扩展利率模型:考虑货币供应量和货币流通速度的利率政策分析  

Expanded Interest Rate Model:An Analysis of Monetary Policy Considering Money Supply and Money Velocity

作　　者：崔红蕊 汪贵州 Cui Hongrui;Wang Guizhou(Beijing Liyan Institute of Finance and Development,Beijing 100020,China;University of Stavanger,Stravanger 4032,Norway)

机构地区：[1]北京立言金融与发展研究院,北京100020 [2]University of Stavanger,Stavanger 4032

出　　处：《金融理论探索》2023年第6期29-35,共7页Exploration of Financial Theory

摘　　要：制定利率政策是中央银行的重要职责,确定合适的利率水平具有挑战性。本文在泰勒规则基础上加入货币供应量和货币流通速度,提出一个扩展利率模型。基于2001—2022年的中国季度利率数据对模型进行估计和验证,并最优化赋予给通货膨胀率偏差、实际国内生产总值偏差、货币供应量偏差和货币流通速度偏差的权重。结果显示,泰勒规则解释力不足,不能刻画中国货币利率政策,加入货币供应量和货币流通速度的扩展模型能显著降低预测误差,能较好地解释利率变化,有效地刻画了中国历史利率走势。Central banks have a crucial responsibility of formulating interest rate policies,but determining the appropriate level of interest rates is challenging.This article proposes an extended interest rate model that incorporates money supply and money velocity into Taylor rule.The model is estimated and validated using quarterly data from China 2001Q1-2022Q1,optimizing weights for deviations in the inflation rate,real GDP,money supply,and the money velocity.Results indicate that Taylor rule has limited explanatory power and fails to effectively explain China’s monetary interest rate policies.The extended model with money supply and money velocity significantly reduces forecasting errors and provides a better explanation of interest rates,effectively capturing China’s historical interest rate trends.

关 键 词：利率 泰勒规则 通货膨胀率 货币供应量 货币流通速度 货币政策 

分 类 号：F830.9[经济管理—金融学]