双轨制利率体系下我国货币政策反应函数的估计与检验

Estimation and Test of China's Monetary Policy Reaction Function Under the Dual-track Interest Rate System

利用广义矩估计法(GMM)考察现行双轨制的利率体系下泰勒规则在我国货币政策中的适用性。结合我国的经济数据及实际情况,构建具有利率平滑特征及前瞻性的货币政策反应函数,对管制利率及市场利率两种体系下的泰勒规则进行检验,结论显示存款利率并未根据通胀及产出的变动加以调整,而市场利率及管制较为放松的贷款利率对产出、通胀以及货币供给均能作出反应,对产出及货币供给的反应显著,但是对通货膨胀反应不足,即依据预期通胀、预期产出及货币供给增长率的变化估计的前瞻性泰勒规则尚不具备稳定性,当前不宜将泰勒规则作为我国货币政策操作的依据。

Using Generalized Method of Moments(GMM) to examine the applicability of the Taylor rule in China's monetary policy under the current dual-track interest rate system.Combined with China's economic data and the actual situation,the article builds monetary policy reaction function with the characteristics of interest rate smoothing and forward-looking,and tests the Taylor rule in the system of controlled interest rates and market interest rates respectively.The conclusion shows that deposit rates do not adjust according to the changes in inflation and output,while market interest rates and lending rates with less control can respond to the output,inflation and the money supply.That the reaction to output and money supply is significant while the reaction to inflation is inadequate means the forward-looking Taylor rule estimated based on expected inflation,output,and the growth rate of money supply is not stabile.So Taylor rule is not fit to be the basis of china's monetary policy operation currently.