汇率波动、财政赤字与最优货币政策规则

Exchange Rate Fluctuation,Fiscal Deficit and Optimal Monetary Policy Rules

本文构建了包含汇率和财政赤字以及资产价格的IS-Philips曲线,在此基础上引入央行损失函数推导了最优利率反应函数并利用中国的数据实证分析了汇率与财政赤字以及资产价格的变化对最优货币政策的影响。研究表明资产价格波动对均衡利率的影响最大,其次才是产出和汇率波动,而政府财政赤字水平对于均衡利率的影响很小;最优货币政策反应函数中产出缺口、价格水平以及资产价格的反应权重会受到央行损失函数中贴现因子与货币政策赋予产出稳定权重的影响,而政府财政赤字与汇率的变动不会受到贴现因子与产出稳定权重影响。

The article builds IS-Philips curve that includes exchange rate,fiscal deficit and asset price,on the basis of which introduces the central bank's loss function to derive the optimal interest rate reaction function.It makes an empirical analysis on the changes in exchange rate,fiscal deficit and asset price on the optimal monetary policy via the data of China.The result shows that the optimal monetary policy rules should give the priority to the volatility of asset price,followed by the output gap and volatility of exchange rate while the government deficit level has little effect on the equilibrium interest rate.In optimal monetary policy reaction function,the reaction weights of output gap,price level and asset price are affected by the discount factor and stable output weight in the central bank loss function while the government fiscal deficits and exchange rates are not affected.