模型不确定性下的最优利率规则

Optimal Interest Rate Rule under Model Uncertainty

在一个封闭后瞻宏观经济模型的基础上,构建包含64个模型的模型空间来刻画模型不确定性,利用贝叶斯模型平均方法求解模型不确定性下的最优利率规则并与单个模型下的最优利率规则进行比较。研究表明,模型不确定性下的最优利率规则比基于单个模型的最优利率规则更加稳健;模型不确定性是央行普遍实行保守的货币政策的原因之一。

Based on a closed backward-looking macroeconomic model,this paper establishes a model space that contains 64 models and applies Bayesian model averaging method to solve the optimal interest rate rule of China.The results shows that the optimal interest rate rule under model uncertainty is robust than the rule under single model in the model space and model uncertainty is one of the reasons of the conservative monetary policy.