附加预期泰勒规则在通胀预期管理中的应用及启示

附加预期泰勒规则内含通胀预期因素,通过该规则行事,可以提高货币政策透明度、可信性和有效性,从而起到稳定公众通胀预期的作用.中国人民银行虽然没有明确提出按照附加预期泰勒规则行事,但多项实证研究表明,附加预期泰勒规则是可以很好拟合我国货币政策操作的.本文阐明了附加预期泰勒规则的含义,回顾不同学者对附加预期泰勒规则的实证检验结论,探究附加预期泰勒规则对通胀预期的作用机制,总结附加预期泰勒规则货币政策实践需要注意的问题,最后提出附加预期泰勒规则对我国通胀预期管理的启示.     

Learnability and monetary policy: A global perspective

The recent literature on monetary policy design has emphasized the importance of equilibrium determinacy and learnability in the choice of policy rules. This paper contains an analysis of the learnability of the equilibrium in a class of simple, micro-founded models in which the policy authority uses a Taylor-type monetary policy rule. Unlike previous analyses, the model economy is not linearized about a steady state—instead, a global perspective is adopted. Globally, the nonlinear model economy can possess rational expectations equilibria other than the steady state consistent with the inflation target of the monetary authorities. These include a second, low inflation ‘liquidity trap’ steady state, periodic equilibria, and sunspot equilibria. The main results in the paper characterize the conditions under which these alternative equilibria maybe stable under adaptive learning, even when the policy rule obeys the Taylor principle. The stability of multiple equilibria is associated with policy rules which are forecast-based. An important finding is that backward-looking Taylor-type policy rules can guarantee that the unique learnable equilibrium is the steady state associated with the inflation target of the monetary authority.     

International welfare effects of monetary policy

In this paper, I examine the international welfare effects of monetary policy. I develop a New Keynesian two-country model, where central banks in both countries follow the Taylor rule. I show that a decrease in the domestic interest rate, under producer currency pricing, is a beggar-thyself policy that reduces domestic welfare and increases foreign welfare in the short term, regardless of whether the cross-country substitutability is high or low. In the medium term, it is a beggar-thy-neighbour (beggar-thyself) policy, if the Marshall-Lerner condition is satisfied (violated). Under local currency pricing, a decrease in the domestic interest rate is a beggar-thy-neighbour policy in the short term, but a beggar-thyself policy in the medium term. Both under producer and local currency pricing, a monetary expansion increases world welfare in the short term, but reduces it in the medium term.     

Can central banks’ monetary policy be described by a linear (augmented) Taylor rule or by a nonlinear rule?

The original Taylor rule establishes a simple linear relation between the interest rate, inflation and the output gap. An important extension to this rule is the assumption of a forward-looking behaviour of central banks. Now they are assumed to target expected inflation and output gap instead of current values of these variables. Using a forward-looking monetary policy reaction function, this paper analyses whether central banks’ monetary policy can indeed be described by a linear Taylor rule or, instead, by a nonlinear rule. It also analyses whether that rule can be augmented with a financial conditions index containing information from some asset prices and financial variables. The results indicate that the monetary behaviour of the European Central Bank and Bank of England is best described by a nonlinear rule, but the behaviour of the Federal Reserve of the United States can be well described by a linear Taylor rule. Our evidence also suggests that only the European Central Bank is reacting to financial conditions.     

劳动市场摩擦与机会主义货币政策

本文在存在劳动市场摩擦的DSGE模型框架下考察机会主义货币政策的合理性。研究发现,当经济中存在显著的工资粘性、雇佣成本和搜寻匹配摩擦时,实行灵活通胀目标的机会主义货币政策在社会福利效果上优于以稳定通胀和产出缺口为目标的标准泰勒规则,并接近无约束最优政策的福利效果。因此在这些条件下,机会主义货币政策是中央银行合理的政策选择。     

One Size Fits All? Monetary Policy and Asymmetric Household Debt Cycles in U.S. States

I investigate the nonlinear effects of monetary policy through differences in household debt across U.S. states. After constructing a novel indicator of inflation for the states, I compute state‐specific monetary policy stances as deviations from an aggregate Taylor rule. I find that the effectiveness of monetary policy is curtailed during periods of large household debt imbalances. Moreover, a common U.S. monetary policy does not fit all; it may have asymmetric effects on the economic performance across states, particularly at times of high dispersion in the household debt imbalances, as it may have been the case around the Great Recession.     

中国货币政策反应函数检验

本文利用历史数据对中国货币当局的政策反应函数进行了实证检验。结果发现,中国货币当局除了按照泰勒(Taylor)规则对通胀偏倚和产出偏倚作出反应之外,还对美国货币政策变量作出反应。这表明,中国货币当局在制定货币政策时已经在某种程度上考虑了国际博弈因素。     

Optimal monetary policy with international trade in intermediate inputs

This paper examines optimal monetary policy in a two-country New Keynesian model with international trade in intermediate inputs. We derive the loss function of a cooperative monetary policymaker and find that the optimal monetary policy must target intermediate-goods price inflation rates, final-goods price inflation rates, final-goods output gaps, and relative-price gaps. We use the welfare loss under the optimal monetary policy as a benchmark to evaluate the welfare implications of three Taylor-type monetary policy rules. A main finding is that the degree of price stickiness at the stage of intermediate-goods production is a key factor to determine which policy rule should be followed. Specifically, when the degree of price stickiness at the stage of intermediate-goods production is high, the policymaker should follow intermediate-goods PPI-based Taylor rule, whereas CPI-based Taylor rule should be followed when the degree of price stickiness at the stage of intermediate-goods production is intermediate or low.     

经济转型时期中俄货币政策目标比较研究

本文回顾了中国和俄罗斯近年来执行货币政策的主要经历,并针对两国货币政策目标及其实施绩效进行了评价。结果发现,虽然中俄两国采取了相同的货币政策框架,但是却取得了不同的结果,中国的货币政策成功的控制了通胀,而俄罗斯的实际通胀率却始终高于其预先设定的目标。利用开放经济条件下的泰勒规则,我们进一步对中俄两国货币政策的目标进行了实证分析。结果表明,尽管中俄两国货币政策都采取了相同的反通胀的政策立场,但俄罗斯货币政策在稳定通胀的同时,还将稳定汇率作为了货币政策主要目标,这也是造成两国货币政策不同绩效的主要原因。我们认为,在当前人民币升值和通胀上升双重压力的背景下,我国货币政策的基本取向应该是坚持以反通胀为首要目标。     

The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan

We derive a natural generalization of the Taylor rule that links changes in the interest rate to the balance of the risks implied by the dual objective of sustainable economic growth and price stability. This monetary policy rule reconciles economic models of expected utility maximization with the risk management approach to central banking. Within this framework, we formally test and reject the standard assumption of quadratic and symmetric preferences in inflation and output that underlies the derivation of the Taylor rule. Our results suggest that Fed policy decisions under Greenspan were better described in terms of the Fed weighing upside and downside risks to their objectives rather than simply responding to the conditional mean of inflation and of the output gap.     

Identifying the Stance of Monetary Policy at the Zero Lower Bound: A Markov‐Switching Estimation Exploiting Monetary‐Fiscal Policy Interdependence

In this paper, I propose an econometric technique to estimate a Markov‐switching Taylor rule subject to the zero lower bound of interest rates. I show that linking the switching of the Taylor rule coefficients to the switching of the coefficients of an auxiliary uncensored Markov‐switching regression improves the identification of an otherwise unidentifiable prevalent monetary regime because of the presence of the zero lower bound. Using a Markov‐switching fiscal policy rule as the auxiliary regression, I apply the estimation technique to U.S. data. Results show evidence of monetary and fiscal policy comovements, with monetary policy reacting weakly to inflation when fiscal policy is focused on real activity as opposed to debt stabilization, and vice versa.     

经常账户冲击、资本账户管理与中央银行货币政策操作

经常账户负向冲击及引发的宏观变量联动性通常对各经济体央行货币政策操作构成挑战。本文构建了融入经常账户冲击的小型开放经济DSGE模型,比较了采取不同资本账户管理工具(数量型和价格型)情景下,央行执行数量型货币政策规则、盯住CPI通胀泰勒规则、盯住PPI通胀泰勒规则下,经常账户负向冲击对货币政策操作的异质性影响及传导机制,并进行了福利分析。主要结论如下：第一,经常账户负向冲击将对本国央行货币政策操作构成一定影响;第二,资本账户管理可以成为缓冲经常账户负向冲击的防火墙,价格型资本账户管理工具与盯住PPI通胀泰勒规则相结合造成的福利损失较小;第三,经常账户贸易端与收益端双重负向冲击对一国货币政策操作的影响更大,但公众预期到的经常账户恶化对货币政策操作的影响将有所减弱。本文认为,转型经济体央行应倾向于执行价格型货币政策规则,最优货币政策应在稳定价格水平与缓释风险方面进行权衡,适度降低对名义汇率的关注度,稳慎推进资本账户开放进程,并可优先选择价格型资本账户管理工具。     

数量规则还是利率规则？——我国转型时期量价混合型货币规则的理论基础

本文对我国货币政策转型时期兼顾数量和价格的货币政策调控实践进行了深入的分析。在货币数量论和货币效用模型的基础上,从理论上阐明了货币数量规则与利率价格规则的等价关系,并构建了符合中国货币政策实践的数量与价格混合型货币政策规则。这对于更好地理解我国货币政策转型时期的量价混合型货币政策操作具有重要的理论和现实意义。相关推论表明,正是由于数量和价格混合型货币规则,在利率低于均衡水平的情形下,中国的货币增速并未引发恶性通胀;修正的物价稳定泰勒原理表明,利率调整幅度小于通胀变化仍能够实现物价稳定。对中国的经验分析支持了理论和推论结果。在利率市场化基本完成和流动性格局逆转的当下,货币政策价格调控方式转型的必要性和迫切性日益上升,转型的条件日趋成熟。     

开放条件下我国货币政策操作规则检验

本文利用我国1994—2006年的季度数据,分别对开放经济条件下的Taylor规则和McCallum规则进行了实证检验,结果表明,我国货币政策操作一直遵从McCallum规则,Taylor规则不适合我国国情。这意味着,如果经济结构不发生大的变化,就可以根据历史数据回归得到的McCallum规则的各种参数和通胀缺口、实际汇率、货币乘数、货币流通速度等变量的预期变化测算出合理的基础货币增长率,这将为调控基础货币供给提供重要参照。     

Has U.S. monetary policy tracked the efficient interest rate?

Interest rate decisions by central banks are universally discussed in terms of Taylor rules, which describe policy rates as responding to inflation and some measure of the output gap. We show that an alternative specification of monetary policy, in which the interest rate tracks the Wicksellian efficient rate of return as the primary indicator of real activity, fits the U.S. data better than otherwise identical Taylor rules. This result holds for a variety of specifications of the other ingredients of the policy rule, including the output gap, and of private agents׳ behavior.     

数量规则还是利率规则？——我国转型时期量价混合型货币规则的理论基础

本文对我国货币政策转型时期兼顾数量和价格的货币政策调控实践进行了深入的分析。在货币数量论和货币效用模型的基础上,从理论上阐明了货币数量规则与利率价格规则的等价关系,并构建了符合中国货币政策实践的数量与价格混合型货币政策规则。这对于更好地理解我国货币政策转型时期的量价混合型货币政策操作具有重要的理论和现实意义。相关推论表明,正是由于数量和价格混合型货币规则,在利率低于均衡水平的情形下,中国的货币增速并未引发恶性通胀;修正的物价稳定泰勒原理表明,利率调整幅度小于通胀变化仍能够实现物价稳定。对中国的经验分析支持了理论和推论结果。在利率市场化基本完成和流动性格局逆转的当下,货币政策价格调控方式转型的必要性和迫切性日益上升,转型的条件日趋成熟。     

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。     

Globalization and monetary policy comovement: International evidence

This paper empirically characterizes the comovement in monetary policy of five advanced economies in the period 1980–2009. I estimate a Taylor rule for each country and use the residual of the Taylor rules to estimate a dynamic latent factor model with common and Europe-specific factors. I quantify the importance of the common factor in explaining comovement in the residual variation of monetary policy and show that the common factor is particularly important during a period of globalization (1988–2003). I estimate the dynamics of the importance of the common factor using rolling sub-samples and show that trade-openness increases the importance of the common factor in monetary policy in the US.     

A Historical Analysis of the Taylor Curve

Taylor (1979) shows that there is a permanent trade‐off between the volatilities of the output gap and inflation. Although a number of papers argue that the so‐called Taylor curve is a policy menu, we use it as an efficiency locus to gauge the appropriateness of monetary policy. We examine the efficiency of U.S. monetary policy from 1875 onward by measuring the orthogonal distance between the observed volatilities of the output gap and inflation from the Taylor curve. We also identify time periods in which the variability of the U.S. economy changed by observing shifts in this efficiency frontier.     

风险资产配置与货币政策规则——黏性价格均衡下的宏观资产配置模型初探

本文将一个基于动态新凯恩斯理论的连续时间黏性价格一般均衡模型与随机动态资产配置模型相结合,进而研究基于内生宏观经济动态和货币政策规则进行资产配置的问题。在最优配置策略下,投资者相对风险偏好随无风险名义利率的增大而单调减小,而随通胀率的变化呈“U”型,说明投资者在通胀偏离稳态幅度较大时配置风险资产的相对意愿较高。此外,本文也给出了使用该模型讨论投资者最大化跨期效用对经济反作用这一宏观审慎问题的方式。