通胀预期环境对我国货币政策效力的影响——基于LSTR模型的实证分析

The Influence of Inflation Expectation Environment on the Effectiveness of Monetary Policies in China——An Empirical Analysis Based on Model LSTR

本文在梳理通胀预期与货币政策相互作用机理的基础上,基于1997～2011年的季度数据和非线性的LSTR模型,实证分析了我国货币政策在不同通胀预期环境中的实施效果。研究结果表明,通胀预期环境会显著影响我国的货币政策效力。在不同的通胀预期环境中,利率与货币供应量两种货币政策工具稳定物价的效果存在显著差异。当公众通胀预期程度较弱时,减少货币供应量比提高利率更容易有效控制实际物价水平,但当通胀预期程度较强时,利率政策稳定物价的效果优于货币供给量政策。因此,为提高货币政策的通胀治理效率,央行不但要稳定公众的通胀预期,还应根据不同的通胀预期环境选择更为有效的货币政策工具。

Maintaining price level stability is an important task of macroeconomic control for the government, but also one of the most important targeting for central bank when making monetary policies. It was not until the end of 2009 that China government really began to realize the importance of inflation expectations management for inflation governance. Inflation expectations should be well managed was first formally proposed as the key task of macroeconomic regulation that on China＇s Central Economic Work Conference in December 2009. Subsequently, People＇s Bank of China （PBC） began to strengthen the management of public inflation expectations. But unfortu- nately, the practical effects seemed not satisfactory during the last nearly three years. China＇s CPI rose by 5.4% in 2011 and was far exceeding the target set at the beginning of 2011 （The target is that CPI should not exceed more than 4% in 2011 ）. At present, Chinese public＇s inflation expectations are also quite unstable. In our opinion, the reason why the effects of China＇s monetary policies were so poor is that inflation expectations still have not been un- derstood deeply enough by people. Now, the general consensuses among the academia are that monetary policies had a significant impact on inflation expectations, and inflation expectations played a major role in the actual level of inflation. However, more and more evidence in domestic and foreign countries showed that low inflation some- times may lead high inflation expectations and inflation expectations does not definitely bring actual inflation. We believe that not paying enough attention to inflation expectations and emphasizing too much on inflation expectations are both misunderstanding. In other words, PBC should make and adjust monetary policies according to the differ- ent environment of inflation expectations. Based on the above analysis, this paper was focused on the theme about how China＇s monetary policy should be flexibly adjusted according to inflation expectations environment. To start with, we gave a brief introduction on the relevant studies in this field. Then we discussed the theoretical relation- ship between interest rate policy and inflation expectations based on forward-looking Taylor rules. The theoretic analysis of the relationship between money supply policy and inflation expectations based on Lucas supply curve principle was followed. In the third part, we got quarter-data from the first quarter of 1997 through the second quar- ter of 2011 as our sample period. Based on the qualitative survey results of PBC, we calculated the quantitative lev- el of China＇s inflation expectations by using Carlson-Parkin method. From the analysis of the Smooth Transition Re- gression（STR） model step-by-step, we found that the nonlinear Logistic STR（LSTR） model was better than the linear regression model when capturing the dynamic characteristics of China＇s inflation and inflation expectations. The results also showed that the environment of inflation expectations had a significant impact on China＇s monetary policy effectiveness. When the expected inflation rate was less than 2. 1% , the level of actual inflation was easier to regulate by using money supply policies than by using interest rates policies. When the expected inflation rate was located in the interval form 2. 1% to 4.2% , inflation can be effectively controlled by interest rates policies or by money supply policies. When the expected inflation rate was more than 4. 2% , raising interest rates can curb infla- tion better than reducing money supply. In general, PBC should not only stabilize inflation expectations, but also should choose more effective monetary policy tools according to the environment of inflation expectations when im- proving the efficiency of monetary policies.