宏观经济波动与我国货币政策操作策略选择研究

Macroeconomic Volatility and the Choice of China's Monetary Policy Operation Strategy

宏观经济时常发生大幅波动,央行通常是在不确定性的宏观经济状态下制定并实施货币政策。本文区分宏观经济变量的变动和波动,着重考察我国货币政策操作对宏观经济波动性变化的反应模式。通过拓展传统IS-Phillips经济结构模型,获取宏观经济波动性水平的度量指标,再将其纳入基于泰勒规则的前瞻性货币政策反应函数,然后从货币政策松紧程度和货币政策操作节奏的稳定性两个维度分析宏观经济波动性变化对我国货币政策操作策略的影响。实证结果显示:央行货币政策操作会对宏观经济波动性的变化做出规律性反应,宏观经济波动性的提高,一方面使央行降低利率,实行较宽松的货币政策,另一方面也使央行利率设定行为的波动性下降,即央行在宏观经济大幅波动期间的货币政策操作节奏会趋于平稳。在此基础上未来进一步研究方向包括央行货币政策对宏观经济波动做出反应的理论动机及其宏观经济效应等。

Macroeconomic volatility often occurs, and central banks usually develop and implement monetary policy in an uncertain macroeconomic condition. This paper distinguishes the fluctuation and volatility of macroeconomic variables, and focuses on the reaction mode of China＇s monetary policy reaction to macroeeo- nomic volatility changes. By extending traditional IS-Phillips economic structure model, we obtained the indi- cators of macroeconomic volatility level. Those volatility indicators are then embedded into the forward-looking monetary policy reaction function based on Taylor rule, to analyze the influence of macroeconomic uncertainty on China＇s monetary policy operation strategy from the perspectives of both tightness and stability of monetary policy. The empirical result shows that： central bank monetary policy operation does have regular response to changes of macroeconomic volatility level. Increases in macroeconomic volatility would make the central bank lower interest rate, and implement looser monetary policy. Besides, it would also lower the volatility of central bank＇s interest rate setting behavior, that is, the central bank monetary policy rhythm would tend to be more smooth and stable during period of high macroeconomic volatility. Based on above findings, future research di- rection includes the theoretical motivation and macroeconomic effects of central bank＇s monetary policy reaction to macroeconomic volatility.