对股市波动作出反应的泰勒规则在中国适用性研究

On the Adaptability of Taylor Rule as Response to Stock Market Volatility in China

文章基于价格粘性的研究视角,分别从货币数量模型与利率传导渠道阐述了货币政策为什么要关注股市波动以及如何对股市波动作出适度反应,并运用OLS法和GMM法对不同范式的泰勒规则在中国的适用性进行了实证检验。实证结果表明:在引入股市波动因素之后,利率平滑的泰勒规则和前瞻性利率平滑的泰勒规则在中国的拟合优度均得以提高。由此说明,对股市作出适度反应有利于提高中国货币政策规则的有效性。

From the research perspective of price stickiness, this paper elaborates why monetary policy should emphasize stock market fluctuations and how to make a modest reaction to stock market fluctuations respectively from the monetary quantity model and the interest rate transmission channel, and respectively tests the different paradigms of Taylor rule by OLS and GMM. Test results show that the goodness-of-fit of interest rate smoothing Taylor rule and forward-looking interest rate smoothing Taylor rule are improved after the introduction of stock market volatility factors in China. The result suggests that it can improve the effectiveness of China＇s interest rate policy to facilitate a modest response to stock market volatility.