产出缺口、产出增长率与泰勒规则

Output Gap,Growth Rate and Taylor Rule

传统的泰勒规则是以产出缺口作为反映经济活动的指标,由于产出缺口的不可观测性直接导致了利率反应函数估计精度的下降。以产出增长率缺口替代产出缺口,重新对泰勒规则进行估计,实证结果表明:使用GDP增长率缺口替代产出缺口,显著地改善了利率反应函数的估计效果;从预测误差来看,后顾性利率反应函数的预测结果更接近于实际名义利率,而前瞻性模型的预测能力相对较差。这说明中国利率调整政策更多地依赖于以往的经验而前瞻性预期相对较弱,这也充分表明了中国货币政策的调整是谨慎的,在一定程度上是可预见的。

In typical Taylor rule,unobservability of output gap used to be the indicator of economic activity decreases the accuracy of estimated parameters.We use GDP growth gap instead of output gap as the indicator of economic activity in building Taylor rule.The empirical results show that GDP growth gap can improve the accuracy of model significantly.Backward-looking reaction function fits the historical data of Chinese interbank rates much better than others.It implies that the adjusting of interest rate in China depends much more on the historical experiences,less on forward-looking expectation.The monetary policy of China's central bank is cautious and predictable in some extent.