多目标货币政策工具规则的设定与选择——基于动态不一致性理念

Setting and Selection of Multi-objective Monetary Policy Tools:Based on Dynamic Inconsistency Theory

货币非中性与货币供给的内外共生性是工具规则发挥作用的理论前提,文章运用动态不一致性理论,选取中国1996年至2018年的季度面板数据为样本,采用普通最小二乘法和广义矩估计法,构建了多目标利率规则和基础货币规则模型,对利率规则和基础货币供应量规则进行了实证检验。研究发现:(1)引入平滑因子的前瞻性利率规则符合我国货币政策操作,其平滑参数是0.895,利率对通货膨胀缺口、产出缺口和汇率缺口的参数值分别是1.914、0.253和-1.305;(2)加入外汇储备因素的基础货币规则模型能合理反应我国货币政策操作走向,其基础货币增长率对外汇储备增长率、通货膨胀缺口、产出缺口和汇率缺口的反应系数分别是0.103、-0.461、-0.068和-0.678。研究结果表明中央银行要做好工具规则的选择与使用,持续提升基础货币作为操作变量的有效性,并不断提高货币政策操作的透明度,稳定市场预期。

Non-neutrality and internal and external symbiosis of currency supply are the theoretical premise for instrument rules to function. Accordingly, in light of the dynamic inconsistency theory, the paper constructs a multi-objective interest rate rule model and a basic monetary rule model to make an empirical test of the interest rate rule and basic monetary supply rule with the least square method and generalized method of moments estimator based on the quarterly panel data sample from 1996 to 2018 in China. The study shows, firstly, the forward-looking interest rate rule with smoothing factor is consistent with China’s monetary policy operation.The smoothing parameter is 0.895. The parameters of interest rate to the inflation gap, output gap and exchange rate gap are respectively 1.914, 0.253 and-1.305. secondly, the basic currency rule model with factors of foreign exchange reserve can reasonably reflects the trend of monetary policy operation in China. The reaction coefficients of the growth rate of basic currency to the growth rate of foreign exchange reserve, inflation gap, output gap and exchange rate gap are respectively 0.103,-0.461,-0.068 and-0.678.Therefore, the paper proposes that the central bank should pay more attention to the selection and use of the instrument rule,continuously promote the effectiveness of manipulated variable of basic currency, and improve the transparency of monetary policy operation to stabilize the market expectation.