中国货币政策与通货膨胀关系的模型实证研究

Empirical Modeling Research on the Relation between Monetary Policy and Inflation in China

本文利用前瞻性经济结构和非二次福利函数方式设定的目标函数,测定了中国的最优非线性货币政策反馈规则。在央行非对称性偏好和非线性反馈规则的模型设定框架下,利用非线性广义矩估计方法(NLGMM),对央行最优化一阶条件(Euler方程)的约简式和结构式同时进行了估计和比较。研究结果表明:在1993年至2005年间,央行存在非对称性政策偏好,货币政策反馈规则存在显著的非线性特征,实际造成了中国存在通货膨胀的明显倾向。

In recent years, research on both the asymmetry of the effect of monetary policy and its effect on inflation has raised great concern abroad in the field of finance. Paolo Surica's (2004) belief that nonlinearity is a robust feature of US monetary policy holds only for the period before 1979 and with respect to the output gap, and this implies an average inflation bias during the 1960s and 1970s but a value not statistically different from zero over the last two decades. With the targeting function defined by the forward-looking structure of the economy and non-quadratic loss function, we obtain the optimal and nonlinear response rules. By using the Generalized Method of Moments (GMM), we contrast the results of reduced-form and structural estimates of central bank first order condition (Eular equation) under the framework of asymmetric preference and nonlinear response rules. Through a simple device, this paper provides a discussion of the inflation bias. The result indicates central bank asymmetric preference and nonlinear monetary policy response rules contribute to the inflation bias.