The Research Of The Optimal Monetary Policy Under The Inflation Targeting Basing On Model Uncertainty

On the foundation of the summarize to the related literature and the theory, this article mainly conducts the research along two master lines:the optimal monetary policy under the inflation targeting and the model uncertainty, and launches the theory inferential reasoning and the empirical study to the optimal monetary policy.Firstly, The author takes the breakthrough point from the monetary policy operating mode--discretionary principle and the rule principle, carries on the summary to the monetary policy rule, and pointed out that the inflation targeting rule is the restraining solution of discretion and the rule. Simultaneously, the inflation targeting concept is the core of the optimal monetary policy theory;therefore, implementing the inflation targeting rule is the inevitable choice of the Central Bank to implement the optimal monetary policy.Secondly, the author elaborates the axiomization foundation of model uncertainty. The Central Bank must implement the optimal monetary policy, meaning that he must solve optimal solution of the dynamic optimization of the monetary policy. The designing of the optimal monetary policy conclude three mutual connection aspects: the establishment of objective function of monetary policy, the choice of monetary policy conduction mechanism as well as monetary policy rule. If the Central Bank uses the inflation targeting rule, this time its monetary policy objective function and the monetary policy rule had been determined. What left is the choice of the monetary policy conduction mechanism, in the tradition analysis of the optimal monetary policy, it is supposed that the monetary policy conduction mechanism is certainty, the policy-maker supposes the decision model is the real reflection economic structure model which its relied on, what he did was only establishes an additional attack which contains possesses it for the factor which considered, but this does not tally with the reality, a simple stochastic process which has white noise whose mean value is 0 and variance is 1 can not contain all model uncertainty. The model uncertainty theory's appearance has overcome the weakness of the certainty equivalent hypothesis, simultaneously, the model uncertainty theory enables the phenomenon that can not be explained reasonably under the certainty equivalent hypothesis, including the stock premium in stock, policy-maker's conservative nature in the monetary policy decision-making process, the interest rate smooth and so on. The model uncertainty theory's appearance is a negation to certainty equivalent hypothesis, the model uncertainty theory gives up the certainty equivalent hypothesis, thus caused the research of the economic to make great strides forward one step to the reality.Thirdly, the author has inferred the optimal monetary policy rule under the model uncertainty in the closed economy with inflation targeting rule, by taking the new Keynes model as the analysis foundation.Through the solution of the optimal condition, it is discovered that:(1) the optimal transformed relationship between the inflation rate and the GDP gap has nothing to do with the Central Bank policy-maker's robustness preference; (2) in the closed economy, the monetary policy policy-maker only worries about the existence model uncertainty in the aggregate supply curve, but does not worry about the existence model uncertainty which in the total demand curve; (3) the model uncertainty existing in the aggregate supply curve is the increasing function of the inflation rate and standard deviation of the supply attack. Through the solution of the worst case model, the approximate model and the optimal monetary policy rule, it is discovered that:(1) in the worst case model, monetary policy policy-maker who has robustness preference worries that the supply attack would cause the great fluctuation of the inflation rate. Therefore, to avoid the great fluctuation of the inflation rate, monetary policy policy-maker who has robustness preference will make monetary policy to counter-balance the supply attack, which result will be cause the great fluctuation of the interest rate; (2) in approximate model, when the robustness preference of monetary policy policy-maker is increasing, the monetary policy policy-maker will make monetary policy to counter-balance the supply attack, which result will be cause the great fluctuation of the interest rate, which cause the big fluctuation of the GDP gap and the small fluctuation of the inflation rate.Fourthly, in order to correspond with the closed economy model, the author has inferred the optimal monetary policy rule under the model uncertainty in the open economy with inflation targeting rule. Through the optimal condition, it is discovered that:(1) the optimal transformed relationship between the inflation rate and the GDP gap has nothing to do with the Central Bank policy-maker's robustness preference; (2) Under giving the robustness preference of the monetary policy-maker,the model uncertainty and the external attack's standard deviation has positive relationship; (3)when the deviation of the inflation rate with its target value is far, the model uncertainty will also increase, and these increased model uncertainty in turn will push the inflation rate to deviate its target value bigger; (4) the optimal condition under the open economy and the closed economy exists difference:In the open economy situation, the Phillips curve and the IS curve are both restrained by the model uncertainty, but in the closed economy situation, the monetary policy policy-maker only worry about the model uncertainty in the Phillips curve.Next, when the robustness preference of the monetary policy-maker's changes, the author has solved the worst case model, the approximate model and the optimal monetary policy, it is finally discovered that:the robustness preference of monetary policy-maker has uncertain influence to the worst case model, the approximate model and the optimal monetary policy, meaning that it compares with the non-robustness monetary policy-maker, the response of the robustness monetary maker is more sensitive or less sensitive to the external attack, and the response is decided by the external attack and the origin of the model uncertainty.Fifthly, under the supposition of the inflation targeting, the author studies the optimal monetary policy under model uncertainty in our country. First, the author has estimated our country's Phillips-IS curve, and has simulated the optimal monetary policy rule by using 1996-2009's real economy data under certainty equivalence hypothesis in our country. Through the simulation, it is discovered that:(1) overall speaking, the monetary policy in our country is loose during 1996-2009; (2) the influence of the GDP gap weight to the optimal nominal rate rule is progressive; (3) the value of the optimal nominal rate rule's fluctuation mainly comes from the fluctuation inflation rate; (4) the optimal nominal rate rule has the reverse inhibitory action to the inflation Then, the author uses real economy data in our country to simulate the optimal monetary policy rule under the model uncertainty condition. It is discovered that:(1) policy-maker's monetary policy tool has positive relationship with the GDP gap weight, which means that the policy-maker entrusts a bigger GDP gap weight, the policy-maker will be favor in reducing the interest rate, implementing a more loose monetary policy, vice versa; (2) policy-maker's monetary policy tool has positive relationship with the robustness preference of the GDP gap, which means that the policy-maker has a bigger GDP gap robustness preference, the policy-maker will be favor in increasing the interest rate, implementing a more conservative monetary policy; there is a positive relationship between the monetary policy policy-maker's robustness preference of inflation rate and the Central Bank's monetary policy tool, meaning that the bigger the policy-maker's inflation robustness preference, the monetary policy-maker will increase the interest rate, meaning that he will implement a more conservative monetary policy; (3) the optimal nominal rate under the monetary policy-maker has bigger robustness preference to the GDP gap is higher than the optimal nominal rate under the monetary policy-maker has bigger robustness preference to inflation rate; (4) when the policy maker increase the GDP gap weight gradually,the optimal nominal interest rate will decrease; (5) the optimal nominal interest rate under the model uncertainty is higher than the market nominal rate, this means that the optimal interest rate rule under the model uncertainty and the certainty equivalence is identical, both inquiring a tight monetary policy, but when the GDP gap weight is given, the optimal interest rate of each distinguishes greatly.Sixthly, the author has discovered the existence evidence of the model uncertainty:Interest rate smooth operation mechanism. The author joins the interest rate in the monetary policy objective function, thus taking the interest rate stability variation as one of policy-maker's goals. The optimal monetary policy rule under joining the interest rate smooth has the following characteristic:(1)the fluctuation of the interest rate under the interest rate smooth is smaller than the interest rate under no smoothing operation; (2) the stability of the optimal nominal interest rate is better when it puts the interest rate smoothness in Central Bank's monetary policy objective function, (3) the optimal nominal interest rate's reverse affection to the inflation rate has not changed, under the interest rate smooth operation, the optimal nominal rate rule similarly has the mechanism that enables the inflation to return to the inflation goal.Lastly, the author put forward the policy proposal to the monetary policy operation frame's choice and the reform in our country. On the foundation of the introducing the present situation of monetary policy and direction of the future reformation, the author analyzes the condition of the implementing the inflation targeting rule; Secondly, the author bare bone the basic framework; finally, it is proposed that to continue to consummate the condition of the inflation targeting rule.