经济周期与规则型货币政策的动态关联机制研究——基于中国典型经济波动阶段的经验证据

发布时间：2018-07-16 16:21

【摘要】：本文对货币当局在经济周期不同阶段内的货币政策规则进行多重门限效应检验,发现货币当局在不同经济状况下的名义利率调整具有明显的非对称性偏好。其中,当经济处于扩张期时,货币当局的名义利率调整具有规避通货膨胀偏好,而当经济处于紧缩期时,其政策操作则会向产出缺口倾斜。随后,为进一步识别货币政策规则在典型经济波动阶段内的动态演变路径,本文采用LT-TVP-VAR模型对新凯恩斯理性预期框架下的时变系数货币政策规则进行再估计,结果发现:货币当局根据经济周期更迭进行的政策规则调整具有明显的渐变性特征,而这种微调手段难以被公众察觉,因此不会对公众预期和货币当局的信誉产生系统性影响。这使得货币当局能够在确保其政策公信力的情况下对经济行为的变化做出有效反应。
[Abstract]:This paper examines monetary authorities' multiple threshold effects on monetary policy rules in different stages of the economic cycle, and finds that the nominal interest rate adjustment of the monetary authorities in different economic conditions has an obvious asymmetric preference. When the economy is in a tight period, its policy operation will be inclined to the output gap. Then, in order to further identify the dynamic evolution path of the monetary policy rules in the stage of typical economic fluctuation, this paper uses the LT-TVP-VAR model to re estimate the time variable coefficient of monetary policy under the new Keynes rational expectation framework. The adjustment of the monetary authorities according to the changes in the economic cycle has a distinct feature of gradual change, which is difficult to be perceived by the public, and therefore does not have a systematic impact on the public expectations and the credibility of the monetary authorities. This allows the monetary authorities to change their economic behavior in the context of ensuring the credibility of their policies. Make an effective response.
【作者单位】：吉林大学数量经济研究中心;吉林大学商学院;英属哥伦比亚大学统计学院;
【基金】：国家社会科学基金重大项目“引领经济发展新常态的市场基础、体制机制和发展方式研究”(项目编号:15ZDC&008),国家社会科学基金重点项目“我国经济发展新常态的形成机理、趋势性特征和经济政策取向研究”(项目编号:15AZD&001)的阶段性研究成果
【分类号】：F124.8;F822.0

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