中国化泰勒规则的构建与规则利率的估算——基于考虑金融周期信息的潜在产出与自然利率的再估算

我国货币政策正在向价格型调控方式转型,有必要探索符合我国实际的泰勒规则以确定政策利率目标水平,而如何科学合理地估算潜在产出和自然利率是关键。本文对构建多目标下的中国化泰勒规则时应考虑的因素作了深入探讨,并将金融周期信息纳入我国潜在产出的测算,同时采用基于潜在产出的方法对自然利率进行估算,进而分不同情形尝试估算我国的规则利率水平。结果表明,考虑金融周期信息后的潜在产出在金融扩张期将低于传统方法的估计结果,可为政策制定者有效应对经济运行的过热现象或泡沫化状态提供参考;无论是基于何种潜在产出和自然利率的测算组合,将国内外利差、房价涨幅偏离经济增长程度纳入中国化泰勒规则的构建均是合理的;不同情形下估算的规则利率走势,自2004年以来与货币市场利率走势均较为相近,且2013年后随着利率市场化改革的快速推进,差距呈明显缩小态势,但2017年下半年至2018年期间,受国际宏观形势和国内因素影响,估算的规则利率均快速上扬,与货币市场利率走低形成反差。

Taylor Rule Construction and Rule Interest Rate Estimation in China

With the accelerating development of market-oriented interest rate reform and financial innovation, quantitative targets have begun to show limitations. Relying only on quantitative targets can no longer meet the needs of China's monetary policy (Yi, 2018). The central banks of major countries have gradually abandoned their quantitative targets and turned to interest rate monetary policy regulation since the mid-1980s, with their interest rate decisions implicitly following the “Taylor rules” (Sun et al., 2018). China's monetary policy targets are mainly based on inflation and simultaneously adhere to multiple targets (Zhou, 2013), leaving the monetary authority to face more complex constraints. In the process of monetary policy transformation, exploring the Taylor rules in line with China's reality and achieving reasonable rule interest rates are very important to facilitate the transition to price-oriented monetary policy regulation.Many scholars have explored the suitability of different Taylor rules. However, regardless of the Taylor rule used, it cannot be achieved without proper estimations of the potential output and natural interest rate (also referred to as the equilibrium real interest rate). This paper explores the construction of Taylor rules in line with China's reality. It recalculates the potential output embedded with financial cycle factors and the natural interest rate. Furthermore, it estimates rule interest rates to provide useful suggestions for the transformation of monetary policy regulation.This paper estimates the potential output and shows that the output gap embedded with financial cycle factors may decrease the potential output during financial expansion periods. This can help policymakers effectively cope with economic overheating and provide policy guidance for bubble states. The results also show that adding financial cycle proxy variables, such as credit/housing information, has significant explanatory power.Furthermore, this paper measures the natural interest rate (with R001 as the nominal interest rate) using the state space model proposed by Cour-Thimann et al. (2006). From 2004 to 2018, the natural interest rate in China ranged from approximately 0.68% to 3.96%, with an average of approximately 2.35%. The natural interest rate directly estimated by the Hodrick-Prescott filter and the commonly used difference between the nominal interest rate and Consumer Price Index were negative on average, inconsistent with China's reality.This paper verifies the rationality of constructed Taylor rules and estimates the rule interest rates under different circumstances. In addition to the traditional output and inflation factors, it is reasonable to incorporate spreads at home and abroad and the degree of house price deviation from economic growth into Taylor rule construction in China. According to the trends of several calculated rule interest rates, the gap between the money market interest rates and the rule interest rates has significantly narrowed with the rapid progress of market-oriented interest rate reform since 2013. However, their independent trends significantly deviated from the fourth quarter of 2017 to the fourth quarter of 2018.It is necessary to continue to deepen the reform of interest rate liberalization, firmly push the transformation of monetary policy regulation toward price orientation, strengthen policy coordination to provide the necessary policy space for interest rate control, smooth the interest rate transmission channel, improve the effectiveness of interest rate policy transmission, pay more attention to financial cycle factors and strengthen the estimation of natural rate indicators.This paper makes three contributions. First, it includes financial cycle factors in its estimation of China's potential output, which is rare in domestic studies. Second, it uses a method based on the potential output to estimate the natural interest rate, reducing the impacts of setting the model incorrectly. Third, it constructs Taylor rules in line with China's reality and measures the rule interest rates under different circumstances, thereby providing a useful exploration of the transformation of monetary policy regulation.