不确定性、宏观经济波动与中国货币政策规则选择——基于贝叶斯DSGE模型的数量分析  

Uncertainty, Macroeconomic Fluctuation and the Choice of Monetary Policy Rules in China:The Quantitative Analysis Based on Bayesian DSGE Model

作　　者：庄子罐[1] 崔小勇[2] 赵晓军[2] 

机构地区：[1]中南财经政法大学金融学院 [2]北京大学经济学院

出　　处：《管理世界》2016年第11期20-31,共12页Journal of Management World

基　　金：国家自然科学基金青年项目(批准号:71203238);教育部人文社会科学研究青年基金项目(批准号:11YJC790316);中央高校基本科研业务费专项资金资助

摘　　要：本文在Christiano等(2005)及Smets和Wouters(2003)模型基础上,使用我国GDP、消费、投资、利率、货币供应量、价格指数以及就业等宏观季度数据,应用贝叶斯方法估计一个货币DSGE模型以分析我国货币政策规则的选择问题。考虑到中国宏观经济及其货币政策操作面临的复杂性,本文在模型估计中假设货币政策遵循泰勒规则1、泰勒规则2和麦克勒姆法则3种操作规则,且模型面临参数和多种宏观经济冲击的不确定性。贝叶斯估计结果表明:参数的不确定性只是在量上影响货币政策冲击的效果,对冲击的影响没有方向性的改变;货币政策规则选择主要受宏观经济冲击的影响,且脉冲响应分析结果表明央行应该遵循泰勒规则2。This article estimates a monetary DSGE model based on Christiano et al(2005) and Smets & Wouters(2003) to discuss the impacts of uncertainties of model parameters, model specifications and model shocks on the choice of monetary policy rules in China by using data that consist of GDP, consumption, investment, interest rate, money supply,price index and employment from 1996Q1 to 2014Q2, with aid of Bayesian parameter estimation techniques. With respect to the complexity of monetary manipulation practice, this article assumes three monetary policy rules that central bank may abide by, that is Taylor rule 1(the policy interest rate reacts to inflation, inflation expectation changes and output gap), Taylor rule 2(the policy interest rate reacts to inflation target, inflation changes and output gap changes)and Mac Cullum rule(money supply growth rate reacts to inflation expectation and output gap changes). Bayesian estimation results show that model parameteruncertainties just influence the magnitude of monetary policy effects, rather than change the direction of monetary policy effects. Results also document the choice of monetary policy rules is mainly determined by macro economy shocks, and thesimulation analysis indicates central bank should adopt Taylor rule 2.

关 键 词：宏观经济波动 DSGE模型 货币政策规则 贝叶斯估计 

分 类 号：F822.0[经济管理—财政学]