摘要
传统"麦卡勒姆规则"的线性设定存在一定的局限性,不能刻画中央银行货币政策随时间变化的非线性特征。本文使用多机制平滑转换回归模型对"麦卡勒姆规则"进行了非线性扩展,并运用该模型对中国1983-2011年的货币政策进行了实证分析。研究结果表明,以通货膨胀率为转换变量的三机制模型能较好地刻画货币供应量与通货膨胀缺口、产出缺口之间的时变非线性关系。根据宏观经济环境,中央银行对货币政策的调节力度与方向在不断变化:在低通货膨胀机制下,货币政策的调节目标是避免通货紧缩和促进经济增长;在温和通货膨胀机制下,货币政策的调节虽具有防止通货膨胀或通货紧缩的作用,但同时更倾向于增加货币供给来刺激经济增长;在高通货膨胀机制下,货币政策的调节只关注于抑制通货膨胀的发生,而对产出的反应不显著。
The original linear ＂Mccallum Rule＂ has some limitations, which can not capture time varying nonlinear characteristics of monetary policy. This paper employs smooth transition regression model to expand the linear ＂Mccallum Rule＂ to nonlinear one, and then explores Chinese monetary policy based on quarterly data from 1983 to 2011. The empirical result shows when the inflation rate is chosen as transition variable, the three - regime model can well describe the time varying nonlinear relationship between monetary supplies and inflation gap as well as output gap. The central bank will change the adjustment intensity and direction of the monetary policy according to maeroeconomic environments. In low inflation regime, the monetary policy can prevent deflation and maintain economic growth ; in mild inflation regime, the monetary policy can control inflation, hut it has impetus to increase monetary supply to stimulate economic growth; in high inflation regime, monetary policy only focuses on the inflation, not on economic growth.
出处
《经济评论》
CSSCI
北大核心
2013年第3期87-95,共9页
Economic Review
基金
2011年山东大学自主创新基金项目(2011GN025)的资助
关键词
麦卡勒姆规则
非线性
货币政策
STR
Mccallum Rule
Nonlinearity
Monetary Policy
Smooth Transition Regression
