非线性泰勒规则及其政策效果——基于新凯恩斯DSGE模型的分析  

Nonlinear Taylor Rule and Its Policy Effects: Based on the Analysis of New Keynesian DSGE Model

作　　者：高宏[1] 

机构地区：[1]清华大学经济学研究所,北京100084

出　　处：《当代经济科学》2013年第4期19-26,124,共8页Modern Economic Science

摘　　要：本文以通货膨胀率为转换变量,建立了Logistic平滑转换形式的非线性泰勒规则,并将其纳入到具有微观基础的新凯恩斯DSGE模型中进行分析。文章利用1996年1月至2012年12月的数据通过贝叶斯估计,测定了货币政策拐点和转换速度,并进一步分析了各冲击因素对经济波动的短期和长期影响。研究表明实际货币余额冲击和货币政策冲击是造成我国经济波动的主要因素,因此,合理运用货币政策、调整短期利率,是保持经济平稳快速增长、管理通货膨胀的关键。This paper constructs a Logistic smooth transition regression nonlinear Taylor rule by using inflation rate as threshold variable and introduces it into a New Keynesian DSGE model with micro-foundation for estimate and analysis.Using monthly data from January 1996 to December 2012,this paper estimates its parameters by Bayesian method,determines the breakpoints and transition speed and evaluates the short-run and long-run effects on economic fluctuation of shocks.The result indicates that the real balance shock and monetary policy shock are the major factors behind economic fluctuation.So employing monetary policy tools to appropriately control the short-term interest rate is the key to sustain steady growth and manage inflationary pressures.

关 键 词：货币政策 非线性泰勒规则 经济冲击 

分 类 号：F224[经济管理—国民经济] F820F091.348