利率平滑与央行政策偏好的非对称性——中国的证据  

Interest Rate Smoothing and Asymmetry of Central Bank' Preference:Evidence from China

作　　者：熊海芳[1] 王志强[1] 

机构地区：[1]东北财经大学金融学院,辽宁大连116025

出　　处：《金融研究》2013年第11期41-54,共14页Journal of Financial Research

基　　金：国家自然科学基金项目(71173030);教育部人文社会科学青年基金项目(13YJC790036)的资助

摘　　要：本文在分析泰勒规则中利率平滑证据的基础上,考察央行实际操作中的利率平滑现象,并基于STR模型验证季度、月度与周度利率的非线性平滑特征,进一步基于双曲正切函数STR模型从央行政策偏好角度采用央行损失函数检验央行对利率平滑的非对称偏好。经验研究发现,我国泰勒规则中存在很明显的利率平滑行为,货币政策实际操作中也一样,序列相关冲击并不影响这一结论。LSTR模型表明市场利率具有不同区制上的可预测性。央行对利率政策的渐进调整具有非对称性的偏好,货币政策惯性呈现非线性的特点。Based on the evidences of interest rate smoothing in Taylor Rule, this paper inspects the smoothing in actual actions of central bank, and analyzes the nonlinear smoothing of quarterly, monthly and weekly market interest rate using smooth transition regression （STR） model. We use hyperbolic tangent function STR models to study asymmetry of central bank＇s preference. The results show that there is significant interest rate smoothing in Taylor Rule of China, and also in actual actions of central bank, while serially correlated shocks are impor- tant but have no effect on the degree of interest rate smoothing. There is forecast ability of market interest rates in different regimes. Central bank has asymmetric preference in interest rate smoothing and monetary policy in- ertia exhibits a striking nonlinear trait.

关 键 词：泰勒规则 利率平滑 央行偏好 STR模型 

分 类 号：F822.0[经济管理—财政学] F224