基于实时混频数据的“区域”—非对称货币政策规则研究  

Research on'Zone'and Asymmetric Monetary Policy Rules Based on the Real-Time and Mixed Data

作　　者：张旭 刘晓星[2] ZHANG Xu;LIU Xiao-xing(School of Management Science and Engineering,Nanjing University of Information Science & Technology,Nanjing 210044,China;School of Economics and Management,Southeast University,Nanjing 211189,China)

机构地区：[1]南京信息工程大学管理工程学院,江苏南京210044 [2]东南大学经济管理学院,江苏南京211189

出　　处：《统计与信息论坛》2020年第10期42-50,共9页Journal of Statistics and Information

基　　金：国家社会科学基金专项基金“新时代基于系统性金融风险的国家金融安全体系研究”(18VSJ035);国家自然科学基金青年基金项目“金融市场异常波动的共振效应及其智能监控研究”(71903097);教育部人文社会科学研究青年基金项目“中国股票市场重大风险的生成机理、甄别与治理研究——基于市场流动性供需失衡视角”(18YJC790226);江苏省基础研究计划(自然科学基金)青年基金项目“金融资产价格极端波动的共振机理及其风险防范研究”(BK20190767)。

摘　　要：检验实时混频数据是否包含更多货币政策信息对货币理论与实践具有指导意义。构建包含中央银行“区域”—非对称偏好的拓展型货币政策反应函数,估计实时混频数据集,在此基础上,运用混频数据抽样方法(MIDAS)估计模型,并比较同频模型与混频模型的估计效果。研究发现,中央银行对高频通货膨胀缺口具有“区域”非对称偏好,对低频实时产出缺口具有非对称偏好,但不具有“区域”偏好;货币政策利率对高频通货膨胀缺口的响应不具有持续性,并且,实时混频数据模型的估计效果显著优于同频数据模型和最终数据模型,这意味着实时混频数据包含更多的货币政策调控信息。It is of great significance to test whether the real-time mixed data contain more monetary policy information to guide the theory and practice of monetary policy.To the end,it develops an extended monetary policy response function that includes the'zone'and asymmetric preferences of the central bank,estimates the real-time mixed data set,and uses the mixed-data sampling method(MIDAS)to estimate the models and compares the estimation performance of the same frequency model and the mixed model.It is find that the central bank has a'zone'and asymmetric preference for the high-frequency inflation gap and an asymmetric preference for the low-frequency real-time output gap,but does not have a'zone'preference on the real-time output gap.The results show that the impact of inflation on monetary policy interest rates is not sustainable.The MIDAS estimation is significantly better than that of the same frequency data model and that of the final data model,suggesting that the real-time data and mixed-frequency data contain more information on monetary policy.

关 键 词：货币规则 实时混频数据 “区域”偏好 MIDAS 

分 类 号：F832.5[经济管理—金融学]