区制转移形式的“泰勒规则”及其在中国货币政策中的应用

Taylor Rule with Regime Switching and Its Application to China's Monetary Policy

传统"泰勒规则"的线性设定具有一定的局限性,由于宏观经济背景和政策作用时间不同,货币政策规则可能是一种非线性系统。本文将"泰勒规则"扩展为一种具有时变通胀目标的区制转移"泰勒规则"模型,并运用该模型对中国1992—2009年的货币政策反应方式进行实证研究。结果表明,我国货币政策规则具有明显的区制转移特征,不同区制反映了利率对通胀和实际产出的不同政策反应关系;在区制2,政策规则表现为一个稳定的"泰勒规则",利率调整的方向与通胀和实际产出变动方向基本一致;而在区制1,利率对通货膨胀缺口和实际产出缺口不敏感,是一种不稳定的结构;结合我国货币政策操作的特点,可以将我国货币政策规则划分为"惰性"和"活性"两个区域。

The Taylor rule has some limitations for its linearity setting, so it may be presented as a nonlinear system due to the presence of different macro-economic environment and different policy time. This paper developed a regime switching Taylor rule with time-varying inflation target, and used it to investigate the monetary policy reaction of China from 1992 to 2009. Empirical results show that the policy rule has significant regime switching features, that is different regimes reflect different policy reactions of interest rate to inflation and real output. In the second regime, the policy rule behaves as a Taylor rule with the stable reaction of the interest rate to inflation and real output, while in the first regime this is not a stable framework because the interest rate is not sensitive to inflation and real output. Combined with the performance and characteristics of China＇s monetary policy, the first and second regimes can be denoted as the ＂passive＂ and ＂active＂ regimes, respectively.