我国货币政策与利率期限结构——基于无套利泰勒规则视角的分析

发布时间：2019-02-15 12:38

【摘要】：中长期利率信息对货币政策制定具有重要指导意义,关系到货币政策的实施效果。本文利用仿射无套利宏观金融模型构建包含收益率曲线完整信息的基准、后顾、前瞻、前瞻后顾混合型四种无套利泰勒规则,通过与传统泰勒规则单方程模型对比考察中长期利率信息是否显著影响利率规则对宏观经济的反应。实证发现无套利泰勒规则隐含的中长期利率对宏观经济的反应信息以及宏观变量内生波动性使利率对产出的反应减小,对通胀反应更加积极但仍然小于1;利率期限结构提供的宏观一致预期信息使无套利前瞻和混合型规则有效避免了单方程泰勒规则由于缺乏高质前瞻信息而对产出的过度刺激,同时也使通胀反应显著且顺周期;我国货币政策一定程度上存在以无套利混合型泰勒规则为特征的规律性。
[Abstract]:Medium-and long-term interest rate information has important guiding significance for monetary policy formulation and relates to the effect of monetary policy implementation. In this paper, we use the affine no-arbitrage macro financial model to construct four kinds of non-arbitrage Taylor rules with complete information of yield curve. By comparing with the traditional Taylor rule single equation model, this paper investigates whether the medium and long term interest rate information significantly affects the response of the interest rate rule to the macro economy. It is found that the response information of the medium and long term interest rate to the macro economy and the endogenous volatility of the macro variables make the response of interest rate to output decrease, but the response to inflation is more positive but still less than 1; The macroscopically consistent expectation information provided by term structure of interest rate makes the no-arbitrage prospective and mixed rules effectively avoid the over-stimulation of output by the single-equation Taylor rule due to the lack of high-quality forward-looking information, and also makes the inflation response obvious and pro-cyclical. To some extent, China's monetary policy is characterized by mixed Taylor's rule of no arbitrage.
【作者单位】：东北财经大学经济学院;东北财经大学数学学院;大同大学数学与计算机学院;
【基金】：国家自然科学基金面上项目“我国通胀预期和风险溢价与宏观因子作用机制的计量研究”,项目编号:71273044 国家自然科学青年基金项目“分形市场中分数阶导数期权定价模型的建立;解法与应用研究”,项目编号:71501031 辽宁省社科规划基金项目,项目编号:L13DJY069
【分类号】：F822.0

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