前瞻性利率规则在我国的实证研究——基于分位数回归方法的变参数检验

The Empirical Study on a Forward-looking Interest Rate Rule in China

本文通过引入预期货币供给增长变量,设定了一个符合我国现实国情的前瞻性利率规则,利用分位数回归方法对该前瞻性利率规则进行实证检验后发现,前瞻性利率规则能够保证我国经济运行在偏离均衡状态或央行目标时采取正确的政策调整方向,保证经济运行的稳定性。具体而言,预期货币供给增长率响应系数随着利率由条件分布的低端向高端变动而呈现单向递增的变化趋势,而预期通胀和预期产出缺口的响应系数变化趋势并非是单向的,分别呈现先增后减和先减后增的变化趋势。

By introducing an expected monetary supply growth variable, the paper specifies a forward-looking interest rate rule based on China＇s actual condi- tions, and then utilizes quantile regression method and China＇s actual datum to make empirical test on the forward-looking interest rate rule. we find that the rule can ensure that China＇s economy can maintain the correct condition of policy-chan- ging when the economic running deviates from equilibrium state or the central bank＇s targets. Concretely, with the＂ interest rate varies from the low position of conditional distribution to the high position of conditional distribution, the coeffi- cient of expected money supply growth rate has the trend of increase by degrees, and the coefficient of expected inflation has the trend of increase by degrees in the beginning and then decrease bydegrees, and the coefficient of expected product gap has the trend of decrease by degrees in the beginning and then increase by degrees.