固定汇率制度下的独立货币政策

1(Gong,Gang)#(Gao,Jian)()#SchoolofEconomicsandManagement,TsinghuaUniversity100084,[e-mail],010-62788147§(ChinaDevelopmentBank)10003421Mundell-Fleming1ObstfeldandRogoff(1995)NewOpenMacroeconomyRedux2bipolarview341Mundell(1963,1964),Fleming(1962)Dornbusch(1976)2Lane20013Fischer(2002)Summer(2000)43z1z2z3112202.11978,5Lewis1954656Lin(2000)Lin,CaiandZhou(2003)BrandtandZhu(2000,2001)42.2OECDM1M271202OECD20OECD6%716GDP1OECD8(%)2.1418(1980-2001)3.4757(1964-2003)4.1092(1970-2003)4.5654(1980-2003)%20.06(1985-2001)7.12(1964-2003)6.26(1975-2003)6.01(1980-2003)GDP%16.06(1981-2001)7.25(1964-2003)5.64(1970-2003)6.19(1980-2003)2.32005721*x*x7BrandtandZhu200020018OECD2004200452.4WTOzz,2.5Mundell-FlemingObstfeld-RogoffRedux99(riskpremium)6z1z2z33103.110200671,ttmttMMFD−=+∆+∆(1)tMt,mtF∆tD∆1111tM,()dtbtMhr=ˆˆttPY,00,0hhh′≥(2),btrdMˆtPˆtYGDPˆˆttPYGDPttGDP,btr12,0hdttMM=(3)12,mtF∆tD∆,mtF∆+tD∆dtM1tM−tλ,mtF∆,mttFD∆+∆,,mttmttFFDλ∆=∆+∆4[0,1]tλ∈tr,btr,()ttbtrrλλ=−5111280λ′≥,mttFD∆+∆0λ′≤λ′,0mttFD∆+∆,tbtrr−,0mttFD∆+∆,tbtrr−3.2*r,btrr∗=(6)tBtFttFtF∆,,,twtmtotFFFF∆=∆−∆+∆(7),wtF∆,mtF−∆,otF∆,btttPBF=(8),btP*r,btP,,1btbtPrP∗−=,11btPr∗=+(9)9981ttBFr∗=+(10)1011ttFBr∗∆=∆+(11)0tB∆=0tF∆=93.3federalfundrate03.80,tritrbbr=+,0,0rbb,,titrr≥(12),itr200519914-71,td2,td1,2,ttdd≤,itr1,,2,tittdrd≤≤1,td2,td,2,ittrd≥,itr,1,ittrd≤2.51101,td2,td1322,tdr∗1trr∗r∗12132,td2,td1,2,,ttdtddr==,dtr113,,itdtrr=(14),itr,dtr3.4,,ttgtttwtNPFEPF+∆=+∆(15)tPtEtN,gtF∆,wtF∆15tEtNtx(,...)ttEEx=(,...)ttNNx=(16)7,wtF∆16tEtN15,,,(,...)(,...)ttgttttmtotNxPFExPFFF+∆=+∆+∆−∆(17)tF∆11,mtF∆1-4,otF∆,gtF∆tP17tx113.5tYttttttYCIGEN=+++−(18)tCtItGtEtN:11()tttCcYT−−=−(19)1ttGgY−=(20)tTcg(2006)11/(),ttiutmttIKUmpξξξ−−=++−,0umξξ(22)tKtUtmtpttmp−(2006)101/(),ttutrttIKUrpξξξ−−=+−−,0urξξ(23)tr2ttrp−23ttrp−tUtKtttYUAK=(24)1(1)tttKKIδ−=−+(25)δAtAK123.60,1,twwtteteyeγζζζγζ−=+++,,0weγζζζ(26)teGDP1/ttteNY−=,wtytγfttttxPPγ=(27)tx/tPftP0,ttetneγςςγς=−+,0eγςς(28)tn1/tttnNY−=3.7130,tptltatwpLaαααα=+++,,0plxααα(29)0111,twtutatpwUaββββ−−−=++−,,0wuxβββ(30)twtLta1tU−tLtp1tw−ta1ta−tL13FlaschelGongandSemmler2001Fair200013(,...)ttstlYLL=stL(,...)tlYtYstL3.811,td2,td,itr,itr12trtr231,2,,ttdtddr==14,itr,dtrp∗,,11(),0dtdttrrppθθ∗−−−=−(31)θ3117,gtF∆,otF∆14,0otF∆=,gtF∆x∗17,,(,...)(,...)gttttmtFExPNxPFF∗∗∆=−+∆+∆(32)3.9232628293015211415142:510(0.013097)(0.0334460)0.0163200.079603uξξ==(0.074489)0.1442152.1357951rDWξ==20(0.041822)(0.564426)0.093861.0211503.1817622wDWζζ=−==(0.008958)(0.091891)0.0200350.973511eγζζ==30(0.049775)(0.009929)0.0274000.0102842.0202960DWγςς===(0.097690)(0.109269)0.9962590.695233enςρ==40(0.003727)(0.066521)0.0114070.426640aαα==(0.142076)1.0069751.673028pDWα==50(0.009215)(0.009929)0.022120.0490401.933513uDWββ=−==(0.073672)(0.053656)0.2939730.223110waββ==501()tutrtttiUrpξξξε−=+−−+(33)0tptattwpaαααν=+++(34)0111twtutattpwUaββββρ−−−=++−+(35)0,1twwttetteyeγζζζγζη−=++++(36)01,ttetttnttneγςςγςµµρµυ−=−++=+(37)1/tttiIK−=tεtνtρtηtυCochrane-Orcutt3733-3629tLtLlα03.7stL→+∞0tL=(2005)0ς,γς37(1992.3-2004.4)151431324.116,,1,,,1111111,,,gtmttttmtmttgttttttttFFDYYfdyfPYPYYPY−−−−−−−−∆∆∆−≡≡≡≡(38)0tB∆=,0otF∆=(39)1ˆ(1)ttPPp∗−=+1ˆ(1)ttYYy∗−=+(40)1(1)fftwtPpP−=+,taa=,wtwyy=(41)00b=11b=(42)p∗y∗awywp394041ˆtPˆtYtaftP,wty*p314212tr,itr11()()tttrrrppθ∗−−=⋅=+−011()twtutppwUβββ−−=⋅=++%0()()tpwwpαα=⋅=+⋅%1(1)()1()wttppγγγ−+=⋅=+⋅011()tteteeeγζζγζ−−=⋅=++%0()()()tenneγςςγς=⋅=−⋅+⋅01()()()tutrriiUrpξξξξ−=⋅=+−⋅+⋅1()()()()ttiyycenAU−⋅=⋅=+⋅−⋅+%1(1())()1()ttyUUUiδ−+⋅=⋅=−+⋅,111()(())1(1)(1)mtttffrrpyκλ∗−−=⋅=⋅−−++,111()(1(()))1(1)(1)mtttddrrpyκλ∗−−=⋅=−⋅−−++,()(1())(()())()gtffpenf=⋅=+⋅⋅−⋅+⋅%1700aaβββ=−%00aaααα=+%00wwyζζζ∗=+%(1)1ccgτ=−+−%***()(1)(1)hrpyκ=++12,mtf,gtf,mtdtntity(,,,,,)ttttttrpweUγ4.243-5446pwp43*pwp46tPftP0P0fP(,,,,,,,,,,,)mmgrpweniyUfdfγ(,,,,,,ttttttrpwenγ,,,,,,,,)tttmtmtgtiyUfdfwppp∗==fTTxPPγ∗=01eeγζζγζ+=−0eneγςςγς=−+*0pwpαα=+%01()wuUpwβββ∗=−−%(1)1eAUceyAUγςςγδ+−++=−%iyδ=+01()urrrUpiξξξξ=++−1()1(1)(1)mfrrpyκλ∗=−−++11()1(1)(1)mdrrpyκλ∗=−−−++(1)()gmfpenf=+−+TPfTPTPfTP0P0fPT18001(1),(1)ffTTTTttPPpPPp∗==+=Π+(55)0fP0PpwUγ0fP0P4.331110θ=0trr=,(),,,,prpiyUp↑−↓↑↑↑↑(56)20te=0tn=0trr=501tttiycAU−=+%210θ=192323c%δaAwywp-0.20250.00800.02980.32790.00830.00920fP0P*r*()hr*y*x57.000100.000.08001.00000.03007.50003awywptaGDP,wty,wtpA24*x/δ2516*r*y*()hr10fP0P2c%ty2:0000000.01,0.8,0.03,0.09,0.05,0.02pUwriy======1,(),,,,prpiyUp↑−↑↓↓↓↓(57)17θ57156θ3-52tr311θ3-52.50.0005531157θ131617Chiarella,Flaschel,GongandSemmler(2003).20312θ=410.0005θ=θ12124θθHopf-Hopf-Bifurcation5515θ=4.4322tx*x27256,,(),,,penyUpγ↑↓−↓↓↓↓(58)5616644-510trr=123223eζ80%18tetn0fP0P18tetn220.230.21571002-5610θ=5856γζγς10%7γζγς6eζ23710θ=γζγς5856182.5θ=119190ζ0ς10rζrς24812.5θ=γζγς,1331164.52(58)122558tx1711ttPY−−tF∆,otF∆,gtF∆0,(1)[(,...)(,...)]tttttmtpnxexf+−=(59)tF∆,otF∆0,0gtF∆=(7),mtF∆,wtF∆,mtfGDP(47)(48)(27)00101(1)()tttetetfttettneePxePγγγςςγςζζγζπππ−−−=−+−++=++000(1)eπςςζ=+−(1)rerrπςζς=−−(1)eeeπςζ=−(59)tx,011mtttetfttfPxepPγπππ−=−−+(60),mtf(52)(60)tγ,0111mttettfepγγπππ−=−−+(61),mtf,mtf()λ⋅525*11*11*