泰勒规则的实证问题及在中国的检验

A Review of Empirical Issues of Taylor Rule and Its Applicability in China

本文首先对有关泰勒型货币政策规则特征的研究文献作了一个简要回顾,并考察了对泰勒原式的修正以及运用和设计泰勒规则的理论及实证问题。然后,本文分别运用广义矩方法及协整检验方法对泰勒规则在中国的适用性进行了实证检验,认为泰勒规则虽然可以描述我国银行间同业拆借利率的走势,但这一规则是不稳定的,故目前并不适合在我国运用。

The paper firstly reviews the literature on the characters of Taylor - type monetary policy rules, and then studies the empirical and theoretical issues of the modifications and the application to the original Taylor rule and the design of the rule. Secondly, the author employs an empirical test with both general method of moments （GMM） and cointegration test method to exam the applicability of the Taylor rule in China. The result indicates that the Taylor rule can partially explain the dynamical feature of CHIBOR but lacks for robustness. Therefore, the author suggests that the Taylor rule is not applicable in China currently.