开放经济条件下时变参数泰勒规则在我国货币政策中的适用性研究

A Study on the Applicability of Time-Varying Taylor Rule in China's Monetary Policy under the Condition of Open Economy

文章在考虑IS曲线、菲利普斯曲线以及泰勒规则等理论模型系统的内生性结构基础上,利用时变参数随机波动向量自回归(TVP-SV-VAR)模型捕捉我国货币政策对产出、通胀与汇率反应的时变特征,检验实际汇率与实际有效汇率进入泰勒规则对货币政策有效性的影响差异性。研究结果表明,相比未引入汇率因素或引入人民币实际汇率的泰勒规则,将人民币实际有效汇率引入泰勒规则使得货币政策钉住通胀目标参数与钉住产出缺口参数均得到更为显著的改善,更符合我国货币政策规则的实际。我国货币政策规则正由"相机选择型"向"规则型"利率调控模式转变,货币政策调控空间也逐渐向产出缺口与通胀率目标及人民币汇率稳定目标转变,具体而言,货币政策对通胀与产出的调整仅表现为先递增后递减的短期正向效应,且2006年第3季度以来,我国货币政策具有明显的通胀治理偏好;货币政策对人民币汇率波动在2001年之前表现为逐渐增强的短期负向效应,而后影响效应逐渐减弱。

In this paper,we consider the internal structure of the total demand curve,the new Cairns Phillips curve,the exchange rate interest rate transmission and the Taylor rule,and use the time-varying parameter vector autoregressive( TVP-SV-VAR) model,to capture the time-varying characteristics of China's monetary policy response to output,inflation and exchange rate,and examine the difference between the actual exchange rate and the effective exchange rate into the Taylor rule on the effectiveness of monetary policy. The results show that the introduction of RMB real effective exchange rate into the Taylor rule makes the monetary policy stare at the inflation target parameters and the output gap notation significantly improved compared to the Taylor rule without introducing the exchange rate factor or the RMB real exchange rate. The RMB real effective exchange rate into the Taylor rule is more in line with the reality of China's monetary policy rules.