中国利率政策的不对称行为研究

Asymmetric Reaction of the Interest Rate Policy in China

本文通过门限结构向量自回归模型(SVAR)对中国利率政策在改革开放过程中(1990年至2008年)的不对称行为进行定量分析。我们运用Tsay(1989)所提出的方法估计并得到通胀的两个门限值,分别是通缩门限1.1%～2.0%和通胀门限9%。通过这两个门限值,我们把利率政策放在三个通胀区间内,运用结构向量自回归模型逐一分析,并揭示了央行利率政策的不对称调整行为。分析结果表明:(1)在通缩区间,利率对通胀率上升的反应不明显,并且利率政策治理通缩的效果欠佳;(2)在温和通胀和高通胀区间,面对通胀率的上升,利率会非常明显地做出反应,并且利率政策治理通胀的效果非常有效。还有在高通胀区间,央行运用利率政策治理通胀时存在较强的回调倾向。

We use the threshold vector autoregression model to examine the asymmetric reaction of the discount rate policy of the People＇s Bank of China during the last twenty years. We use the method introduced by Tsay （1989） to find two inflation thresholds： low threshold at 1. 1% - 2.0% and high threshold at 9%. Thus we construct three inflation regimes separated by these two thresholds. Then we analyze discount rate policy in these three separated inflation regimes using threshold vector regressive model, and we find the asymmetric reaction of central bank＇s discount rate policy between these regimes.