货币政策非对称性与惰性区域的识别和检验

Recognition and Test for Asymmetry and Zone-like in Monetary Policy Rules

在对货币当局政策偏好分析的基础上,构建更为一般的货币政策反应模型,用于识别名义利率对通胀缺口和产出缺口的非线性和非对称调整特征以及货币政策对通货膨胀和产出变化的惰性属性。采用7天期银行间同业拆借加权平均利率作为名义利率的代理变量,对上述货币政策反应模型进行广义矩估计,并对参数进行约束检验。研究结果表明,中国货币政策对通货膨胀的调整存在明显的惰性区域,即当通货膨胀率在目标通货膨胀率的较小范围内波动时,利率并未针对通货膨胀与目标通货膨胀率的偏离做出调整,而当通货膨胀率与目标通货膨胀率的偏离(即通胀缺口)超过惰性区域时,货币当局开始针对通胀缺口调整利率,并且随着通胀缺口的增大,利率对通货膨胀的反应越来越强烈,存在明显的非线性调整特征。

Basing on analyzing monetary authority′s preferences,we construct a flexible model of monetary policy reaction,which can identify the nonlinear and asymmetric adjustment of nominal rate to inflation gap and output gap,and the Zone-like characters of monetary policy when inflation and output varies.Using the weighted average seven-day inter-bank offered rate to measure the interest rate,we estimate the flexible model of monetary policy reaction by GMM.We find that there are Zone-like characters in adjustment of monetary policy to inflation.Monetary authority don′t adjust nominal interest rate when inflation gap is little,but monetary authority would adjust nominal interest rate if inflation gap is over the range,and as the inflation gap increases,interest rate react more strongly to inflation,and this process shows a significant nonlinear features.Basing on analyzing monetary authority′s preferences,we construct a flexible model of monetary policy reaction,which can identify the nonlinear and asymmetric adjustment of nominal rate to inflation gap and output gap,and the Zone-like characters of monetary policy when inflation and output varies.Using the weighted average seven-day inter-bank offered rate to measure the interest rate,we estimate the flexible model of monetary policy reaction by GMM and test parameters in constraint condition.We find that there are Zone-like characters in adjustment of monetary policy to inflation.Monetary authority don′t adjust nominal interest rate when inflation gap is little,but monetary authority would adjust nominal interest rate if inflation gap is beyond Zone-like.With the inflation gap increases,interest rate react more strongly to inflation,and this process shows a significant nonlinear features.