应对外生冲击的泰勒规则调整与货币政策效果改善——基于全球217个国家的大数据实证  

Taylor Rule Adjustment to Exogenous Shocks and Improved Monetary Policy Effectiveness:Based on the Empirical Evidence from 217 Countries Worldwide

作　　者：马理 张人中 马威[1,2] MA Li;ZHANG Renzhong;MA Wei(College of Finance and Statistics,Hunan University,Changsha 410006,China;Postdoctoral Innovation Practice Base of Guilin Bank,Guilin 541000,China)

机构地区：[1]湖南大学金融与统计学院,长沙410006 [2]桂林银行股份有限公司博士后创新实践基地,桂林541000

出　　处：《计量经济学报》2024年第6期1557-1575,共19页China Journal of Econometrics

基　　金：国家自然科学基金面上项目(72073042,72473037);国家社会科学基金一般项目(23BGJ089)。

摘　　要：常用的泰勒规则一般盯产出缺口与通胀缺口,但是在重大外生冲击下,泰勒规则可能需要适时调整盯住对象以提高货币政策的调控效果.本文以新冠疫情作为外生冲击的代表,分外生冲击前和外生冲击后两个阶段分期构建PVAR模型,对比研究了调整盯住目标后的泰勒规则的有效性.研究显示:添加了汇率和金融稳定因素之后的泰勒规则能够更好地应对外生冲击,且对发达国家和浮动汇率国家更为有效.政策建议是:各国应当结合自身发展特征调整货币政策,建立应对突发危机事件外生冲击的货币政策调控框架,完善国际货币政策协调机制,实施稳定的汇率政策和跨境资本的宏观审慎调控政策,抵御外生冲击的不利影响和实现对宏观经济的最优调控.The commonly used Taylor rule generally stares at the output gap and the inflation gap,but under major exogenous shocks,the Taylor rule may need to adjust the target of staring at the right time in order to improve the adjustment effect of monetary policy.This paper takes the new crown epidemic as a representative of exogenous shocks,and constructs the PVAR model in stages before and after the exogenous shocks,and comparatively studies the effectiveness of the Taylor rule after adjusting the target of focus.The study shows that the Taylor rule is effective for developed countries and floating-exchange-rate countries;moreover,the Taylor rule with the addition of exchange rate and financial stability can better cope with exogenous shocks.The policy recommendations are:To improve the international monetary policy coordination mechanism,to establish a monetary policy control framework to cope with exogenous shocks in sudden crisis events,and to implement a stable exchange rate policy and a macro-prudential control policy for cross-border capital.China should adjust its monetary policy in line with its own development characteristics,so as to realize the optimal control of the macroeconomy and resist the adverse effects of exogenous shocks.

关 键 词：外生冲击 泰勒规则调整 货币政策效果 

分 类 号：F820.1[经济管理—财政学]