时变参数泰勒规则及央行货币政策取向研究

A Time-varying Parameter Taylor Rule and the Central Bank's Monetary Policy Orientation

考虑到总需求、总供给曲线和泰勒规则之间存在的内生性结构以及货币政策规则可能呈现的非线性特征,本文构建了一种关于利率、通胀与产出缺口之间的时变参数结构向量自回归(TVP-SVAR)模型,并进一步利用马尔科夫链蒙特卡洛(MCMC)方法估计简化式的时变参数向量自回归随机波动(TVP-VAR-SV)模型,通过反推得到时变参数泰勒规则的估计。据此,本文考察了我国1996年一季度至2015年三季度样本期内的时变参数泰勒规则和时变货币政策传导效应。研究结果表明,我国货币政策具有明显盯住产出缺口和通胀目标的特征,而且近年来基本处于顺周期调整状态,其中盯住产出缺口参数呈下降态势;而盯住通胀目标参数则随通胀变化呈现显著的适时调整过程,近年来货币政策取向具有明显治理通胀偏好。此外,产出缺口扩大对我国通货膨胀的影响具有拉动效应,而且这种效应正在呈递增趋势。在此基础上,本文提出富有建设意义的政策建议。

Considering the endogenous structures among total demand, total supply curve and Taylor rule, especially the nonlinear characteristics of monetary policy rules, this paper builds a time-varying parameters structure vector autoregressive （TVP-SVAR） model including interest rate, inflation and output gap, and uses Markov chain Monte Carlo methods to estimate a reduced form of time-varying parameters vector autoregressive model with stochastic volatility （TVP-VAR）, finally through backstepping the estimated results to monetary policy rules, we derive the time-varying parameters Taylor rule. Then we examine the changes of time-varying parameters Taylor rule and time-varying conduction effect of monetary policy based on the data from 1996Q1 to 2015Q3 in China. The estimated results show that China＇s monetary policy has obvious pegged to output gap and inflation target, and present a procyclical adjustment in recent years. The parameters targeting to output gap declines recently, while the parameters targeting to inflation are adjusting significantly with the changes of inflation. Furthermore, the impact of expansion of output gap on inflation has a stimulating effect, and this effect is increasing recently. At last this paper puts forward some policy enlightenments.