包含货币因素的利率规则及其在我国的实证检验  

Interest Rate Rule with a Role of Money and its Empirical Test in China

作　　者：张屹山[1,2] 张代强[2] 

机构地区：[1]吉林大学数量经济研究中心 [2]吉林大学商学院

出　　处：《经济研究》2008年第12期65-74,共10页Economic Research Journal

基　　金：国家社会科学基金项目(07BJY168);教育部人文社会科学研究青年基金项目(08JC790044)的资助

摘　　要：本文根据新凯恩斯模型和货币需求方程,通过理论分析得到了包含货币因素的最优利率规则。该规则表明,货币增长率稳定性权重或货币需求方程的利率响应系数越大,利率规则的货币增长率响应系数越大,货币政策也就愈积极。然后,本文利用线性回归和门限回归方法及我国统计数据,从市场利率和管制利率两方面对利率规则进行了实证研究。估计结果表明,通胀系数、产出缺口和货币增长率各自的响应系数都大于0,这意味着利率规则能够保证当我国经济运行偏离均衡状态或央行目标时采取正确的政策调整方向,从而保证经济的平稳运行。货币高增长状态下各个变量的系数值都要稍微大于货币低增长状态下相应的系数值。The paper designs an optimal interest rate rule with a role of money by theoretical analysis based on the new Keynesian model and a money demand function. This rule indicates that if either the weight of money growth rate stability or interest rate coefficient of the money demand function is bigger, the responding coefficient of money growth rate is increasing, monetary policy becomes more aggressive. Then, we use both linear regression method and threshold regression method to make an empirical analysis on the reaction function with China＇s data, respectively. The results show that all coefficients of inflation, product gap and money growth rate are bigger than zero, which implies that when economic development deviates from either equilibrium state or central bank＇s target, the interest rate rule could conduct that the central bank would take correct measures in order to make sure the stability of economic development. Moreover, we find that all coefficients in the regime of high money growth rate increase are bigger than those in the regime of low money growth rate increase.

关 键 词：利率规则 货币 反应函数 门限 

分 类 号：F822[经济管理—财政学] F224