中国的经济“自然率”与货币政策规则:基于新凯恩斯动态模型的实证研究

Economic ’Natural Rates’ and Monetary Policy Rule in China:An Empirical Study Based on Dynamic New Keynesian Dynamic Model

现代经济理论中的经济“自然率”可以为更好理解现实经济状态提供判断依据,在货币政策研究与实践中具有较高应用价值。本文首先对国内外经济“自然率”及其货币政策应用的研究动态进行分析。在此基础上,根据新凯恩斯动态模型的基本框架,构建多变量状态空间模型,结合中国数据估计模型参数和不可观测变量,对模型估计结果进行分析。研究结果表明,将Taylor规则中的自然利率、隐性通货膨胀目标等不可观测变量设定为具有时变性质,能够捕捉到我国货币政策操作中的更多信息。通货膨胀缺口和实际利率缺口是货币政策态势的有效指示变量,需要进一步提升经济“自然率”在中国货币政策研究与实践中的应用价值。

The “natural rates” of economy in modern economic theory theories can provide judgment basis for better understanding the real economic state, and have high application value in the research and practice of monetary policy. Firstly, wehave an analysis on of the “natural rates” of economy domestic and foreign and the monetary policy trends is madethe domestic and foreign research trends of the “natural rate” of economy. Then,according to the basic framework of the dynamic nNew Keynesian Dynamic Mmodel, a multivariable state space model is constructed. The parameters and unobservable variables of the model are estimated with based on Chinese data related to China, and the results of the model estimation are analyzed. The results show setting unobservable variables such as natural interest rate and implicit inflation target in Taylor rule as time-varying variables can capture more information in the operation of monetary policy in China, and the inflation gap and real interest rate gap are effective indicators of monetary policy situation. Therefore, it is necessary to further enhance the application value of economic “natural rates”“natural rate” in monetary policy research and practice.