作　　者： ;

机构地区： 广东财经大学金融学院

出　　处： 《南方经济》 2015年第6期67-83,共17页

摘　　要： 本文在双重时变设定中考察泰勒规则在中国的适用性,一方面参数时变性体现的是央行对经济冲击的响应强度变化,另一方面货币政策目标维数的时变性体现的是央行在不同时期核心政策目标的转移。实证结果表明:(1)影响央行利率调整的政策目标维度存在时变性,尤其体现在汇率对利率调整的阶段性影响;(2)利率对通货膨胀的响应并不充分,不符合严格意义上的泰勒规则,但在通货紧缩时期,利率调整在一定程度上能缓解通货紧缩,利率对通货膨胀与通货紧缩的反应存在明显的不对称性。基于我国货币供给的内生性,本文建议,我国应该加快推进利率市场化进程,培育以利率为货币政策中间变量的金融环境。 In a double time - varying setting, this paper investigates the applicability of Taylor rule in China. The time - varying setting of parameter reflects the time - varying response of central bank to economic shock, and the time - varying number of monetary policy objectives reflects the shift of core monetary policy objectives of central bank at different times. The result shows that： （1） the dimension of factors affecting the interest rate exists significant variability, which can be reflected by the periodic impact of exchange rate on interest rate; （2） the response of interest rate to inflation is not sufficient, which is not in line with the ＂Taylor rule＂, but in deflation period, the interest rate can ease deflation; the response of interest rate to inflation and deflation are obvious asymmetry. Based on the endogenous money supply in China, this paper suggests that China should accelerate the process of market interest rates and foster a financial environment where the interest rate is the intermediate variable of monetary policy.

关 键 词： 泰勒规则 时变参数 时变目标维数

领　　域： [经济管理—金融学]