货币政策机制转换与通货膨胀持续性——基于时变参数的泰勒规则

Monetary Policy Regime Shifts and Inflation Persistence:Based on Time-varying Parameter Taylor Rule

通货膨胀持续性是中央银行制定货币政策的重要参数,理解驱动通货膨胀持续性变化的因素具有重要的研究意义。该文在新凯恩斯模型框架下,基于一个时变参数的泰勒规则,分析了货币政策机制转换对通货膨胀持续性的影响。实证结果表明,20世纪90年代以来,中国通货膨胀持续性发生了显著的变化。通货膨胀缺口调整系数与通货膨胀持续性不存在负相关关系,中央银行增加通货膨胀目标权重不能够显著地降低通货膨胀持续性;GDP增长率缺口调整系数与通货膨胀持续性存在正相关关系,中央银行减小经济增长目标权重能够降低通货膨胀持续性。

Inflation persistence is an important parameter with which central bank formulates monetary policy, and it is of great significance to understand the factors driving inflation persistence. Under the framework of New Keynesian model, this paper analyzes the effect of monetary policy regime shifts on inflation persistence based on a Taylor rule of time-varying parameter. The empirical results show that, since the 1990s, China＇s inflation persistence has undergone significant changes. There is no negative correlation between the inflation gap adjustment coefficient and inflation persistence. The central bank＇s inflation target weight can not significantly reduce inflation persistence. The adjustment coefficient of GDP growth rate gap is positively correlated with inflation persistence. The central bank can reduce inflation persistence when reduce the weight of economic growth target.