前瞻性货币政策规则的参数识别——基于因子模型的分析框架

Parameter Identification of Forward-looking Monetary Policy Rule——The Analysis Framework Based on Factor Models

前瞻性货币政策规则的传统GMM估计策略存在两个严重的参数识别问题,即由遗漏变量导致的工具变量非外生性问题以及参数的弱识别问题。本文构建前瞻性货币政策规则的参数识别框架:首先,在考虑时变均衡名义利率和时变通胀目标的前提下,通过求解典型的新凯恩斯模型,得到前瞻性货币政策规则中遗漏变量的表达式。其次,采用Forni et al.(2009)的动态因子模型从宏观经济变量中提取共同因子,将其作为前瞻性货币政策规则的控制变量,以解决由遗漏变量所致的工具变量非外生性问题。最后,为解决参数的弱识别问题,采用Bai&Ng(2008)的LARS-EN方法从宏观经济变量中分别提取对未来通胀率和产出缺口具有较强解释力的变量集合,而后采用因子GMM方法进行参数估计。实证结果表明,前瞻性货币政策规则的传统GMM估计策略存在参数识别问题,故由其给出的我国货币政策建议会存在较大的误导性;依据本文参数识别框架得到的前瞻性货币政策规则参数估计结果是可信和稳健的,我国货币政策体现了产出增长目标,其调控通胀的能力仍十分有限。

There are two serious identification problems in the traditional GMM estimation strategy of forward-looking monetary policy rules, such as the failed exogeneity of instrument variables caused by omitted variables as well as the weak identification issue. In this paper, we propose an econometric parameter identification framework. Firstly, by solving a typical new-Keynesian model, we get the functional form of omitted variables with the assumption of time-varying inflation target and time-varying equilibrium nominal interest rate. Then, taking the common factors extracted from all the maeroeeonomie variables under Forni et al. （2009）＇s dynamic factor model as control variables, we solve the failed exogeneity of instrument variables caused by omitted variables. At last, to overcome the weak identification issue, we use the Bai and Ng （2008）＇s LARS-EN method to extract the variable set, which can better explain the future inflation rate and output gap, from broad macroeconomie variables, and then we estimate the forward-looking monetary policy rules by the factor GMM method. Empirical results show that the traditional GMM estimation strategy has such a serious parameter identification problem that its policy recommendations could be misleading. Moreover, the parameter estimation results based on the parameter identification framework in this paper are credible and robust. China＇s monetary policy mainly reflects the target of output growth, its ability to control inflation is still very limited.