基于金融形势指数对我国货币政策效果非线性的实证研究

The Empirical Study of the Nonlinear Effect of Monetary Policy Based on the Financial Conditions Index

本文基于总需求方程缩减式构建包含利率、汇率、资产价格以及货币供给因素具有动态权重的金融形势指数FCI,将其作为信息变量纳入到线性和非线性泰勒规则中进行实证分析,结果表明拓展的前瞻性泰勒规则更能描述我国利率行为,利率能很好的反应金融形势而对产出和通胀反应不足。以通货膨胀率为转换变量对我国货币政策效果进行检验和估计表明泰勒规则是非线性的,存在LSR1模型的非线性形式,利率对通胀的反应是非对称的。对非线性进行拓展性研究表明当通胀达到一定程度时,利率和FCI指数才具有稳定关系。

This paper constructs a dynamic weighted financial conditions index based on reduced form aggregate demand function, including variables of exchange, interest rate, asset prices and monetary supply. Through esti- mating linear and nonlinear Taylor rules augmented with FCI as signal variable, we find that augmented forward- looking Taylor rule is more suitable to describe China＇s interest rate behavior. It shows that interest rate reacts fi- nancial conditions perfectly and reacts to GDP gap and inflation rate insufficiently. In the analysis and estimate of the nonlinear effect of monetary policy, there is a nonlinear relationship in the form of LSTR1 and actual interest rate＇s response on inflation is asymmetric with the transition variable of inflation. The empirical analysis of augmented nonlinear show that interest rate has a stable relationship with FCI when inflation reaches a certain level.