基于学习机制的利率行为特征与货币政策效果：中国的证据
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摘要
现代宏观经济中,预期有着核心的作用：预期影响着投资、消费等各种决策,是企业、家庭和政策制定者必须要考虑的因素。正是因为预期在宏观经济中的核心作用,使得人们不断关注预期的形成过程和预期对经济波动、政策制定及其效果的影响。货币政策在很大程度上就是管理预期(Svensson,2004),"通货膨胀预期对家庭和厂商的行为来说很重要,货币政策的关键就在于中央银行的决策如何影响这些预期(King,2005)”。因而,考察市场预期形成,关注市场预期变化,分析预期调整的速度成为货币政策相关研究的重要问题。随着理论与经验研究的进展,动态预期形成过程成为研究市场预期形成机制和动态变化的重要渠道。市场参与者通过估计并更新预测模型来形成预期,即学习机制(Learning),为探讨动态预期形成过程提供了新的研究视角。
近年来,我国政府一直强调通胀预期管理,中央银行也希望通过调整货币政策来改变和引导通胀预期。2009年10月国务院常务会议首次提出“管理通胀预期”。2010年和2011年的《政府工作报告》中也强调要“管理通胀预期”。“十二五”规划明确指出,“更加积极稳妥地处理好保持经济平稳较快发展、调整经济结构、管理通胀预期的关系,实现经济增长速度和结构质量效益相统一”。中国人民银行2009年年报中则强调采取多种措施“管理好通货膨胀预期,防止价格总水平过快上涨”：2010年年报中则提出“进一步发挥利率杠杆在调节总需求、管理通胀预期中的作用”。通胀预期管理成为我国宏观经济政策中的核心问题。
从上述理论发展与现实背景可以看出,市场预期及学习行为在经济决策和政策制定过程中有着核心作用,也在货币政策引导和管理通胀预期的过程中有着重要影响。鉴于此,本文将采用中国利率体系的数据基于学习机制分析市场中预期的形成过程、通胀预期的变化,并根据市场中存在的利率典型特征讨论公众和中央银行的学习行为与货币政策效果。这一方面有助于判读市场预期的动态特征,科学认识公众学习的过程,为预期管理提供参考,另一方面则有助于系统分析学习机制在我国货币政策中的应用,对进一步改善货币政策效果具有重要的参考价值。
与现有研究关注通胀预期与通胀的动态关联、公众预期及其导致的货币政策效果问题不同,本文主要考察金融市场中的信息所隐含的预期形成过程及其学习效应。针对市场中公众和中央银行的学习行为,本文主要从市场利率体系出发研究公众的预期形成过程及其学习动态,从利率规则出发研究中央银行的偏好与学习效果,并从中央银行货币政策透明度和可信度的角度讨论了公众预期形成及学习的现实基础。
本文将学习机制应用到我国市场预期的形成、变化和货币政策规则及其效果的分析中。研究内容主要有：
第1章是导论,介绍本文的研究背景与研究意义、研究思路与框架、研究内容与方法以及创新与不足等。
第2章是市场中的预期与学习机制的理论基础与文献综述。
第3章是状态转移下的利率预期与误差学习假说。鉴于利率预期在投资决策中有着重要作用,本文采用线性回归和状态转移模型讨论利率预期的“误差学习假说”和不同期限利率预测误差之间的关联性。分析发现,1年期限的“误差学习假说”在银行间国债市场中是成立的,不同期限的利率预期对预测误差的反应呈现一定的独立性,不同的状态中预测误差和风险溢价对利率预期的影响是不同的,考虑风险溢价有助于提升对利率预期变动的解释。
第4章讨论利率期限结构的预期假说与学习机制解释。考虑到市场预期形成在学习机制中具有核心地位,本文基于货币市场利率数据,结合具有时变性质的结构变点、时变期限溢价模型探讨我国短期利率体系的预期形成状态。研究发现银行同业拆借利率在不同区间存在共同的趋势性,长短期利差对未来短期利率变动的预测存在多个结构变点；不同区间内预期假说基本上被拒绝,时变期限溢价对预期假说检验的影响不大,宏观因素在不同区间的影响不同。模型分析表明,公众对结构变化的学习机制能够解释预期假说检验被拒绝现象。
第5章基于利率期限结构分析市场隐含通胀预期及其学习行为。基于国债市场的利率期限结构,使用水平、斜率与曲度等三个潜在因素与市场中的通货膨胀率,采用BSVAR模型进行估计得到了市场中隐含的通胀预期。结果发现通胀预期与市场中的实际通胀之间满足适应性过程,通胀预期与三个潜在变量和CPI有显著的关联。
进一步,采用时变参数的卡尔曼滤波估计检验了市场预期对实际通胀的无偏性和有效性,结果发现：2005-2008年间我国的通胀预期具有明显的适应性,随着通胀的上升,通胀预期不断加强,市场呈现明显的学习行为。2008-2012年间市场实际通胀的波动和其他信息对通胀的误判严重影响了公众预期形成及其学习效果。通胀上升时,市场预期的信息使用效率不是很高。当市场中通胀明显从持续上升转为持续下降时,市场信息的信号作用更明确,市场预期的学习效果加强,对信息的利用更有效。
第6章在考察我国货币政策利率平滑稳健性的基础上研究央行偏好的非对称和货币政策利率平滑的学习效果。首先,针对利率平滑问题,在综合现有研究和分析中国泰勒规则中利率平滑证据的基础上,考察中国央行实际操作中的利率平滑现象,并基于STR模型验证季度、月度与周度利率的非线性平滑特征。然后,进一步基于双曲正切函数STR模型从央行政策偏好角度采用央行损失函数检验央行对利率平滑的非对称偏好。经验结果显示,中国泰勒规则中存在很明显的利率平滑行为,货币政策实际操作中也一样,序列相关冲击并不影响这一结论。LSTR模型表明市场利率在不同状态上具有一定的可预测性。央行对利率政策的渐进调整具有非对称性的偏好,货币政策惯性呈现非线性的特点。最后,针对利率平滑的存在性分析其学习效果。理论模型分析发现,带有利率平滑的货币政策规则有助于市场理性预期均衡的实现。
第7章基于利率偏离分析中央银行的学习行为及其效果。选择稳健性较好的标准泰勒规则和带有利率平滑的前瞻性泰勒规则为基准,采用卡尔曼滤波和分位数估计分析发现：标准泰勒规则情形中,中央银行对利率偏离在通胀偏离较大、利率偏离较大时有较大的反向调整,央行对利率偏离具有一定的学习反应。利率平滑的存在使得央行的反应具有正的同方向加强的作用,进而导致明显的负的利率偏离。
第8章分析中央银行的预期管理与公众学习的现实基础。市场预期和货币政策的预期管理效果既是本文研究的出发点也是研究的落脚点。本文从货币政策透明度和货币政策可信度两个方面探讨中央银行的预期引导与预期管理,并结合货币政策工具的效果讨论公众学习的现实基础。分析发现,货币政策透明度对于促进经济主体的学习过程,稳定和引导公众的通胀预期,进而提高货币政策的有效性有着至关重要的影响。中央银行的存贷款基准利率调整具有明显的惯性,这对于引导市场预期有重要作用,但快速而频繁的政策调整也给市场带来一定的压力。存款准备金率的调整中存在的宣告日和执行日的时间差对公众预期实施了很好的引导。中央银行采用公开市场操作进行的流动性管理对于市场形成稳定的利率预期、流动性预期具有重要的作用。中国央行的沟通总体作用不大,甚至有负面作用。我国货币政策效果的实现,既保证了经济目标的实现,又为中央银行树立了很好的声誉,这有助于提高公众对中央银行和经济增长的信心,在保证货币政策可信度的同时,为公众的动态预期形成及学习提供了明确的方向。然而,从货币政策工具的具体调整和短期效果看,货币政策存在一些不良效果,影响市场公众的预期学习效果。
第9章是研究的结论与政策建议。
本文分析我国市场利率体系中的预期行为及其学习机制的结论给我国预期管理带来了一些启发：第一,制定投资决策和政策决策时需要充分考虑公众预期的非完全理性和结构变化；第二,货币政策的惯性操作不仅可以体现中央银行的偏好,而且有助于对公众预期的引导并促进公众的学习；第三,中央银行应及时关注利率偏离的变化进而改进政策操作,应更加注重前瞻性,灵活制定政策目标,允许一定程度利率偏离的存在,进而达到货币政策逆周期调整的效果；第四,中央银行需要加强制度化的沟通行为,减少过度频繁操作,采取措施控制货币供应量过快增长。
Expectations play the central role in modern macro economy. Expectations impact the investment' and consume' decisions, and are the factors that must be considered by firms, families and policy-makers. Just because of the central role of expectations, people have continuously forced attentions on the effect of the expectation formation on economy volatility, policy decisions and effects."Monetary policy is to a large extent the management of expectations (Svensson,2004),""because inflation expectations matter to the behavior of the households and firms, the critical aspect of monetary policy is how decisions of the central bank affect those expectations(King,2005)". So, investigating the market expectation formation process, concerning the change of market expectation, and analyzing the adjust speed of expectation have been the important issues in the related studies about monetary policy. Following the development of theory and empirical studies, dynamic expectation formation process has been the major channel to analyze the market expectation formation machine and dynamic changes. Learning, agent formatting expectation by estimating and updating forecasting model, offers a new view to probe into the dynamic expectation formation process.
In the past few years, government in China always emphasized inflation expectation management, and central bank also wanted to guide inflation expectation by changing monetary policy. The State Council routine meeting in2009October first put forward 'manage inflation expectation', Report on the Work of the Government in2010and2011also claims to manage inflation expectation. The Twelfth Five-Year Plan explicitly indicated that people need to well balance the relationship between economic growth, restructure and managing inflation expectancy. The people's bank of China annual report in2009emphasized that taking multiple measures to well manage inflation expectation and to prevent the rapid increase of aggregate price level. The people's bank of China annual report in2010emphasized that future exerting the impact of interest rate leverage on adjusting aggregate demand and managing inflation expectation. Inflation expectation management has been the core problem of macroeconomic policy in China.
Under the background of above-mentioned theories and reality, market expectations and learning have central role in economic decisions and policy-making, and have effects on the process where monetary policy guides and controls inflation expectation. For the reason, this thesis used the data of interest rate system in China, analyzed the formation process and changes of market expectation in the view of learning, and discussed the learning processes of public and central bank. On the one hand, it is conducive to identify the dynamic character of market expectation, and to scientifically understand the learning processes of public for offering reference to expectation management. On the other hand, it is conducive to systematically analyze the implication of learning in monetary policy of China, and it has prominent reference values to further improve the effect of monetary policy.
Different from the existing literatures on the dynamic relevance between inflation expectation and inflation, public expectation and its effect on monetary policy, this thesis major investigates expectation formation process and its learning effect implied in the information in financial market. Aiming at the learning processes of public and central bank in market, this thesis starts from market interest rate system to study the expectation formation process and learning dynamic of public, and starts from interest rate rule to study the preference of central bank and its learning effect. And more, the realistic basis for the expectation formation process and learning dynamic of public is also discussed from the views of monetary policy transparency and credibility.
This thesis applies the learning into the formations and changes of expectations and monetary policy rules. The contents of this study are:
The first chapter is the introduction, introducing the research backgrounds and significances, research ideas and framework, contents and methods of research, innovations and shortages.
The second chapter is the theoretical basis and the literature review of market expectations and learning mechanism.
The third chapter is interest rate expectations and error learning hypothesis under regime shift. While interest rate expectation plays an important role in investment indecision, using linear regression and Markov regime shift model, this paper inspects the error learning hypothesis in interest rate expectation, and analyzes relevance between different expectation errors of interest rate. And more, the role of risk premium is considered. The results show that one year period error learning hypothesis is demonstrated in interbank treasury market. The responds of interest rate expectations in different periods to expectation errors are independent, while expectation errors and risk premium have different effects on interest rate expectations in different states. Considering risk premium is conducive to explain the change of interest rate expectations.
The fourth chapter discusses the expectations hypothesis of the term structure and the interpretation of learning mechanism. Taking into account that market expectation formation has a core role in the learning mechanism, this paper, based on the money market interest rate data, uses the model combined with time-varying nature of the structural break and time-varying term premium, to explore expectation formation of China's short-term interest rates system. Our empirical results show that there are multiple structure breaks in interbank interest rates, and they have the same trend in a subinterval. The Expectations Hypothesis is mostly rejected in these subintervals, and time-varying term premium doesn't have the dominative role, while the macroeconomic factors take different effects in different subintervals. The rejection of expectation hypothesis can be explained by the Bayes rule learning of public about structure change.
The fifth chapter analyzes the market implied inflation expectations and the learning behavior based on the term structure of interest rates. Based on the term structure of the Treasury market, this paper uses three potential factors, the level, slope, and curvature, and inflation in the market, chooses BSVAR model to estimate and receive the inflation expectations implied in the market. The relationship between Inflation expectation implied in the tern structure of interest rate and realistic inflation satisfies adaptive process. Inflation expectations is a significant association with three potential variables and CPI
Further, the Kahnan filter for time-varying parameters is estimated to test the unbiasedness and efficiency of market expectations to actual inflation. The results are follows:In2005-2008, the inflation expectation has obvious adaptability. With the rise in inflation, inflation expectations continue to strengthen, and market has obvious learning effect. In2008-2012, the expectation and learning effect of public has been seriously affected by the volatility of realistic inflation and other information. When inflation is rising, the use of information by market expectation is not very efficient. When Market inflation continued to decline significantly from raising, the signal role of market information is clearer, the learning effect of market expectation has strengthen, and the use of information is even more effective.
Chapter six based on the robustness of China's monetary policy interest rate smoothing examines the asymmetric of central bank preferences and learning effect of central bank interest rate smoothing. First, in response to the interest rate smoothing problem, based on existing researches and the evidences of interest rate smoothing in Taylor Rule of China, this paper inspects the interest rate smoothing in actual actions of central bank, and analyzes the nonlinear smoothing of quarterly, monthly and weekly market interest rate using smooth transition regression (STR) model. And more, from the view of central bank' preference, we use hyperbolic tangent function STR models to study asymmetry of central bank's preference. The results show that there is significant interest rate smoothing in Taylor Rule of China, and also in actual actions of central bank, while serially correlated shocks are important but has no effect on the degree of interest rate smoothing. Logistic STR (LSTR) models testify there is forecast ability of market interest rates in different regimes. Central bank has asymmetric preference in interest rate smoothing and monetary policy inertia exhibits a striking nonlinear trait. Finally, the learning effect is studied for the existence of interest rate smoothing. Theory model analysis shows that the monetary policy with interest rate smoothing is conducive to realize of rational expectation equilibrium.
Chapter Seven studies the learning behavior of the central bank and its effect based on market interest rates deviation from the interest rate rules. Standard Taylor rule and forward-looking Taylor rule with interest rate smoothing which have better robustness has been used as a benchmark.The analysis of Kalman filtering and Quantile estimation found that:In the situation of standard Taylor rule, center bank implements reverse adjusts on interest rate deviation when inflation deviation and interest rate deviation are large, while central bank has learning effect for interest rate deviation. The interest rate smoothing makes the respond of central bank on interest rate deviation to have intensive effect in the same direction, and then result in obvious negative interest rate deviation.
Chapter Eight discusses the expectation management of central bank and reality basis of public learning. Market expectations and monetary policy expected effect are both the starting point of this study and the ultimate goal of the study. This paper explores the central bank's expectation guide and expectation management from the monetary policy transparency and the credibility of monetary policy two aspects, and combined with the effect of monetary policy tools to discuss the reality basis of public learning. The results showed that:Monetary policy transparency has crucial effect on boosting the process of agent learning, steadying and guiding market inflation expectation, and improving monetary policy effectiveness. The adjustment of key lending and deposit rates has obvious inertia. It is useful for guiding market expectation. But, rapid and frequent adjustment pressure market to respond. The adjustments of deposit reserve ratio exists the time difference between Announcement Day and exercise day, which well guides public expectation. Liquidity management through open market operation by central bank has crucial effect on the formation of interest rate expectation and liquidity expectation in market. The total effect of central bank communication is weak, even has negative effect. The realization of monetary policy in China, not only guarantees the realization of economic target, but also builds good reputation of central bank. It is conductive to enhance the confidence of public in central bank and economic growth, and provides specific direction for the dynamic formation of public expectation and learning at the same time of guaranteeing the credibility of central bank. However, from the view of specific adjustment and short-term effect of monetary policy tools, monetary policy has some harmful effect, and then affects the learning effect of public expectation.
Chapter Nine is conclusions and implications of the study.
The result in this thesis which analyzes the expectation in market interest rate system brings some inspirations for expectation management and market institutions building. First, the non-rationality and structure change of public expectation should be considered in investment decision-making and policy decision-making. Second, the inertia operation of monetary policy not only reflects the preference of central bank, but also is conductive to guide public expectation and to promote learning of public. Third, central bank should promptly keep a watchful eye on interest rate deviation to improve policy operation, emphasize forward looking, flexibly set policy target, allow some interest rate deviation to exist, and so to achieve the effect of counter-cyclical adjustment in monetary policy. Fourth, central bank should enhance the conventional communication, reduce frequently excessive operations, and take steps to control the rapid increase of money supply.
近年来,我国政府一直强调通胀预期管理,中央银行也希望通过调整货币政策来改变和引导通胀预期。2009年10月国务院常务会议首次提出“管理通胀预期”。2010年和2011年的《政府工作报告》中也强调要“管理通胀预期”。“十二五”规划明确指出,“更加积极稳妥地处理好保持经济平稳较快发展、调整经济结构、管理通胀预期的关系,实现经济增长速度和结构质量效益相统一”。中国人民银行2009年年报中则强调采取多种措施“管理好通货膨胀预期,防止价格总水平过快上涨”：2010年年报中则提出“进一步发挥利率杠杆在调节总需求、管理通胀预期中的作用”。通胀预期管理成为我国宏观经济政策中的核心问题。
从上述理论发展与现实背景可以看出,市场预期及学习行为在经济决策和政策制定过程中有着核心作用,也在货币政策引导和管理通胀预期的过程中有着重要影响。鉴于此,本文将采用中国利率体系的数据基于学习机制分析市场中预期的形成过程、通胀预期的变化,并根据市场中存在的利率典型特征讨论公众和中央银行的学习行为与货币政策效果。这一方面有助于判读市场预期的动态特征,科学认识公众学习的过程,为预期管理提供参考,另一方面则有助于系统分析学习机制在我国货币政策中的应用,对进一步改善货币政策效果具有重要的参考价值。
与现有研究关注通胀预期与通胀的动态关联、公众预期及其导致的货币政策效果问题不同,本文主要考察金融市场中的信息所隐含的预期形成过程及其学习效应。针对市场中公众和中央银行的学习行为,本文主要从市场利率体系出发研究公众的预期形成过程及其学习动态,从利率规则出发研究中央银行的偏好与学习效果,并从中央银行货币政策透明度和可信度的角度讨论了公众预期形成及学习的现实基础。
本文将学习机制应用到我国市场预期的形成、变化和货币政策规则及其效果的分析中。研究内容主要有：
第1章是导论,介绍本文的研究背景与研究意义、研究思路与框架、研究内容与方法以及创新与不足等。
第2章是市场中的预期与学习机制的理论基础与文献综述。
第3章是状态转移下的利率预期与误差学习假说。鉴于利率预期在投资决策中有着重要作用,本文采用线性回归和状态转移模型讨论利率预期的“误差学习假说”和不同期限利率预测误差之间的关联性。分析发现,1年期限的“误差学习假说”在银行间国债市场中是成立的,不同期限的利率预期对预测误差的反应呈现一定的独立性,不同的状态中预测误差和风险溢价对利率预期的影响是不同的,考虑风险溢价有助于提升对利率预期变动的解释。
第4章讨论利率期限结构的预期假说与学习机制解释。考虑到市场预期形成在学习机制中具有核心地位,本文基于货币市场利率数据,结合具有时变性质的结构变点、时变期限溢价模型探讨我国短期利率体系的预期形成状态。研究发现银行同业拆借利率在不同区间存在共同的趋势性,长短期利差对未来短期利率变动的预测存在多个结构变点；不同区间内预期假说基本上被拒绝,时变期限溢价对预期假说检验的影响不大,宏观因素在不同区间的影响不同。模型分析表明,公众对结构变化的学习机制能够解释预期假说检验被拒绝现象。
第5章基于利率期限结构分析市场隐含通胀预期及其学习行为。基于国债市场的利率期限结构,使用水平、斜率与曲度等三个潜在因素与市场中的通货膨胀率,采用BSVAR模型进行估计得到了市场中隐含的通胀预期。结果发现通胀预期与市场中的实际通胀之间满足适应性过程,通胀预期与三个潜在变量和CPI有显著的关联。
进一步,采用时变参数的卡尔曼滤波估计检验了市场预期对实际通胀的无偏性和有效性,结果发现：2005-2008年间我国的通胀预期具有明显的适应性,随着通胀的上升,通胀预期不断加强,市场呈现明显的学习行为。2008-2012年间市场实际通胀的波动和其他信息对通胀的误判严重影响了公众预期形成及其学习效果。通胀上升时,市场预期的信息使用效率不是很高。当市场中通胀明显从持续上升转为持续下降时,市场信息的信号作用更明确,市场预期的学习效果加强,对信息的利用更有效。
第6章在考察我国货币政策利率平滑稳健性的基础上研究央行偏好的非对称和货币政策利率平滑的学习效果。首先,针对利率平滑问题,在综合现有研究和分析中国泰勒规则中利率平滑证据的基础上,考察中国央行实际操作中的利率平滑现象,并基于STR模型验证季度、月度与周度利率的非线性平滑特征。然后,进一步基于双曲正切函数STR模型从央行政策偏好角度采用央行损失函数检验央行对利率平滑的非对称偏好。经验结果显示,中国泰勒规则中存在很明显的利率平滑行为,货币政策实际操作中也一样,序列相关冲击并不影响这一结论。LSTR模型表明市场利率在不同状态上具有一定的可预测性。央行对利率政策的渐进调整具有非对称性的偏好,货币政策惯性呈现非线性的特点。最后,针对利率平滑的存在性分析其学习效果。理论模型分析发现,带有利率平滑的货币政策规则有助于市场理性预期均衡的实现。
第7章基于利率偏离分析中央银行的学习行为及其效果。选择稳健性较好的标准泰勒规则和带有利率平滑的前瞻性泰勒规则为基准,采用卡尔曼滤波和分位数估计分析发现：标准泰勒规则情形中,中央银行对利率偏离在通胀偏离较大、利率偏离较大时有较大的反向调整,央行对利率偏离具有一定的学习反应。利率平滑的存在使得央行的反应具有正的同方向加强的作用,进而导致明显的负的利率偏离。
第8章分析中央银行的预期管理与公众学习的现实基础。市场预期和货币政策的预期管理效果既是本文研究的出发点也是研究的落脚点。本文从货币政策透明度和货币政策可信度两个方面探讨中央银行的预期引导与预期管理,并结合货币政策工具的效果讨论公众学习的现实基础。分析发现,货币政策透明度对于促进经济主体的学习过程,稳定和引导公众的通胀预期,进而提高货币政策的有效性有着至关重要的影响。中央银行的存贷款基准利率调整具有明显的惯性,这对于引导市场预期有重要作用,但快速而频繁的政策调整也给市场带来一定的压力。存款准备金率的调整中存在的宣告日和执行日的时间差对公众预期实施了很好的引导。中央银行采用公开市场操作进行的流动性管理对于市场形成稳定的利率预期、流动性预期具有重要的作用。中国央行的沟通总体作用不大,甚至有负面作用。我国货币政策效果的实现,既保证了经济目标的实现,又为中央银行树立了很好的声誉,这有助于提高公众对中央银行和经济增长的信心,在保证货币政策可信度的同时,为公众的动态预期形成及学习提供了明确的方向。然而,从货币政策工具的具体调整和短期效果看,货币政策存在一些不良效果,影响市场公众的预期学习效果。
第9章是研究的结论与政策建议。
本文分析我国市场利率体系中的预期行为及其学习机制的结论给我国预期管理带来了一些启发：第一,制定投资决策和政策决策时需要充分考虑公众预期的非完全理性和结构变化；第二,货币政策的惯性操作不仅可以体现中央银行的偏好,而且有助于对公众预期的引导并促进公众的学习；第三,中央银行应及时关注利率偏离的变化进而改进政策操作,应更加注重前瞻性,灵活制定政策目标,允许一定程度利率偏离的存在,进而达到货币政策逆周期调整的效果；第四,中央银行需要加强制度化的沟通行为,减少过度频繁操作,采取措施控制货币供应量过快增长。
Expectations play the central role in modern macro economy. Expectations impact the investment' and consume' decisions, and are the factors that must be considered by firms, families and policy-makers. Just because of the central role of expectations, people have continuously forced attentions on the effect of the expectation formation on economy volatility, policy decisions and effects."Monetary policy is to a large extent the management of expectations (Svensson,2004),""because inflation expectations matter to the behavior of the households and firms, the critical aspect of monetary policy is how decisions of the central bank affect those expectations(King,2005)". So, investigating the market expectation formation process, concerning the change of market expectation, and analyzing the adjust speed of expectation have been the important issues in the related studies about monetary policy. Following the development of theory and empirical studies, dynamic expectation formation process has been the major channel to analyze the market expectation formation machine and dynamic changes. Learning, agent formatting expectation by estimating and updating forecasting model, offers a new view to probe into the dynamic expectation formation process.
In the past few years, government in China always emphasized inflation expectation management, and central bank also wanted to guide inflation expectation by changing monetary policy. The State Council routine meeting in2009October first put forward 'manage inflation expectation', Report on the Work of the Government in2010and2011also claims to manage inflation expectation. The Twelfth Five-Year Plan explicitly indicated that people need to well balance the relationship between economic growth, restructure and managing inflation expectancy. The people's bank of China annual report in2009emphasized that taking multiple measures to well manage inflation expectation and to prevent the rapid increase of aggregate price level. The people's bank of China annual report in2010emphasized that future exerting the impact of interest rate leverage on adjusting aggregate demand and managing inflation expectation. Inflation expectation management has been the core problem of macroeconomic policy in China.
Under the background of above-mentioned theories and reality, market expectations and learning have central role in economic decisions and policy-making, and have effects on the process where monetary policy guides and controls inflation expectation. For the reason, this thesis used the data of interest rate system in China, analyzed the formation process and changes of market expectation in the view of learning, and discussed the learning processes of public and central bank. On the one hand, it is conducive to identify the dynamic character of market expectation, and to scientifically understand the learning processes of public for offering reference to expectation management. On the other hand, it is conducive to systematically analyze the implication of learning in monetary policy of China, and it has prominent reference values to further improve the effect of monetary policy.
Different from the existing literatures on the dynamic relevance between inflation expectation and inflation, public expectation and its effect on monetary policy, this thesis major investigates expectation formation process and its learning effect implied in the information in financial market. Aiming at the learning processes of public and central bank in market, this thesis starts from market interest rate system to study the expectation formation process and learning dynamic of public, and starts from interest rate rule to study the preference of central bank and its learning effect. And more, the realistic basis for the expectation formation process and learning dynamic of public is also discussed from the views of monetary policy transparency and credibility.
This thesis applies the learning into the formations and changes of expectations and monetary policy rules. The contents of this study are:
The first chapter is the introduction, introducing the research backgrounds and significances, research ideas and framework, contents and methods of research, innovations and shortages.
The second chapter is the theoretical basis and the literature review of market expectations and learning mechanism.
The third chapter is interest rate expectations and error learning hypothesis under regime shift. While interest rate expectation plays an important role in investment indecision, using linear regression and Markov regime shift model, this paper inspects the error learning hypothesis in interest rate expectation, and analyzes relevance between different expectation errors of interest rate. And more, the role of risk premium is considered. The results show that one year period error learning hypothesis is demonstrated in interbank treasury market. The responds of interest rate expectations in different periods to expectation errors are independent, while expectation errors and risk premium have different effects on interest rate expectations in different states. Considering risk premium is conducive to explain the change of interest rate expectations.
The fourth chapter discusses the expectations hypothesis of the term structure and the interpretation of learning mechanism. Taking into account that market expectation formation has a core role in the learning mechanism, this paper, based on the money market interest rate data, uses the model combined with time-varying nature of the structural break and time-varying term premium, to explore expectation formation of China's short-term interest rates system. Our empirical results show that there are multiple structure breaks in interbank interest rates, and they have the same trend in a subinterval. The Expectations Hypothesis is mostly rejected in these subintervals, and time-varying term premium doesn't have the dominative role, while the macroeconomic factors take different effects in different subintervals. The rejection of expectation hypothesis can be explained by the Bayes rule learning of public about structure change.
The fifth chapter analyzes the market implied inflation expectations and the learning behavior based on the term structure of interest rates. Based on the term structure of the Treasury market, this paper uses three potential factors, the level, slope, and curvature, and inflation in the market, chooses BSVAR model to estimate and receive the inflation expectations implied in the market. The relationship between Inflation expectation implied in the tern structure of interest rate and realistic inflation satisfies adaptive process. Inflation expectations is a significant association with three potential variables and CPI
Further, the Kahnan filter for time-varying parameters is estimated to test the unbiasedness and efficiency of market expectations to actual inflation. The results are follows:In2005-2008, the inflation expectation has obvious adaptability. With the rise in inflation, inflation expectations continue to strengthen, and market has obvious learning effect. In2008-2012, the expectation and learning effect of public has been seriously affected by the volatility of realistic inflation and other information. When inflation is rising, the use of information by market expectation is not very efficient. When Market inflation continued to decline significantly from raising, the signal role of market information is clearer, the learning effect of market expectation has strengthen, and the use of information is even more effective.
Chapter six based on the robustness of China's monetary policy interest rate smoothing examines the asymmetric of central bank preferences and learning effect of central bank interest rate smoothing. First, in response to the interest rate smoothing problem, based on existing researches and the evidences of interest rate smoothing in Taylor Rule of China, this paper inspects the interest rate smoothing in actual actions of central bank, and analyzes the nonlinear smoothing of quarterly, monthly and weekly market interest rate using smooth transition regression (STR) model. And more, from the view of central bank' preference, we use hyperbolic tangent function STR models to study asymmetry of central bank's preference. The results show that there is significant interest rate smoothing in Taylor Rule of China, and also in actual actions of central bank, while serially correlated shocks are important but has no effect on the degree of interest rate smoothing. Logistic STR (LSTR) models testify there is forecast ability of market interest rates in different regimes. Central bank has asymmetric preference in interest rate smoothing and monetary policy inertia exhibits a striking nonlinear trait. Finally, the learning effect is studied for the existence of interest rate smoothing. Theory model analysis shows that the monetary policy with interest rate smoothing is conducive to realize of rational expectation equilibrium.
Chapter Seven studies the learning behavior of the central bank and its effect based on market interest rates deviation from the interest rate rules. Standard Taylor rule and forward-looking Taylor rule with interest rate smoothing which have better robustness has been used as a benchmark.The analysis of Kalman filtering and Quantile estimation found that:In the situation of standard Taylor rule, center bank implements reverse adjusts on interest rate deviation when inflation deviation and interest rate deviation are large, while central bank has learning effect for interest rate deviation. The interest rate smoothing makes the respond of central bank on interest rate deviation to have intensive effect in the same direction, and then result in obvious negative interest rate deviation.
Chapter Eight discusses the expectation management of central bank and reality basis of public learning. Market expectations and monetary policy expected effect are both the starting point of this study and the ultimate goal of the study. This paper explores the central bank's expectation guide and expectation management from the monetary policy transparency and the credibility of monetary policy two aspects, and combined with the effect of monetary policy tools to discuss the reality basis of public learning. The results showed that:Monetary policy transparency has crucial effect on boosting the process of agent learning, steadying and guiding market inflation expectation, and improving monetary policy effectiveness. The adjustment of key lending and deposit rates has obvious inertia. It is useful for guiding market expectation. But, rapid and frequent adjustment pressure market to respond. The adjustments of deposit reserve ratio exists the time difference between Announcement Day and exercise day, which well guides public expectation. Liquidity management through open market operation by central bank has crucial effect on the formation of interest rate expectation and liquidity expectation in market. The total effect of central bank communication is weak, even has negative effect. The realization of monetary policy in China, not only guarantees the realization of economic target, but also builds good reputation of central bank. It is conductive to enhance the confidence of public in central bank and economic growth, and provides specific direction for the dynamic formation of public expectation and learning at the same time of guaranteeing the credibility of central bank. However, from the view of specific adjustment and short-term effect of monetary policy tools, monetary policy has some harmful effect, and then affects the learning effect of public expectation.
Chapter Nine is conclusions and implications of the study.
The result in this thesis which analyzes the expectation in market interest rate system brings some inspirations for expectation management and market institutions building. First, the non-rationality and structure change of public expectation should be considered in investment decision-making and policy decision-making. Second, the inertia operation of monetary policy not only reflects the preference of central bank, but also is conductive to guide public expectation and to promote learning of public. Third, central bank should promptly keep a watchful eye on interest rate deviation to improve policy operation, emphasize forward looking, flexibly set policy target, allow some interest rate deviation to exist, and so to achieve the effect of counter-cyclical adjustment in monetary policy. Fourth, central bank should enhance the conventional communication, reduce frequently excessive operations, and take steps to control the rapid increase of money supply.
引文
② Svensson, L.E. O.,2004, "Challenges for Monetary Policy", presented at the meeting of the Bellagio Group of the G10, held at the National Bank of Belgium, Brussels, January,26-27.
③ King, M.,2005, "Monetary Policy:Practice Ahead of Theory," Mais Lecture, Cass Business School, City University, London.
① 刘易斯、米曾.货币经济学,北京：经济科学出版社,2008,p187.
① 泰勒.约翰、米切尔.伍德福德,2010,宏观经济学手册,经济科学出版社,p443。
② 根据Sargent(1993)所说的,可行的适应性方法范围很宽泛,除了采用计量或者统计模型这个最常见的方法,采用一般化的预期函数和计算机智能计算也是可行的途径。
③ 泰勒.约翰、米切尔.伍德福德,2010,宏观经济学手册,经济科学出版社,p450。
① Blanchard, O., S Fischer,1989, Lectures on macroeconomics, MIT Press.
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② 见Clarida等(1999)的概括性文章和Woodford (2003a), Walsh(2003), Gali(2008)的书。
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