基于历史信息锚定预期形成机制的货币政策有效性
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摘要
文章首先通过数理模型探讨了历史信息锚定预期对最优相机抉择和规则货币政策的制定和政策有效性的影响,然后结合数值模拟比较分析了历史通胀信息外生给定和内生政策决定两种情况下,两种类型的最优货币政策和无货币政策情况下的社会福利.研究结果表明:从平均意义上看,历史信息锚定的存在在历史通胀较小的情况下会提高最优相机抉择货币政策的有效性,但会削弱规则货币政策的有效性.从一期政策有效性来看,货币政策实行即使在价格灵活调整的情况下也总是有效的,并且不管锚定程度如何,规则的货币政策有效性要略大于相机抉择货币政策的有效性.但从多期政策有效性看,如果存在跨期历史信息锚定,针对供给冲击实行的货币政策,政策有效性在一期提升社会福季利后,会产生后续持久的负效应,中央银行的货币政策制定应避免陷入政策自我实现的通胀预期陷阱.
The paper first discussed the influences of the historical information anchoring on the optimal discretionary monetary policy and monetary policy rule. Then, combined with the method of numerical simulation, it compared the social welfare of two kinds of optimal monetary policy and non-monetary policy in two cases — the historical inflation information is exogenously given or endogenously determined by the policy decision. The results showed that, on the average, the existence of the historical information anchoring will improve the effectiveness of the optimal discretionary monetary policy on the condition of low historical inflation, but weakens the effectiveness of the monetary policy rule. In view of oneperiod policy effectiveness, the monetary policy is effective even under the condition of flexible price adjustment. Regardless of the anchoring degree, the monetary policy rule is more effective than the optimal discretionary monetary policy. But in view of multi-period policy effectiveness, if the inter-temporal information anchoring exists, the monetary policy will give birth to sustained negative effect after improving social welfare in the first period. It is necessary to avoid the expectation trap of the policy self-fulfillment when the central bank wants to implement a monetary policy.
The paper first discussed the influences of the historical information anchoring on the optimal discretionary monetary policy and monetary policy rule. Then, combined with the method of numerical simulation, it compared the social welfare of two kinds of optimal monetary policy and non-monetary policy in two cases — the historical inflation information is exogenously given or endogenously determined by the policy decision. The results showed that, on the average, the existence of the historical information anchoring will improve the effectiveness of the optimal discretionary monetary policy on the condition of low historical inflation, but weakens the effectiveness of the monetary policy rule. In view of oneperiod policy effectiveness, the monetary policy is effective even under the condition of flexible price adjustment. Regardless of the anchoring degree, the monetary policy rule is more effective than the optimal discretionary monetary policy. But in view of multi-period policy effectiveness, if the inter-temporal information anchoring exists, the monetary policy will give birth to sustained negative effect after improving social welfare in the first period. It is necessary to avoid the expectation trap of the policy self-fulfillment when the central bank wants to implement a monetary policy.
引文
[1]Lucas R E.Expectations and the neutrality of money[J].Journal of Economic Theory,1972,4(2):103-124.
[2]Lucas R E.Some international evidence on output-inflation tradeoffs[J].The American Economic Review,1973,63(3):326-334.
[3]Sargent T J,Wallace N.“Rational”expectations,the optimal monetary instrument,and the optimal money supply rule[J].Journal of Political Economy,1975,83(2):241-254.
[4]Barro R J.Rational expectations and the role of monetary policy[J].Journal of Monetary Economics,1976,2(1):1-32.
[5]凯恩斯.就业,利息与货币通论[M].陆梦龙,译.北京:中国社会科学出版社,2009:104-193.Keynes M J.The general theory of employment,interest and money[M].Beijing:China Social Sciences Press,2009:104-193.
[6]Cagan P.The monetary dynamics of hyperinflation[M]//Friedman M.Studies in the Quantity Theory of Money.Chicago:University of Chicago Press,1956.
[7]Nerlove M.Adaptive expectations and cobweb phenomena[J].The Quarterly Journal of Economics,1958,72(2):227-240.
[8]Muth J F.Rational expectations and the theory of price movements[J].Econometrica,1961,29(3):315-335.
[9]Taylor J B.Staggered wage setting in a macro model[J].The American Economic Review,1979,69(2):108-113.
[10]Calvo G A.Staggered prices in a utility-maximizing framework[J].Journal of Monetary Economics,1983,12(3):983-998.
[11]Clarida R C,GalíJ,Gertler M.The science of monetary policy:A new Keynesian perspective[J].Journal of Economic Literature,1999,37(12):1661-1707.
[12]Erceg C J,Henderson D,Levin A T.Optimal monetary policy with staggered wage and price contracts[J].Journal of Monetary Economics,2000,46(2):281-313.
[13]Orphanides A,Williams J C.Learning,expectation formation,and the pitfalls of optimal control monetary policy[J].Journal of Monetary Economics,2008,55:80-96.
[14]Milani F.Expectation shocks and learning as drivers of the business cycle[J].Economic Journal,2011,121(552):379-401.
[15]Eusepi S,Bruce P.Expectations,learning and business cycle fluctuations[J].American Economic Review,2011,101(6):2844-2872.
[16]Evans G W,Honkapohja S.Policy interaction,expectations and the liquidity trap[J].Review of Economic Dynamics,2005,8(2):303-323.
[17]Evans G W,Honkapohja S.Liquidity traps,learning and stagnation[J].European Economic Review,2008,52(8):1438-1463.
[18]徐亚平.通货膨胀预期形成的模型刻画及其与货币政策的关联性[J].金融研究,2010(9):19-33.Xu Y P.The characterization of the formation of inflation expectation and its relevance to monetary policy[J].Journal of Financial Research,2010(9):19-33.
[19]许志伟,樊海潮,薛鹤翔.公众预期,货币供给与通货膨胀动态一一新凯恩斯框架下的异质性预期及其影响[J].经济学(季刊),2015,14(4):1211-1234.Xu Z W,Fan H C,Xue H X.Pubic expectation,money supply and inflation dynamics[J].China Economic Quarterly,2015,14(4):1211-1234.
[20]姚余栋,谭海鸣.通胀预期管理和货币政策——基于“新共识”宏观经济模型的分析[J].经济研究,2013(6):45-57.Yao Y D,Tan H M.Inflation expectation management and monetary policy:Analysis based on the“new consensus”macroeconomic model[J].Economic Research Journal,2013(6):45-57.
[21]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(7):32-46.Bian Z C,Gao J C.Adaptive learning,macroeconomic expectation and the optimal monetary policy in China[J].Economic Research Journal,2014(7):32-46.
[22]黄正新,黄金波.中国通货膨胀预期陷阱研究[J].经济研究,2014(11):31-42.Huang Z X,Huang J B.A study on inflation expectation traps in China[J].Economic Research Journal,2014(11):31-42.
[23]Tversky A,Kahneman D.Judgment under uncertainty:Heuristics and biases[J].Science,1974,185(4157):1124-1131.
[24]Wilson T D,Houston C E,Etling K M,et al.A new look at anchoring effects:Basic anchoring and its antecedents[J].Journal of Experimental Psychology,1996,125(4):387-402.
[25]Englich B,Soder K.Moody experts—How mood and expertise influence judgmental anchoring[J].Judgmental and Decision Making,2009,4(1):41-50.
[26]Wegener D T,Petty R E,Blankenship K L,et al.Elaboration and numerical anchoring:Implications of attitude theories for consumer judgment and decision making[J].Journal of Consumer Psychology,2010,20(1):5-16.
[27]Kahneman D,Tversky A.Prospect theory:An analysis of decision under risk[J].Econometrica,1979,47(2):263-292.
[28]Koszegi B,Rabin M.A model of reference-dependent preferences[J].Quarterly Journal of Economics,2006,121(4):1133-1165.
[29]Yogo M.Asset prices under habit formation and reference-dependent preferences[J].Journal of Business&Economic Statistics,2008,26(2):131-143.
[30]Zhang M,Zheng J.A robust reference-dependent model for speculative bubbles[J].Journal of Economic Behavior&Organization,2017,137:232-258.
[31]Santoro E,Petrella I,Pfajfar D,et al.Loss aversion and the asymmetric transmission of monetary policy[J].Journal of Monetary Economics,2014,68(1):19-36.
[32]Galinsky A D,Mussweiler T.First offers as anchors:The role of perspective-taking and negotiator focus[J].Journal of Personality and Social Psychology,2001,81(4):657-669.
[33]Wolk A,Spann M.The effects of reference prices on bidding behavior in interactive pricing mechanisms[J].Journal of Interactive Marketing,2008,22(4):2-18.
[34]王书平,邝雄,郑春梅.锚定心理影响期货市场价格的数理模型[J].系统工程理论与实践,2012,32(3):614-620.Wang S P,Kuang X,Zheng C M.Mathematical model about the impact of the anchoring psychology on futures market price[J].Systems Engineering—Theory&Practice,2012,32(3):614-620.
[35]陈蓉,陈焕华,郑振龙.动量效应的行为金融学解释[J].系统工程理论与实践,2014,34(3):613-622.Chen R,Chen H H,Zheng Z L.Behavioral finance interpretation of momentum effect[J].Systems Engineering-Theory&Practice,2014,34(3):613-622.
[36]肖本华.我国通货膨胀预期中的锚定效应研究[J].山西财经大学学报,2008,30(7):23-29.Xiao B H.A study on anchoring effect for inflation expectation[J].Journal of Shanxi Finance and Economics University,2008,30(7):23-29.
[37]邝雄,孙强.信息锚定的预期形成机制与通胀目标制的政策有效性[J].投资研究,2015,34(4):34-45.Kuang X,Sun Q.The formation mechanism of expectation based on the information anchoring and the policy effectiveness of the inflation targeting[J].Review of Investment Studies,2015,34(4):34-45.
[38]Barro R J,Gordon D B.A positive theory of monetary policy in a natural rate model[J].The Journal of Political Economy,1983,91(4):589-610.
[39]Barro R J,Gordon D B.Rules,discretion and reputation in a model of monetary policy[J].Journal of Monetary Economics,1983,12(1):101-121.
[40]Walsh E C.Monetary theory and policy[M].3rd ed.Cambridge:The MIT Press,2010:269-283.
[41]Chari V V,Christiano L J,Eichenbaum M.Expectation traps and discretion[J].Journal of Economic Theory,1998,81(2):462-492.
1.由于稳健性检验结果太多,出于篇幅考虑,这里不再一一列出,模拟程序和稳健性检验结果如感兴趣可向作者索取.
[2]Lucas R E.Some international evidence on output-inflation tradeoffs[J].The American Economic Review,1973,63(3):326-334.
[3]Sargent T J,Wallace N.“Rational”expectations,the optimal monetary instrument,and the optimal money supply rule[J].Journal of Political Economy,1975,83(2):241-254.
[4]Barro R J.Rational expectations and the role of monetary policy[J].Journal of Monetary Economics,1976,2(1):1-32.
[5]凯恩斯.就业,利息与货币通论[M].陆梦龙,译.北京:中国社会科学出版社,2009:104-193.Keynes M J.The general theory of employment,interest and money[M].Beijing:China Social Sciences Press,2009:104-193.
[6]Cagan P.The monetary dynamics of hyperinflation[M]//Friedman M.Studies in the Quantity Theory of Money.Chicago:University of Chicago Press,1956.
[7]Nerlove M.Adaptive expectations and cobweb phenomena[J].The Quarterly Journal of Economics,1958,72(2):227-240.
[8]Muth J F.Rational expectations and the theory of price movements[J].Econometrica,1961,29(3):315-335.
[9]Taylor J B.Staggered wage setting in a macro model[J].The American Economic Review,1979,69(2):108-113.
[10]Calvo G A.Staggered prices in a utility-maximizing framework[J].Journal of Monetary Economics,1983,12(3):983-998.
[11]Clarida R C,GalíJ,Gertler M.The science of monetary policy:A new Keynesian perspective[J].Journal of Economic Literature,1999,37(12):1661-1707.
[12]Erceg C J,Henderson D,Levin A T.Optimal monetary policy with staggered wage and price contracts[J].Journal of Monetary Economics,2000,46(2):281-313.
[13]Orphanides A,Williams J C.Learning,expectation formation,and the pitfalls of optimal control monetary policy[J].Journal of Monetary Economics,2008,55:80-96.
[14]Milani F.Expectation shocks and learning as drivers of the business cycle[J].Economic Journal,2011,121(552):379-401.
[15]Eusepi S,Bruce P.Expectations,learning and business cycle fluctuations[J].American Economic Review,2011,101(6):2844-2872.
[16]Evans G W,Honkapohja S.Policy interaction,expectations and the liquidity trap[J].Review of Economic Dynamics,2005,8(2):303-323.
[17]Evans G W,Honkapohja S.Liquidity traps,learning and stagnation[J].European Economic Review,2008,52(8):1438-1463.
[18]徐亚平.通货膨胀预期形成的模型刻画及其与货币政策的关联性[J].金融研究,2010(9):19-33.Xu Y P.The characterization of the formation of inflation expectation and its relevance to monetary policy[J].Journal of Financial Research,2010(9):19-33.
[19]许志伟,樊海潮,薛鹤翔.公众预期,货币供给与通货膨胀动态一一新凯恩斯框架下的异质性预期及其影响[J].经济学(季刊),2015,14(4):1211-1234.Xu Z W,Fan H C,Xue H X.Pubic expectation,money supply and inflation dynamics[J].China Economic Quarterly,2015,14(4):1211-1234.
[20]姚余栋,谭海鸣.通胀预期管理和货币政策——基于“新共识”宏观经济模型的分析[J].经济研究,2013(6):45-57.Yao Y D,Tan H M.Inflation expectation management and monetary policy:Analysis based on the“new consensus”macroeconomic model[J].Economic Research Journal,2013(6):45-57.
[21]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(7):32-46.Bian Z C,Gao J C.Adaptive learning,macroeconomic expectation and the optimal monetary policy in China[J].Economic Research Journal,2014(7):32-46.
[22]黄正新,黄金波.中国通货膨胀预期陷阱研究[J].经济研究,2014(11):31-42.Huang Z X,Huang J B.A study on inflation expectation traps in China[J].Economic Research Journal,2014(11):31-42.
[23]Tversky A,Kahneman D.Judgment under uncertainty:Heuristics and biases[J].Science,1974,185(4157):1124-1131.
[24]Wilson T D,Houston C E,Etling K M,et al.A new look at anchoring effects:Basic anchoring and its antecedents[J].Journal of Experimental Psychology,1996,125(4):387-402.
[25]Englich B,Soder K.Moody experts—How mood and expertise influence judgmental anchoring[J].Judgmental and Decision Making,2009,4(1):41-50.
[26]Wegener D T,Petty R E,Blankenship K L,et al.Elaboration and numerical anchoring:Implications of attitude theories for consumer judgment and decision making[J].Journal of Consumer Psychology,2010,20(1):5-16.
[27]Kahneman D,Tversky A.Prospect theory:An analysis of decision under risk[J].Econometrica,1979,47(2):263-292.
[28]Koszegi B,Rabin M.A model of reference-dependent preferences[J].Quarterly Journal of Economics,2006,121(4):1133-1165.
[29]Yogo M.Asset prices under habit formation and reference-dependent preferences[J].Journal of Business&Economic Statistics,2008,26(2):131-143.
[30]Zhang M,Zheng J.A robust reference-dependent model for speculative bubbles[J].Journal of Economic Behavior&Organization,2017,137:232-258.
[31]Santoro E,Petrella I,Pfajfar D,et al.Loss aversion and the asymmetric transmission of monetary policy[J].Journal of Monetary Economics,2014,68(1):19-36.
[32]Galinsky A D,Mussweiler T.First offers as anchors:The role of perspective-taking and negotiator focus[J].Journal of Personality and Social Psychology,2001,81(4):657-669.
[33]Wolk A,Spann M.The effects of reference prices on bidding behavior in interactive pricing mechanisms[J].Journal of Interactive Marketing,2008,22(4):2-18.
[34]王书平,邝雄,郑春梅.锚定心理影响期货市场价格的数理模型[J].系统工程理论与实践,2012,32(3):614-620.Wang S P,Kuang X,Zheng C M.Mathematical model about the impact of the anchoring psychology on futures market price[J].Systems Engineering—Theory&Practice,2012,32(3):614-620.
[35]陈蓉,陈焕华,郑振龙.动量效应的行为金融学解释[J].系统工程理论与实践,2014,34(3):613-622.Chen R,Chen H H,Zheng Z L.Behavioral finance interpretation of momentum effect[J].Systems Engineering-Theory&Practice,2014,34(3):613-622.
[36]肖本华.我国通货膨胀预期中的锚定效应研究[J].山西财经大学学报,2008,30(7):23-29.Xiao B H.A study on anchoring effect for inflation expectation[J].Journal of Shanxi Finance and Economics University,2008,30(7):23-29.
[37]邝雄,孙强.信息锚定的预期形成机制与通胀目标制的政策有效性[J].投资研究,2015,34(4):34-45.Kuang X,Sun Q.The formation mechanism of expectation based on the information anchoring and the policy effectiveness of the inflation targeting[J].Review of Investment Studies,2015,34(4):34-45.
[38]Barro R J,Gordon D B.A positive theory of monetary policy in a natural rate model[J].The Journal of Political Economy,1983,91(4):589-610.
[39]Barro R J,Gordon D B.Rules,discretion and reputation in a model of monetary policy[J].Journal of Monetary Economics,1983,12(1):101-121.
[40]Walsh E C.Monetary theory and policy[M].3rd ed.Cambridge:The MIT Press,2010:269-283.
[41]Chari V V,Christiano L J,Eichenbaum M.Expectation traps and discretion[J].Journal of Economic Theory,1998,81(2):462-492.
1.由于稳健性检验结果太多,出于篇幅考虑,这里不再一一列出,模拟程序和稳健性检验结果如感兴趣可向作者索取.