我国货币规则的波动性研究

A Study on the Volatility of Monetary Rules in China

针对我国宏观经济中非线性泰勒规则和麦克勒姆规则两种货币规则,探讨了规则的参数和波动性估计问题。利用随机波动模型和粒子滤波方法,首先估计出货币规则参数,并在此基础之上得到其历史波动性。结果表明,货币规则的波动性与经济运行状况存在显著的关系;泰勒规则具有更小的波动性。研究结果可以被应用于一般均衡模型框架下的研究。

Nonlinear Taylor rule and McCallum rule and their volatility in the context of Chinese macro-economy are estimated.With stochastic volatility model and particle filter method,the parameters of the rules are estimated first,based on which,historical volatility of the two rules are gained.Results show that the volatility of the rules is closely correlated with economic conditions,and the volatility of Taylor rule seems smaller than that of McCallum rule in China.The result can be used for further study in general equilibrium model framework.