由泰勒规则货币政策对我国股票市场货币政策传导效力的实证研究

An Empirical Study on the Conduction Mechanism of China's Monetary Policy Based on the Taylor Rule

本文基于泰勒型货币政策规则对我国1992—2005年考虑股票市场资产价格泡沫的货币政策反应函数进行了实证检验,发现我国在制定货币政策操作规则时,利率平滑倾向显著,赋予通货膨胀和产出缺口的权重较大,但不重视应对资本市场价格较大波动。说明我国的货币政策资本市场传导机制不畅,导致我国居民和公司资产负债表不健康,应对金融风险能力非常弱。

Based on the Taylor rule,this paper makes an empirical study on China＇s monetary policy during the year of 1992 to 2005 and finds out that when monetary policy authority makes the guidelines of monetary policy, the smooth tendency of interest rate is significant, irdlation rate and output gap are given more weights, but the volatility of asset prices is belittled. This result shows that the conduction mechanism of monetary policy through capital market isn＇ t smooth in China,which can make the balance sheets of residents and companies unhealthy and residents and companies are vulnerable to financial risk.