中国货币政策的利率规则——基于金融状况指数的分析

Monetary Policy Interest Rate Rules in China—The Analysis based on FCI

为检验中国中央银行是否已将金融市场状况纳入货币政策的框架,采用HTVPVAR模型的脉冲响应构建中国金融市场状况指数,检验结果显示:以金融市场状况指数为转换变量的STR模型形式的利率规则能较好地拟合实际数据,政策利率对通货膨胀缺口的变动存在非线性调整,且金融市场的景气(不景气)将增强(减弱)货币政策对通货膨胀缺口的反应程度。

For overlooked the structural changes in representative financial variables and unexpected exteruanl shocks,when building the FCI and inspection the interest rate rules selection of central bank,and whether monetary policy is positive or not. For [For] the first time, FCI were[were]builted by the HTVPVAR model with time-varying variance decomposition and impulse response, and it was brought into the STR model in the form of Taylor＇s interest rate rules. Inspection results argued that monetary policy would make nonlinear adjustment for the gap of inflation gap changes, and the current financial market in good （bad） will strengthen （weaken） the monetary policy response to the changes in the gap of inflation. This conclusion can be used as the empirical evidence for selecting the interest rate as the intermediate target of monetary policy.