基于影子利率期限结构的货币政策效应分析

Analysis of Monetary Policy Effects:A Research Based on Shadow Rate Term Structure Model

文章首先估计并分析了影子利率期限结构模型,然后基于该模型得到了一种新的衡量货币政策趋势的政策利率,最后利用政策利率分析了货币政策对宏观经济状态的影响效应。研究结果表明,基于影子利率模型得到的宏观经济状态对于政策利率冲击所产生的响应结果为货币政策效应的计量分析提供了一个新的视角。因此中央银行在制定货币政策时,不应只关注表面的实际利率值,同时也应注重潜在影子利率值的波动情况,以便实现预期政策目标。

In this paper, we first estimated and analyzed a shadow rate term structure model. Then on the base of the model we got a new policy rate to measure monetary policy trends. Finally, using the shadow rate we analyzed the impact of monetary policy on macro-economy. The study provides a new perspective of macroeconomic impact of monetary policy. And the new aspect is mainly based on the impulse response of the policy rate, which derives from the shadow rate term structure model, to macro-economy. Therefore, to achieve the optimal policy effect, the central bank should make policy focus not only on the real interest rate but also on the underlying shadow interest rate.