我国货币政策与利率期限结构——基于无套利泰勒规则视角的分析  

Monetary Policy and Term Structure of Interest Rate in China: An Analysis based on the Perspective of No-arbitrage Taylor Rule

作　　者：郭俊芳[1] 王雪标 周生宝[3] 

机构地区：[1]东北财经大学经济学院,辽宁大连116025 [2]东北财经大学数学学院,辽宁大连116025 [3]大同大学数学与计算机学院,山西大同037009

出　　处：《商业研究》2017年第11期40-50,共11页Commercial Research

基　　金：国家自然科学基金面上项目"我国通胀预期和风险溢价与宏观因子作用机制的计量研究";项目编号:71273044;国家自然科学青年基金项目"分形市场中分数阶导数期权定价模型的建立;解法与应用研究";项目编号:71501031;辽宁省社科规划基金项目;项目编号:L13DJY069

摘　　要：中长期利率信息对货币政策制定具有重要指导意义,关系到货币政策的实施效果。本文利用仿射无套利宏观金融模型构建包含收益率曲线完整信息的基准、后顾、前瞻、前瞻后顾混合型四种无套利泰勒规则,通过与传统泰勒规则单方程模型对比考察中长期利率信息是否显著影响利率规则对宏观经济的反应。实证发现无套利泰勒规则隐含的中长期利率对宏观经济的反应信息以及宏观变量内生波动性使利率对产出的反应减小,对通胀反应更加积极但仍然小于1;利率期限结构提供的宏观一致预期信息使无套利前瞻和混合型规则有效避免了单方程泰勒规则由于缺乏高质前瞻信息而对产出的过度刺激,同时也使通胀反应显著且顺周期;我国货币政策一定程度上存在以无套利混合型泰勒规则为特征的规律性。The long-term interest rate information plays an important guiding role in the formulation of monetary policy,and is related to the implementation effect of monetary policy. The paper uses the affine no-arbitrage macro-financial model to construct benchmark,backward,forward-looking and forward-backward mixed-type no-arbitrage four Taylor rules that include the complete information of the yield curve. By comparing with the traditional Taylor single equation model,the paper examines whether medium and long term interest rate information have a significant impact on the reaction of interest rate rules to macroeconomy. The empirical study indicates that the response of the long-term interest rate to the macroeconomic and the macro-variables endogenous volatility have reduced the response of the interest rate to the output,and been more positive for inflation,but still less than 1; The macro-consistent expectation information provided by term structure of interest rate makes the no-arbitrage forward-looking and mixed-type rules effectively avoid the excessive stimulation to output led by the single equation model,which lacks high-quality forward-looking information,while the inflation response is significant and pro-cyclical; to some extent,China＇ s monetary policy has the law that is characterized by the no-arbitrage forward-backward mixed-type Taylor rule.

关 键 词：货币政策 泰勒规则 利率期限结构 无套利 马尔科夫链蒙特卡洛估计 

分 类 号：F820.2[经济管理—财政学]