通货膨胀波动与货币政策调控机制研究——基于TVP-VAR模型的实证分析

A Study of Inflation Fluctuation and Monetary Policy Regulatory Mechanism: An Empirical Analysis Based on TVP-VAR Model

在中央银行损失函数的基础上构建最优货币政策规则后,利用TVP-VAR模型对我国名义利率的动态调控路径进行了相应研究。根据等间隔及时点脉冲响应分析结果发现:我国中央银行针对异质通货膨胀指标进行的利率调控具有明显的时变特征。同时在"二率背离"的时点上,PPI的波动并未引起货币当局的充分反应,而货币政策在稳定物价方面更加关注CPI的变化趋势。因此,面对近年来我国PPI持续紧缩的情况,我国中央银行应充分重视PPI的走势,进一步降低企业融资成本以支持实体经济持续健康发展。

This paper constructs the optimal monetary policy rules on the basis of the loss func- tion of the central bank, then it studies the related dynamic controlling path of China＇s nominal in- terest rate with the TVP-VAR model. The results of the uniformly-spaced and spot pulse response analysis show that the interest rate controlling of China＇s central bank aimed at heterogeneous infla- tion index has obvious time-varying characteristics. While at the time-point of the ＂deviation of the two rates＂ , the fluctuation of PPI has not attracted the sufficient response from the monetary authori- ties, however, the monetary policy pays more attention to the changing tendency of CPI regarding the stabilizing the price of goods. Therefore, faced with the problem of continued PPI tightening in recent years, the central bank should pay more attention to the direction of PPI tendency and further reduce the financing costs of enterprise, so as to support the sustainable and healthy development of the real economy.