基于“三元悖论”金融政策目标的非线性结构分析

基于"三元悖论"提出货币、外汇和证券三个主要市场间的"束缚"结构模型,引入外汇干预指数,探讨在外汇储备政策导向下市场的新格局及监管策略.以1998年1月至2014年4月的数据为驱动,采用差分进化算法估计货币政策独立性、外汇干预指数与资本开放度三个政策目标的非线性系统.利用系统动力学方法分析得到:系统存在平衡点并具有局部结构稳定性,资本开放度与货币政策独立性的指标在短期演化后(约1年)趋于中等水平;系统同时表现出初值敏感依赖性,具有不同初始值的各指标经长期演化后(约5年)趋于不同的配比.另外,我国在政策偏好上重视汇率的稳定性,而资本开放度可作为影响三个指标间配比的前瞻性指标.

Analysis of nonlinear structure of financial policy goals based on trilemma

This paper proposes a bondage-based structural model that is derived from the trilemma constraint among the monetary, foreign exchange and securities markets. It introduces a foreign exchange intervention index to explore a new market landscape and regulatory strategies. Based on the differential evolution algorithm and its application to the data from January 1998 to April 2014, it presents the estimated nonlinear systems among the three policy goals of monetary independence, foreign exchange intervention and capital account openness. The analysis results show the existence of equilibrium and the local structural stability of systems by the system dynamics approach. Capital account openness and monetary independence are in proximity to moderate levels after a short-term evolution (about 1 year). It could lock-in into different proportions in the long-term evolution (about 5 years) for its sensitive dependence on initial conditions. In addition, China has the policy preference in the predominance of exchange rate stability while the capital openness could be the leading indicator to affect their proportions.