货币政策非对称性与惰性区域的识别和检验

发布时间：2018-05-07 05:08

本文选题：货币政策 + 通胀缺口　；参考：《管理科学》2012年02期

【摘要】：在对货币当局政策偏好分析的基础上,构建更为一般的货币政策反应模型,用于识别名义利率对通胀缺口和产出缺口的非线性和非对称调整特征以及货币政策对通货膨胀和产出变化的惰性属性。采用7天期银行间同业拆借加权平均利率作为名义利率的代理变量,对上述货币政策反应模型进行广义矩估计,并对参数进行约束检验。研究结果表明,中国货币政策对通货膨胀的调整存在明显的惰性区域,即当通货膨胀率在目标通货膨胀率的较小范围内波动时,利率并未针对通货膨胀与目标通货膨胀率的偏离做出调整,而当通货膨胀率与目标通货膨胀率的偏离(即通胀缺口)超过惰性区域时,货币当局开始针对通胀缺口调整利率,并且随着通胀缺口的增大,利率对通货膨胀的反应越来越强烈,存在明显的非线性调整特征。
[Abstract]:Based on the analysis of monetary authority's policy preference, a more general monetary policy response model is constructed. It is used to identify the nonlinear and asymmetric adjustment characteristics of nominal interest rate on inflation gap and output gap, as well as the inert property of monetary policy to inflation and output change. Using the weighted average interest rate of 7-day interbank offered rate as the proxy variable of nominal interest rate, the generalized moment estimation of the above monetary policy response model is carried out and the constraint test of the parameters is carried out. The results show that the adjustment of China's monetary policy to inflation is clearly inert, that is, when the inflation rate fluctuates within a relatively small range of the target inflation rate, Interest rates are not adjusted for deviations between inflation and target inflation rates, and when the deviation between inflation rate and target inflation rate (that is, inflation gap) exceeds the inert zone, the monetary authority begins to adjust interest rates for the inflation gap. With the increase of inflation gap, interest rate response to inflation is more and more strong, and there is obvious nonlinear adjustment characteristics.
【作者单位】：吉林大学数量经济研究中心;吉林大学农学部;
【基金】：国家自然科学基金(70971055) 国家社会科学基金(10zd&006,10BJL041)~~
【分类号】：F224;F822.0

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