泰勒规则在中国的协整检验

Cointegration Test of Taylor Rule in China

本文在全面分析泰勒规则的理论含义和实际应用的基础上 ,运用协整分析方法估计我国泰勒规则的具体形式。检验结果表明 ,泰勒规则可以恰当地描述我国银行间拆借利率的具体走势 ,并充当央行货币政策的决策依据。考虑到货币政策的时滞问题 ,本文尝试引入前瞻性泰勒规则 ,用预期通货膨胀率缺口代替原有的通货膨胀率缺口作为估计变量 。

This paper analyse the theoretical signification and practical application of Taylor rule. Using the cointegration theory in econometrics, this paper then estimates the specific form of Taylor Rule in China. The results of cointegration test prove that Taylor rule can describe the tendency of China interbank offer rate appropriately and serve as an important foundation or indicator when central bank establishes its monetary policy. In view of policy lag problem, this paper further modifies Taylor rule by introducing forward looking Taylor Rule.