基于马尔科夫转换模型泰勒规则的实证研究

A Research of Nonlinear Taylor-rule Based on a Markov-switching Model

宏观经济形势以及货币当局外部约束的变化会改变央行的货币政策行为,因此作为描述货币政策运行的简单线性泰勒规则不能得出令人满意的结果,有必要对泰勒规则的非线性形式进行研究。本文基于马尔科夫转换模型对我国泰勒规则的时变特征进行了研究,结果表明:简单的线性泰勒规则目前在我国并不适用,而基于马尔科夫转换模型的泰勒规则可将我国货币政策分成两个不同的体制,在一个体制下,短期利率对通货膨胀和实际产出缺口反应敏感;而在另一个体制下,通胀和产出缺口的系数较小,改善了泰勒规则在我国的适用性。

Central bank will adjust monetary policies if its external constraints or macro conditions experience great chan- ges. Thus as a description of monetary policies, research of traditional linear Taylor-rule won＇t reach to a satisfactory outcome, we need to research the nonlinear Taylor-rule. In this paper, we use a Markov-switching model to study a time-varying Taylor- rule. Results indicate that over time central bank has signed changing weights to inflation and output gap. One regime is associ- ated with high weights on inflation as well as output gap, and the other regime is associated with low weights on both of the two factors, this time-varying Taylor-rule improve the feasibility of Taylor-rule in China.