泰勒规则的实时分析及其在我国货币政策中的适用性

Real-time Analysis of Taylor Rule and Its Applicability in the Chinese Monetary Policy

本文重新考察我国货币政策反应函数以及泰勒规则在我国的适用性。采用多种退势方法的产出缺口序列,本文分别估计了基于实时数据和最终数据的后顾性、同期和前瞻性泰勒规则,探讨了不同退势方法对估计货币政策反应函数的影响,比较了基于实时数据和最终数据的泰勒规则的差异。研究结果表明前瞻性泰勒规则可以起到稳定经济的作用,能够作为我国货币政策的一个参照尺度,而后顾性和同期泰勒规则是不稳定的;更为重要的是,产出缺口度量方法的选择对实时分析有很大影响,其中采用Clack(1987)模型和二次趋势滤波时,实时数据与最终数据的结论较为一致,而常用的HP滤波估计结果差异很大。

From the perspective of real time data, this paper re-examine the Chinese monetary policy reaction function and the applicability of Taylor rule in China. Based on the China＇s quarterly output gap derived frmn six detrending methods, the authors estimate backward-looking, contemporary and forward-looking Taylor rule with real time data and final data respectively, analyze the effect of different detrending methods in estimating monetary policy reaction function, and further discuss the discrepancy between the real-time and final-data Tay- lor rule. The results show that the forward-looking Taylor rule, which can stabilize China＇s economy, can be used as a reference scale for China＇s monetary policy, but the backward-looking and contemporai3~ Taylor rule are unstable. More importantly, it is found that the choice of detrending method has a great influence on the re- al time analysis, and the real time data estimation based on Clack （1987） model and quadratic trend filter is consistent with final data estimation, whereas the divergence for other methods, such as HP filter, are signifi- cant.