包含央行预期方式的时变泰勒规则——基于贝叶斯模型平均方法

Time-varying Taylor Rule with the Impact of Central Bank Expectation——Based on Bayesian Model Averaging Method

在1993年第一季度到2012年第二季度宏观数据的基础上利用贝叶斯模型平均方法估计我国包含央行预期方式的时变泰勒规则,从央行预期方式、长期利率、利率平滑系数、通胀缺口系数及产出缺口系数五个方面的时序变化讨论时变泰勒规则在我国货币政策中的应用。研究发现,央行的预期方式与通货膨胀率的大小有关。当通胀率较低时,央行依据上一期的宏观数据制定货币政策;当通胀率较高时,央行依据对将来经济状况的预期制定货币政策。此外,通胀和产出缺口系数的变化表明我国货币政策在2007年前后发生了机制转换。由于通货膨胀缺口系数总是小于1,我国货币政策在治理通货膨胀方面是一种不稳定的货币政策。

This paper estimates China＇ s time-varying Taylor rule with the impact of central bank expectation using Bayesian model aver-aging method and the macroeconomic data from the first quarter of 1993 to the second quarter of 2012, discusses the effect of time-var-ying Taylor rule on monetary policy from the timing variations of five perspectives ： the central bank expectation, long-term interest rates, the interest rate smoothing coefficient, inflation gap coefficient and output gap coefficient. The study finds that, the central bank expecta- tion is related to inflation rate. When the inflation rate is low, the central bank formulates monetary policy based on the prophase macro- scopic data; when the inflation rate is high, the central bank sets monetary policy based on the expected economic conditions. In addi- tion, the inflation and output gap coefficients show that China＇ s monetary policy mechanisms performed a conversion in 2007. Inflation gap coefficient is always less than 1, which indicates that China＇ s monetary policy is unstable when controlling inflation.