中国货币政策规则的估计与比较  

Estimating and Comparing China's Monetary Policy Rules within a DSGE Model

作　　者：岳超云[1,2] 牛霖琳[1] 

机构地区：[1]厦门大学王亚南经济研究院 [2]云南省社会科学院

出　　处：《数量经济技术经济研究》2014年第3期119-133,共15页Journal of Quantitative & Technological Economics

基　　金：国家自然科学基金青年项目(70903053);青年-面上连续项目(71273007)的资助

摘　　要：本文在DSGE模型框架下用贝叶斯方法对中国货币政策的利率规则和数量规则进行了估计,并比较了不同货币规则模型对数据的解释和预测能力,提供了货币规则随中国货币政策调控机制改革演化的证据。本文发现数量规则比利率规则在整体上更能解释中国的货币政策,但是利率规则的解释能力随着利率市场化改革的深入而逐渐提高,此外在利率规则中加入货币因素能显著提高模型对数据的解释和预测能力。We estimate and compare the quantity rule to the price rule of China＇s monetary policy within a DSGE model using the Bayesian approach. We find evidences that the capacity of different rules in explaining China＇s monetary policy is evolving according to the reform progress in financial market regime. Before 1998 when the People＇s Bank of China abandoned the traditional central-planning system of allocating funding to state-owned enterprises, the quantity rule performs better than the price rule to explain China＇s monetary policy. After 1998, the price rule explains China＇s monetary policy more efficiently during the whole sample from 1994 to 2010 and each subsample. However, a hybrid rule of adding quantity factor in the interest rate rule performs better than both the quantity rule and inter- est rate rule.

关 键 词：货币政策规则 DSGE 贝叶斯方法 

分 类 号：F822.1[经济管理—财政学]