最优货币政策规则参数的估计和中国货币状况指数的测度

Parameter Estimation of Optimal Monetary Policy Rule and Measurement of Money Conditions Index in China

本文从宏观经济的一般均衡模型出发,融入了股票价格和房地产价格变动,考察我国中央银行货币政策调控在经济增长和通货膨胀之间的目标规则,分析了影响货币政策规则参数变化的主要因素及潜在机制。本文的实证结果显示中央银行最优货币政策参数为0.144055,央行货币政策是逆周期操作,也意味着中央银行在制定货币政策时,赋予通货膨胀目标更高的权重;同时我国货币政策是逆房地产市场周期、顺股市周期的。进一步,本文从最优货币政策的角度考察了我国货币状况指数的权重。根据最优货币政策规则,货币状况指数权重为0.302876,即利率上升1%相当于汇率下降0.30%,意味着利率变动的效果要小于汇率变动的影响。

In this paper, we proceed from macroeconomic general equilibrium model to examine the central bank monetary policy rule of macro - regulation between economic growth and inflation, incorporating the equity price and real estate price and analyzing the main factors affecting the parameter of the rule and potential mechanism. The empirical results show that the parameter of the optimal monetary policy of the Central Bank is O. 144055, the Central Bank monetary policy operations lean against the wind, that is, the central bank gives a higher weight on inflation target in setting monetary policy, meanwhile monetary policy of China leans against real estate market, but with the stock market. Further, from the point of the optimal rule, this paper examines the weight of China＇s monetary conditions index, according to optimal monetary policy rule, the weight of the monetary conditions index is 0. 302876, reflecting the interest rate increases by 1% , the equivalent of exchange rate decreasing by 0.30%, implying that the effects of interest rate changes are less than exchange rate changes.