混合预期增广的Phillips曲线与中国最优货币政策规则——基于SVAR模型的实证研究

发布时间：2018-04-18 11:44

本文选题：混合预期 + Phillips曲线　；参考：《财经问题研究》2012年09期

【摘要】：本文基于货币政策规则的LRE模型框架和混合预期增广的高阶滞后Phillips曲线,推导出最优"混合"货币政策规则,并利用SVAR模型对中国最优"混合"货币政策规则进行实证检验和冲击响应分析。研究表明:中国Phillips曲线具有混合预期增广的二阶滞后特征,最优货币政策规则具有前瞻性正向特征和通胀惯性负向特征的"混合"特征。冲击响应路径显示:中国通胀形成的主要驱动因素是通胀预期和通胀惯性,中国货币政策具有显著滞后效应和不确定性。因此,在混合预期增广的高阶滞后Phillips曲线的传导机制下,在以规则行事的货币政策框架内,货币当局应采取缓慢渐进的"混合"政策调整方式,减少货币政策的调整频率,同时将货币政策重点转向基于通胀预期和通胀惯性的通胀管理。
[Abstract]:Based on the framework of LRE model of monetary policy rules and the high order lag Phillips curve of mixed expected increase, the optimal "mixed" monetary policy rules are derived in this paper.The SVAR model is used to test and analyze the optimal "mixed" monetary policy rules in China.The results show that the Phillips curve of China has the second order lag characteristic of mixed expected increase, and the optimal monetary policy rule has the characteristics of forward looking and negative inertia of inflation.The path of shock response shows that the main driving factors of China's inflation are inflation expectations and inflation inertia, and China's monetary policy has significant lag effect and uncertainty.Therefore, under the conduction mechanism of the Phillips curve with higher order lag, which is expected to increase, and within the framework of monetary policy, the monetary authorities should adopt a slow and gradual "mixed" policy adjustment to reduce the adjustment frequency of monetary policy.At the same time, the focus of monetary policy shifted to inflation management based on inflation expectations and inflation inertia.
【作者单位】：东北财经大学金融学院/应用金融研究中心;
【基金】：国家自然科学青年基金项目“基于逻辑平滑转移的非线性非对称政策反应规则的不确定性检验:对中国货币政策的应用”(71003016) 国家社会科学基金“宏观审慎管理制度框架下政策性住房金融研究”(11BJY146) 教育部人文社会科学青年基金项目“中国货币政策的不确定性:基于通胀惯性的LRE模型的分析与检验”(09YJC790028) 辽宁省教育厅高等学校优秀人才支持计划项目“非线性利率规则对中国货币政策的应用及其不确定性检验”(WJQ2011042) 教育部人文社会科学青年基金项目“基于Markov区制转移的中国通胀惯性特征及其货币政策应用”(12YJC790169)
【分类号】：F822.0;F224

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