开放经济条件下时变参数泰勒规则在我国货币政策中的适用性研究

发布时间：2018-01-08 13:29

本文关键词：开放经济条件下时变参数泰勒规则在我国货币政策中的适用性研究　出处：《世界经济研究》2017年08期 　论文类型：期刊论文

【摘要】：文章在考虑IS曲线、菲利普斯曲线以及泰勒规则等理论模型系统的内生性结构基础上,利用时变参数随机波动向量自回归(TVP-SV-VAR)模型捕捉我国货币政策对产出、通胀与汇率反应的时变特征,检验实际汇率与实际有效汇率进入泰勒规则对货币政策有效性的影响差异性。研究结果表明,相比未引入汇率因素或引入人民币实际汇率的泰勒规则,将人民币实际有效汇率引入泰勒规则使得货币政策钉住通胀目标参数与钉住产出缺口参数均得到更为显著的改善,更符合我国货币政策规则的实际。我国货币政策规则正由"相机选择型"向"规则型"利率调控模式转变,货币政策调控空间也逐渐向产出缺口与通胀率目标及人民币汇率稳定目标转变,具体而言,货币政策对通胀与产出的调整仅表现为先递增后递减的短期正向效应,且2006年第3季度以来,我国货币政策具有明显的通胀治理偏好;货币政策对人民币汇率波动在2001年之前表现为逐渐增强的短期负向效应,而后影响效应逐渐减弱。
[Abstract]:In this paper, we consider the endogenous structure of the theoretical model system such as is curve, Phillips curve and Taylor rule. The time-varying parameter random volatility vector autoregressive (TVP-SV-VARA) model is used to capture the time-varying characteristics of China's monetary policy response to output, inflation and exchange rate. The results show that the Taylor rule, which does not introduce the exchange rate factor or the real RMB exchange rate, has different effects on the effectiveness of monetary policy between the real exchange rate and the effective exchange rate. Introducing the real effective exchange rate of RMB into Taylor rule, both the inflation target parameter and the output gap parameter of monetary policy are improved significantly. It is more in line with the reality of China's monetary policy rules, which are changing from "camera selection" to "regular" interest rate regulation mode. Monetary policy control space also gradually shifted to the output gap, inflation target and RMB exchange rate stability target, specifically. The adjustment of inflation and output of monetary policy only shows the short-term positive effect of increasing first and then decreasing, and since in the third quarter of 2006, China's monetary policy has obvious inflation control preference; The short-term negative effect of monetary policy on RMB exchange rate fluctuation was gradually strengthened before 2001, and then the influence effect gradually weakened.
【作者单位】：吉林大学数量经济研究中心;吉林大学商学院;
【基金】：吉林大学哲学社会科学研究重大课题培育项目(项目编号:2015ZDPY09)的资助
【分类号】：F822.0
【正文快照】： 一、引言及文献综述在货币经济学中,利率、通货膨胀和产出被认为是货币当局制定政策规则时考虑的三个重要经济指标,作为最重要的宏观经济政策之一,货币当局是否应遵循预定的利率规则,即所谓的泰勒规则,引起了经济学家的广泛关注,Taylor(1993)提出了以利率作为操作变量的泰勒规

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