人民币汇率政策信誉分析(1)

3,,,,,,,19921993199419971998,,,KydlandPrescott(1977),,,,(BlackburnandChristensen,1989)BarroGordon(1983a,1983b),,,(GiavazziandPagano,1988)()(HornandPersson,1988)916500233:300013:021-65609446:[e-mail],,,;©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,(),(),,,?Christensen(1987)Kremers(1990)-Baxter(1985)2070Weber(1991),AgenorMasson(1999)1994,,,,:,,1994,,,,,(monetaryaggregates),,,,()51:(GDP),,2:(d),,,0,,3:,,()4:,,pt+1pt=Et{pt+1pt}(1)P,,5:,,02650023,©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.ln(Mt)-ln(Pt)=ln(Yt)+-Et{et+1et}(2)Mt/,YtGDP,1,(M/PY),(2),,,()Barro(1986),,,:(),,;(),,,,,,,t+1dt+1:Ebt{et+1et}=dt+1(3)b,e,(GDP2),,,dt+1:Ebt{Pt+1Pt}=dt+1(4),,,,,,,,,:1.,,Est{Pt+1Pt}=PtPt-1(5)s2.:Est{Pt+1P3t+1et+1}=P0P30e0(6)p3,0,12650023Cagan(1956)©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,,,3.,,,Est{et+1et}=(PtP0)(PtPt-1)(ete0)-1(7),(),Et{Pt+1Pt}=tEbt{Pt+1Pt}+(1-t)Est{Pt+1Pt}(8)Et{et+1et}=tEbt{et+1et}+(1-t)Est{et+1et}(9)t,1-tDrazenMasson(1993)Masson(1995),,:,(reputation)(credibility),AgenorTaylor(1992),(characteristics),,(backward-looking);(),(forward-looking),(,2004),1,;0,;01;1,;0,()11,,0,,,d,Pt+1Pt=et+1et=Ebt{Pt+1Pt}=Est{Pt+1Pt}=Ebt{et+1et}=Est{et+1et}=Mt+1Mt=d(10)22650023GDP©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.t21,100%,00%,10%,10%(6)0,,,(2),kexp()31,100%,0,1100%1,100%,,,41,BackusDriffill(1985),,,,1,1994,,,,,,:(1);(2);(3)1994,,1995,2004,8.27,(defactodollarpeg)(),,,,:,,,(2),326500231994,,,,0.3%,1%1994,(managedfloating),IMF,1999IMF,©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.ln(Mt)-ln(Pt)-ln(Yt)=-Et{et+1et}(11)ln(Mt/PtYt)=ln(kt)=-Et{et+1et}(12)(M/PY),k,k0(),(GDP),:=ln{[MPY]max}=ln(kmax)(13)kmaxkM/PY19941.9,1.9(12)0.6395,,k0,dh,,kh,:ln(kh)=-dh(14),50%,1.65,1%,:=ln(kmax)-ln(kh)dh(15)ln(kmax),dh199424.1%,19941.005,(15)2.6331%,2.633%,(12)(1),,,,,(9)Et{et+1et},,,,,,,1994,,,(1),,Est{et+1et}42650023,,,,,GDP,GDP©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,,1994,,0,Ebt{et+1et}=01(%)M2/GDP(k)ln(k)(%)1-19935.7625.76201.0110.01090.238819948.6197.3220.17711.0050.00500.24101.361-0.36119958.3516.3850.30791.0380.03760.22860.7420.25819968.3146.0760.36821.1140.10760.20200.5490.45119978.2906.1140.35581.2150.19470.16890.4750.52519988.2796.3110.31161.3230.27970.13670.4390.56119998.2786.5570.26231.4500.37170.10170.3880.61220008.2796.6930.23681.5060.40970.08730.3690.63120018.2776.7990.21721.6050.47330.06310.2910.70920028.2776.9770.18621.8070.59150.01820.0980.90220038.2776.9930.18361.8960.63951.13E-076.14E-070.999:1993,GDP,;(12):IMF.InternationalFinancialStatistics(9),111994,,19971998,,20031,1(),,,(BarroandGordon,1983a;Barro,1986);,(Agenor,1994),(inflationbias)(devaluationbias),199411,,GiavazziPagano(1988),52650023©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,,1994,,1998,1994,,,(),19982002,,199424.1%1998-0.8%,21Agenor(1994),,,,,1994,1997,,,(,),3.BarroGordon(1983a,1983b)Barro(1986);,(GiavazziandPagano,1988),()1994,,199412.7%19977%,,,()2000,,,,,(Svensson,1994)(),1994,11(Barro,1986),,,,,1994,19971998,,62650023(1999)©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,,21(2003):;;;,,31,,,,,,,,,,,,,,:,,,;,,,,,,,,,,,,,,:(2003):,5(2003):,9(1999):,(2004):,(2004)::,1-2(2002):19492000,Agenor,Pierre-RichardandTaylor,MarkP.TestingforCredibilityEffects.IMFStaffPapers,39(3),1992,pp.545-571.Agenor,Pierre-Richard.CredibilityandExchangeRateManagementinDevelopingCountries.JournalofDevelopmentEconomics,45(1),1994,pp.1-16.72650023©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.Agenor,Pierre-RichardandMasson,PaulR.Credibility,ReputationandTheMexicanPesoCrisis.JournalofMoney,Credit,andBank2ing,31(1),1999,pp.70-84.Anderson,TorbenM.andRisager,Ole.TheRoleofCredibilityfortheEffectsofaChangeintheExchangeRatePolicy.OxfordEconomicPapers,Vol.43,1991.Backus,DavidandDriffill,John.InflationandReputation.TheAmericanEconomicReview,75(3),1985,pp.530-538.Barro,RobertJ.andGordon,David.B.APositiveTheoryofMonetaryPolicyinaNatureal2rateModel.JournalofPoliticalEconomy,Vol.91,1983a,pp.15-37..Rules,DiscretionandReputationinaModelofMonetaryPolicy.JournalofMonetaryEconomics,Vol.12,1983b,pp.101-122.Barro,RobertJ.ReputationinaModelofMonetaryPolicywithIncompleteInformation.JournalofMonetaryEconomics,Vol.17,1986,pp.3-20.Baxter,Marianne.TheRoleofExpectationsinStabilizationPolicy.JournalofMonetaryEconomics,Vol.15,1985,pp.343-362.Blackburn,KeithandChristense,Michael.MonetaryPolicyandPolicyCredibility:TheoryandEvidence.JournalofEconomicLiterature,March,Vol.27,1989,pp.1-45.Cagan,Phillp.MonetaryDynamicsofHyperinflation,inMiltonFriedmaned.,StudiesintheQuantityTheoryofMoney,1956.Christensen,Michael.Disinflation,CredibilityandPriceInertia.AppliedEconomic,Vol.19,1987,pp.1353-1366.Drazen,AllanandMasson,PaulR.CredibilityofPoliciesversusCredibilityofPolicymakers,NBERWorkingPaper,No.4448,1993.Giavazzi,FrancescoandPagano,Marco.TheAdvantageofTyingOnesHands:EMSDisciplineandCentralBankCredibility.EuropeanE2conomicReview,Vol.32,1988,pp.