月度自然利率的估计及应用:Phillips曲线的影响  

Measuring the Monthly Natural Interest Rate:The Impact of the Phillips Curve

作　　者：张舒媛 郇志坚[2] 卢爱珍[1] 周思齐 Zhang Shuyuan

机构地区：[1]新疆财经大学金融学院,新疆乌鲁木齐830000 [2]中国人民银行乌鲁木齐中心支行,新疆乌鲁木齐830000

出　　处：《金融理论与实践》2023年第1期1-11,共11页Financial Theory and Practice

摘　　要：随着我国利率市场化改革不断推进,运用自然利率评价和调控货币政策具备了一定现实条件,而提高其估计频率则有助于更及时地指导实践。基于LW—HLW季度模型,构建半结构化混频模型,联立月度IS曲线和Phillips曲线,使用扩展卡尔曼滤波估计我国2007年1月至2019年12月的自然利率进行实证分析。因通货膨胀动态波动影响估计结果,故分析Phillips曲线滞后结构和预期跨度对估计结果的影响。结果显示,月度自然利率估计结果在1.1%—2.1%波动且能精准刻画全球金融危机等重要事件的影响。同时,滞后1年、提前10年数据滚动窗口设置下的估计结果最优,此时自然利率能及时反映外部冲击的影响,与产出缺口、潜在产出趋势增长率联动明显,建议考虑将月度自然利率估计结果作为我国货币政策评价和调控的参考依据之一。Based on the LW-HLW quarterly model,a semi-structured mixing model is constructed,the monthly IS curve and the Phillips curve are combined,and the extended Kalman filter is used to estimate China’s natural interest rate from January 2007 to December 2019.Because the dynamic fluctuation of inflation affects the natural interest rate estimation results,this paper analyzes the impact of the lagging structure and expected span of the Phillips curve on the robustness of the model.The results show that,first,the monthly estimation results accurately portray the characteristics of the financial crisis.The natural interest rate fluctuates between 1.1%and 2.1%.Second,the adjustment of the Phillips curve setting did not have a significant impact on the estimation results,which verified the robustness of the model.When the inflation lag period is shorter or the expectation is shorter,the main estimation results are slightly smaller.Third,a 12-month lag,and the inflation rate expectations calculated by the rolling window of data 10 years in advance are optimal.At this time,the natural interest rate responds to fluctuations in a timely manner,and it is obviously linked to the output gap and the potential output trend growth rate.

关 键 词：自然利率 Phillips曲线 货币政策 

分 类 号：F832.2[经济管理—金融学]