摘要
在中国金融改革进程中,从时变视角揭示中央银行的偏好行为及其隐含的货币政策信息对进一步优化货币政策调控模式具有关键作用。为此,本文提出一种新型的损失函数用以刻画中央银行的偏好行为,通过构建两阶段贝叶斯联合估计方法,研究中央银行的实时时变偏好行为。研究结果表明,相比于经济扩张和通货膨胀,中央银行更加厌恶经济收缩和通货紧缩,并且这种偏好的非对称性还呈现出显著的时变性;中央银行对实时产出缺口表现出"惯性"偏好特征,但对通货膨胀没有"惯性"反应。进一步对其影响因素分析发现,中央银行的时变非对称性偏好行为受经济波动、货币政策周期、经济政策不确定性及偏好替代效应的影响,并呈现出显著的区制转换特征。因此,中央银行偏好行为的实时时变分析对货币政策实施具有重要的指导价值。
In the modern economic system,monetary policy is one of the main instruments used to regulate and control the macro-economy,and its related issues have always been popular topics for scholars.China s financial system reform has made remarkable achievements during the past decades.In the process of this reform,has the preference behavior of the People s Bank of China(PBC)also changed?If so,what are the influencing factors?Do they impact the implementation of monetary policy?Accurately answering these questions is greatly significant for understanding the evolutionary trends of China s monetary policy regulation and for guiding financial practice.Therefore,in this paper,we attempt to explore the PBC s loss preference behavior and its influencing factors from a time-varying perspective.We first propose a new type of loss function used to characterize the asymmetric and“zone”preference of the central bank,and then construct a two-stage Bayesian joint estimation strategy to estimate the PBC s real-time and time-varying loss preference using real-time data.Based on the estimated time-varying asymmetric preference,we construct and estimate a Markov regime-switching model to investigate the influencing factors of the PBC s preference behavior.Our results show that the PBC is more averse to economic contraction and deflation than to economic expansion and inflation,and that this asymmetric preference presents significant time-varying and trend characteristics.The new loss function proposed in this paper can be well used to describe the“zone”characteristic of the central bank s loss preference.Our empirical results based on this new loss function show that the PBC has a“zone”preference for the real-time output gap,but has no“zone”reaction to inflation.Further analysis shows that the PBC s time-varying and asymmetric preference behavior presents a significant regime-switching characteristic and is remarkably affected by economic fluctuations,monetary policy cycles,preference substitution effects and economic
作者
刘晓星
张旭
LIU Xiaoxing;ZHANG Xu(School of Economics and Management,Southeast University;School of Management Science and Engineering,Nanjing University of Information Science&Technology)
出处
《经济研究》
CSSCI
北大核心
2018年第10期33-49,共17页
Economic Research Journal
基金
研究阐释党的十九大精神国家社科基金专项(18VSJ035)
国家自然科学基金(71473036
71673043)
教育部人文社会科学研究青年基金(18YJC790226)资助
关键词
损失偏好
实时数据
时变参数
两阶段贝叶斯联合估计
Loss Preference
Real-time Data
Time-varying Parameter
Two-step Bayesian Joint Estimation
