(dòng)的最優(yōu)反應(yīng)系數(shù),量化了大宗商品價(jià)格對(duì)利率政策的影響,為央行的政策制定提供了更易計(jì)量的判斷依據(jù)。本文在四個(gè)方面進(jìn)行了創(chuàng)新:第一,編制適合作為利率政策決策依據(jù)的國(guó)內(nèi)大宗商品價(jià)格指數(shù)。本文通過(guò)篩選最具代表性的商品期貨合約、選取兼具實(shí)用性和準(zhǔn)確性特點(diǎn)的編制方法,編制能為央行判斷中國(guó)大宗商品價(jià)格狀況提供依據(jù)的指數(shù),作為制定利率政策的參考;第二,本文擴(kuò)展創(chuàng)新成熟經(jīng)濟(jì)模型,使其更加符合經(jīng)濟(jì)社會(huì)發(fā)展的現(xiàn)狀。本文推導(dǎo)出適合我國(guó)現(xiàn)階段國(guó)情、考慮大宗商品價(jià)格波動(dòng)因素在內(nèi)的最優(yōu)利率反應(yīng)方程,從而為利率政策調(diào)控提供理論依據(jù);第三,本文測(cè)算了大宗商品的利率政策影響效應(yīng),證明大宗商品價(jià)格已逐漸成為一種非常重要的資產(chǎn)價(jià)格因素對(duì)實(shí)際經(jīng)濟(jì)產(chǎn)生著不容忽視的影響;第四,本文量化了大宗商品價(jià)格與利率政策間的關(guān)系。本文運(yùn)用狀態(tài)空間模型方法估計(jì)出時(shí)變參數(shù),從而計(jì)算出中央銀行應(yīng)對(duì)大宗商品價(jià)格波動(dòng)的最優(yōu)反應(yīng)系數(shù),量化了大宗商品價(jià)格對(duì)利率政策的影響。
[Abstract]:The interest rate policy as an important means of government regulation in recent years are frequently used, but with the development of economy and society, more and more factors restricting the effectiveness of interest rate policy play. Especially in recent years the rapid development of the domestic commodity market, greatly changed the asset selection of micro economic bodies, and by consumption and other aspects of the production, affect the inflation and economic growth. So this paper with the volatility of commodity prices will impact on interest rates, inflation and output, and whether the central bank interest rate policy can make a reasonable response to the commodity price fluctuation are researched. Hope that through the establishment of reasonable relations between commodity prices and interest rate policy and provide reference basis for the central bank's interest rate policy. Firstly, through the literature review the relationship between monetary policy and asset prices. In the process of research on the relationship between asset prices and monetary policy at home and abroad, the commodity price and the interest rate policy needs to solve the problem; secondly, the commodity price and the interest rate policy research. Through the research on the learning and innovation, the commodity price variable into the traditional economy model, establish the relation model between commodity prices and interest rate policy, which is derived for the present stage of our country, considering the commodity price fluctuations, the optimal interest rate reaction equation, and provide a theoretical basis for the interest rate policy; then, the preparation of commodity price index. Considering the lack of domestic authoritative commodity prices index as the research object, based on the existing experience in the preparation by screening index, the most representative of the commodity futures contracts, set reasonable Select the weight, the weighted average method has the practicability and accuracy, worked out in line with the objective of commodity price index, as a proxy variable of China's commodity prices; then the relationship between commodity price index and interest rate policy in empirical research. Through the interest rate and stock price on commodity price changes. Changes in prices, the VAR model is established between the output and inflation of the impulse response analysis and variance decomposition. The commodity price changes, changes in stock prices and house prices will impact on inflation, especially the output level to form a larger impact, thus affecting the effect of interest rate policy, in order to avoid the operation of the real economy by asset price fluctuation the impact of a serious deviation from the expected target, interest rate policy need to price fluctuations for more than three of the assets and timely regulation, guarantee Economy running in the target interval. At the beginning of the implementation of the policy, the interest rate can be improved quickly and effectively inhibit the commodity price changes, changes in stock prices and housing prices. As commodity price changes, price changes and the impact of housing prices will also impact on the interest rate, therefore, in the interest rate policy, the three kinds of asset price fluctuations on the interest rate policy is accurate, effective implementation of considering the impact, from the empirical research. This chapter also can be seen, the commodity price changes on output, inflation and interest rates affect the formation of not less than the price changes, the impact on the production. Therefore, it has very important theoretical and practical significance the optimal reaction coefficient of the optimal interest rate policy on commodity prices; finally, the optimal interest rate rules are calculated in this paper, the central bank to deal with commodity price fluctuations. The use of state space The model parameters of time-varying estimation, the optimal reaction coefficient of the central bank to deal with the volatility of commodity price calculation, the quantitative effect of commodity prices on the interest rate policy, provide a basis for judging easier measurement for the central bank's policy. This paper makes an innovation in four aspects: first, as for the interest rate policy the decision on the basis of domestic commodity price index. This paper selected the most representative commodity futures contracts, select the compilation method of both practicality and accuracy, can provide the basis for the preparation of the index China commodity prices for the central bank to judge, as the interest rate policy reference; second, the expansion of innovation in mature economic model, the it accords with the requirements of economic and social development. In this paper is suitable for China's national conditions, taking into account the factors of commodity price volatility Optimal interest rate reaction equation, which provides a theoretical basis for the interest rate policy; third, the paper estimates the effect of interest rate policy effects of commodities, commodity prices that has gradually become a very important asset price factors have a noticeable impact on the real economy; fourth, we quantify the relationship between commodity prices and interest rate policy the state space model. This paper uses the method to estimate the time-varying parameters, to calculate the optimal reaction coefficient of the central bank to cope with fluctuations in commodity prices, the quantitative effect of commodity prices on the interest rate policy.

【學(xué)位授予單位】：浙江財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F822.0;F726

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