非线性货币政策规则、通胀预期与不确定性

LSTR,non-linear monetary policy and indeterminacy

逆序构建了LSTR-NLRE模型,并利用2000.Ⅰ~2016.Ⅲ的季度数据对我国LSTR货币政策规则的非线性与非对称性、最优阈值、阈值和转移速度对不确定性的影响进行了实证研究.逆序建模表明,对于LSTR-NLRE系统,若使最优非线性货币政策规则具有LSTR的形式,则非线性菲利普斯曲线具有指数形式.实证研究表明:我国货币政策呈现非线性与非对称特征,且我国通胀预期的阈值与通胀波动幅度相关,当通胀波动较大时,通胀预期的阈值较高,2000.Ⅰ~2011.Ⅲ的阈值为3%,当通胀呈趋势变化且波动较小时,通胀预期的阈值较低,2011.Ⅳ~2016.Ⅲ的阈值为2.33%.同时,合理的通胀目标(区间)对非线性货币政策调整至关重要.进一步,我国货币政策不确定性效应受阈值影响较大,受转移速度影响较小.在高机制状态下,LSTR规则更易稳定产出,但却易导致通胀不确定性;在低机制状态下,LSTR规则不仅有较长滞后期,而且易导致产出不确定性,但却更易稳定通胀.中央银行应依据稳定产出和通胀的意愿程度,来管理通胀预期:如果中央银行更倾向于稳定产出,则应使通胀预期位于阈值水平之上,以使货币政策处于高机制状态;如果中央银行更倾向于稳定通胀,则应使通胀预期位于阈值水平之下,以使货币政策处于低机制状态.

ALSTR-NLRE model is backwardly constructed. In the framework of LSTR-NLRE model, using Chinese economic data during the first quarter of 2000 and the third quarter of 2011, this paper positively ana- lyzes the nonlinearity and asymmetry of Chinese monetary policy rule with LSTR, and positively analyzes and simulates the effects on indeterminacy based on threshold value and transfer speed. The backward Modeling process shows that, in order to make optimal monetary policy rule in the NLRE system consistent with nonlin- ear rule with LSTR, nonlinear Philips curve should be an exponential function. The positive analyses shows that ： Chinese monetary policy has the characteristics of nonlinearity and asymmetry, and the threshold value is positively related with inflation variation. During the first quarter of 2000 and the third quarter of 2011, the threshold of inflation expectation is 3 %, while from the fourth quarter of 2011 to the third quarter of 2016, the threshold of inflation expectation is 2.33 %. A reasonable target of inflation expectation is very important to the central bank. Furthermore, threshold value has a greater influence on indeterminacy than transfer speed. In the high regime, nonlinear monetary policy rule with LSTR is more likely to stabilize output gap than inflation. In the low regime, nonlinear monetary policy rule with LSTR is more likely to stabilize inflation and is more likely to lead to output indeterminacy with long policy lag. If output gap is highly weighted, the central bank should increase inflation expectation above threshold value to put monetary policy into the high regime. If in- flation is highly weighted, the central bank should decrease inflation expectation below the threshold value to put monetary policy into the low regime.