利率规则的计量学理反思与“泰勒规则”形式选择  

An Econometric Reflection on Interest Rate Rule and the Form Selection of Taylor Rule

作　　者：刘达禹[1] 张竞文 宋洋 Liu Dayu;Zhang Jingwen;Song Yang(Center for Quantitative Economics,Jilin University;School of Public Finance and Taxation,Southwestern University of Finance and Economics)

机构地区：[1]吉林大学数量经济研究中心,130012 [2]西南财经大学财政税务学院,611130

出　　处：《经济评论》2024年第6期82-100,共19页Economic Review

基　　金：教育部人文社会科学重点研究基地重大项目“跨周期和逆周期结合下的金融安全维护研究”(22JJD790066);中央高校哲学社会科学研究创新团队项目“坚持共同富裕方向的中国经济高质量发展现代化道路研究”(2022CXTD25);中央高校基本科研业务费专项资金“中国经济周期测度的学理思辨与计量评价”(2022-JCXK-36)的联合资助。

摘　　要：有关“泰勒规则”基本形式的探讨一直都是货币经济研究领域内的经典议题。本文在计量学理层面阐述了含有利率滞后项的“泰勒规则”的弊端,并基于计量评价思想对中国真实“泰勒规则”进行选择,主要得出如下结论:含有利率滞后项的“泰勒规则”易于诱发过度拟合、伪平滑、系数估计偏误和显著性检验失效等问题,它并不是中央银行政策意图的真实反映;中国的实际利率规则与经典“泰勒规则”更为接近,其中,DR007、剔除食品价格的CPI和B-K(6-32)型滤波是政策利率、通货膨胀和产出缺口的最优代理指标;中国的真实“泰勒规则”中应包含产出缺口和通胀偏离的二次项,这是因为中央银行具有规避通货膨胀和经济收缩的偏好。本文还提出了计量评价这一宏观研究理念,计量评价力求在概念、理论、数据、现实、预测等多个维度上进行综合评判,从而更精确地还原经济事实原貌,为后续研究更精准地遴选计量模型提供有益参考。Discussing the basic form of “Taylor Rule” has been a classic topic in monetary economics. This paper first illustrates the shortcomings of the Taylor Rule with Clarida's form, then selects China's real Taylor Rule based on the principles of econometric evaluation. The main conclusions are as follows: Firstly, the Taylor Rule with Clarida's form, which leads to overfitting, pseudo smoothing, estimating bias, and hypothesis testing failure, is not a true reflection of the central bank's policy intention. Secondly, China's real interest rate rule is closer to the classic Taylor Rule, in which DR007, the CPI excluding food price and B-K(6-32)-type filter are the optimal proxy indicators of nominal interest rate, inflation, and output gap respectively. Thirdly, as the central bank shows a strong preference for avoiding inflation as well as economic contraction, China's real Taylor Rule should include the quadratic terms of inflation deviation and the output gap. In addition, this paper also puts forward a new framework of macro research, that is econometric evaluation, which aims at making a comprehensive evaluation in terms of concept, theory, data, reality, prediction, etc., so that reflects stylized facts more accurately and provides guidance for more accurate selection of methodologies in subsequent studies.

关 键 词：“泰勒规则” 产出缺口 通货膨胀 计量评价 

分 类 号：F822[经济管理—财政学]