中国货币政策规则中的时变门限效应研究

Study on the Time-Varying Threshold Effect in China's Monetary Policy Rules

本文提出了具有时变阈值的门限泰勒规则模型,并运用该模型对中国1992-2014年间货币政策规则中的时变门限效应进行了实证研究。结果表明,时变阈值的引入揭示了中国货币政策规则的三大显著特征:第一,非对称性,即高通胀时期利率对通胀缺口和产出缺口的反应系数值均大于低通胀时期;第二,不稳定性,即不论通胀率高低,利率对通胀缺口的反应系数均非显著大于1;第三,时变性,即在经济发展的不同阶段,货币当局在制定货币政策时所参考的阈值具有显著的时变特征。

This paper proposes a new type of threshold Taylor rule model with time-varying threshold values,which is applied to examine the time-varying threshold effect in China's monetary policy rules from 1992 to 2014. The result shows that the introduction of time-varying thresholds reveals three properties of China's monetary policy rules. First,China's monetary policy rules are asymmetry,i.e.,the responses of the interest rate to inflation gap and output gap in high-inflation periods are both greater than those in low-inflation periods; Second,China's monetary policy rules are unstable,i.e.,the response of the interest rate to inflation gap is not significantly greater than 1 regardless of the level of inflation; Third,China's monetary policy rules are time-varying,i.e.,at different stages of economic development,the reference points of monetary authorities in the formulation of monetary policy have significant time-varying properties.