中央银行的实时时变偏好行为研究

The Real-time and Time-varying Preference of the Central Bank

在中国金融改革进程中,从时变视角揭示中央银行的偏好行为及其隐含的货币政策信息对进一步优化货币政策调控模式具有关键作用。为此,本文提出一种新型的损失函数用以刻画中央银行的偏好行为,通过构建两阶段贝叶斯联合估计方法,研究中央银行的实时时变偏好行为。研究结果表明,相比于经济扩张和通货膨胀,中央银行更加厌恶经济收缩和通货紧缩,并且这种偏好的非对称性还呈现出显著的时变性;中央银行对实时产出缺口表现出"惯性"偏好特征,但对通货膨胀没有"惯性"反应。进一步对其影响因素分析发现,中央银行的时变非对称性偏好行为受经济波动、货币政策周期、经济政策不确定性及偏好替代效应的影响,并呈现出显著的区制转换特征。因此,中央银行偏好行为的实时时变分析对货币政策实施具有重要的指导价值。

In the modern economic system,monetary policy is one of the main instruments used to regulate and control the macro-economy,and its related issues have always been popular topics for scholars.China s financial system reform has made remarkable achievements during the past decades.In the process of this reform,has the preference behavior of the People s Bank of China(PBC)also changed?If so,what are the influencing factors?Do they impact the implementation of monetary policy?Accurately answering these questions is greatly significant for understanding the evolutionary trends of China s monetary policy regulation and for guiding financial practice.Therefore,in this paper,we attempt to explore the PBC s loss preference behavior and its influencing factors from a time-varying perspective.We first propose a new type of loss function used to characterize the asymmetric and“zone”preference of the central bank,and then construct a two-stage Bayesian joint estimation strategy to estimate the PBC s real-time and time-varying loss preference using real-time data.Based on the estimated time-varying asymmetric preference,we construct and estimate a Markov regime-switching model to investigate the influencing factors of the PBC s preference behavior.Our results show that the PBC is more averse to economic contraction and deflation than to economic expansion and inflation,and that this asymmetric preference presents significant time-varying and trend characteristics.The new loss function proposed in this paper can be well used to describe the“zone”characteristic of the central bank s loss preference.Our empirical results based on this new loss function show that the PBC has a“zone”preference for the real-time output gap,but has no“zone”reaction to inflation.Further analysis shows that the PBC s time-varying and asymmetric preference behavior presents a significant regime-switching characteristic and is remarkably affected by economic fluctuations,monetary policy cycles,preference substitution effects and economic policy uncertainty.This paper is greatly significant for understanding the PBC s preference behavior and for improving the effectiveness of China s monetary policy.The results show that the central bank presents a“zone”preference for the real-time output gap,motivating us to fully assess the influence of this preference on the formulation and implementation of monetary policy.As the PBC s preference is significantly time varying and asymmetric,it is necessary to construct an extended monetary policy response function based on the asymmetric preference when regulating the interest rate.Meanwhile,the structural influence of external shocks on the model parameters should be considered from a time-varying perspective.This paper is a preliminary attempt to do so,and the subsequent theoretical research and financial practice relying on the time-varying preference of the central bank can consider setting the“zone”parameters as time-varying parameters while also including asset prices,financial stability and other factors in the central bank s target.This paper makes the following main contributions.First,based on the existing shortcomings of the central bank s preference function,it proposes a linear exponential-power loss function that describes the“zone”and asymmetric preference.Empirical results show that our loss function has universal applicability.Second,based on Kim&Nelson(2006),we propose a two-stage time-varying parameter Bayesian joint estimation strategy,which can be widely applied to deal with endogenous problems in time-varying parameter models.Third,we investigate the influencing factors of the central bank s time-varying and asymmetric preference for the first time,and find that these factors include economic fluctuations,monetary policy cycles,preference substitution effects and economic policy uncertainty.