作　　者： (夏仕龙）; (黄宪）;

机构地区： 武汉大学经济与管理学院

出　　处： 《统计研究》 2017年第8期3-18,共16页

摘　　要： 当前主流的货币政策理论分析框架(DSGE模型)只考虑不变的政策规则,而大量的实证研究表明央行普遍采取可变的政策规则。本文首次将马尔科夫区制转换货币政策规则纳入理性预期研究框架,在灵活价格设定下,构建马尔科夫区制转换理性预期(MSRE)模型,用待定系数法求得MSV解析解,在三种"平稳"定义下讨论均衡确定性条件,利用马尔科夫区制转换状态空间模型对相关结构参数进行极大似然估计,最后对我国可变价格型货币政策调控通货膨胀率的效果进行定量分析,并剥离出经济主体预期未来政策变动的经济效果。 Nowadays the main theoretical analytical framework for monetary policy takes only the unchangeable rules into consideration while a lot of empirical researches reveal that the central banks commonly adopt changeable rules. This paper explores Markov-switching monetary policy by a rational expectation framework for the first time. Under the flexible-price assumption, a MSRE model is built up and the MSV solution is obtained from using undetermined coefficient method. The conditions are discussed for the equilibrium to be determined under three definitions of stability. Then base on the maximum likelihood estimation of the structural parameters by the Markov-switching state space model, a quantitative analysis is made on the impacts of the monetary policy formulated with changeable prices on inflation in China. Moreover, the economic efficiency of the shifting policy in the future is derived as expected by the economic entity.

关 键 词： 马尔科夫区制转换 理性预期 状态空间模型