兼顾增长与风险因素的最适短期政策利率规则研究——基于跨周期设计理念

Research on the Optimal Short Term Policy Interest Rate Rules that Balance Growth and Risk Factors——Based on Cross-Cycle Design Concepts

本文构建了兼顾经济增长和风险因素的利率规则方程,设计了基于跨周期思路的实证方法,通过引入平均损失比来度量政策表现,并使用中国2006年1月至2021年9月的季度数据对模型进行检验与模拟,最终确定了跨周期的最适利率规则方程。研究发现:在系统性金融风险系数被赋予0.1固定低值的规则下,政策效果更好;通胀缺口倾斜型规则的政策效果明显优于产出缺口倾斜型规则;失业率缺口倾斜型规则的政策效果优于通胀缺口倾斜型规则。建议央行优化政策利率形成过程,完善政策引导规则,提升货币政策调控效率。

This paper constructs an interest rate rule equation that considers both economic growth and risk factors and designs an empirical method based on cross-cycle thinking.Further,this paper measures policy performance by introducing the average loss ratio,and uses quarterly data from January 2006 to September 2021 in China to test and simulate the model,ultimately determining the optimal interest rate rule equation across cycles.Research has found that under the rule of assigning a fixed low value of 0.1 to the systemic financial risk coefficient,policy effects are better.The policy effect of the inflation gap skewed rule is significantly better than that of the output gap skewed rule.The policy effect of the unemployment gap skewed rule is better than that of the inflation gap skewed rule.It is recommended that the central bank optimizes the process of forming policy interest rates,improves policy guidance rules,and enhances the efficiency of monetary policy regulation.