基于灵活损失函数的中国最优灵活时变货币政策规则混频研究

Mixed-frequency research on China’s optimal flexible and time-varying monetary policy rules based on flexible loss function

自进入新时代以来,中国政府多次提出通胀和经济增长的双重区间目标,文章新提出基于灵活损失函数的最优灵活时变货币政策规则模型,并新构建混频混合创新时变系数随机方差回归模型(mixed-frequency mixture innovation time-varying parameter vector regression model with stochastic volatility,MF-MI-TVP-SV-RM)进行混频测度,使之具有函数、规则、系数和频率四个方面的灵活时变性,然后从32种代表性规则形式中混频筛选和测度适合中国新时代的最优灵活时变货币政策规则.实证分析表明:第一,与常系数和时变泰勒规则容易高估相比,最优灵活时变货币政策规则的利率平滑系数具有明显更小的规模和波动范围,且呈现灵活时变特征;第二,最优灵活时变货币政策规则具有灵活时变的正向敏感的非对称性通胀缺口偏好,且基本呈现顺周期特征第三,最优灵活时变货币政策规则具有灵活时变的宽跨度的对称惰性区间产出缺口偏好,且呈现顺逆周期交替特征;第四,最优灵活时变货币政策规则具有线性Phillips曲线特征且规则系数进入新常态后趋于平稳.为此文章提出一些政策建议.

Since entering the new era,the Chinese government has repeatedly proposed the dual interval goals of inflation and economic growth.The article proposes an optimal flexible time-varying monetary policy rule model based on a flexible loss function,and the mixed-frequency mixture innovation time-varying parameter vector regression model with stochastic volatility(MF-MI-TVP-SV-RM)is newly constructed for mixed-frequency measurement.Variable coefficients,which make it has four aspects of flexible time variation in function,rule,coefficient and frequency,then mixed-frequency select and measure the optimal flexible time-varying monetary policy rule which is suitable for China’s new era from 32 representative rule forms.Empirical analysis shows that:First,compared with the constant coefficient and the time-varying Taylor rule,the interest rate smoothing coefficient of the optimal flexible time-varying monetary policy rule has significantly smaller scale and fluctuation range,and presents flexible time-varying features;Second,the optimal flexible time-varying monetary policy rules have flexible and time-varying positive-sensitive asymmetric inflation gap preferences.And basically presents a procyclical feature;Third,the optimal flexible time-varying monetary policy rule has the flexible time-varying wide-span symmetric zones interval of the output gap preference and exhibits a cyclical alternating periodicity;Fourth,the optimal flexible monetary policy rule has a linear Philips curve characteristic and the rule coefficient tends to be stable after entering the new normal state.To this end,this paper proposes some policy recommendations.