开放经济条件下时变参数泰勒规则在我国货币政策中的适用性研究

文章在考虑IS曲线、菲利普斯曲线以及泰勒规则等理论模型系统的内生性结构基础上,利用时变参数随机波动向量自回归(TVP-SV-VAR)模型捕捉我国货币政策对产出、通胀与汇率反应的时变特征,检验实际汇率与实际有效汇率进入泰勒规则对货币政策有效性的影响差异性。研究结果表明,相比未引入汇率因素或引入人民币实际汇率的泰勒规则,将人民币实际有效汇率引入泰勒规则使得货币政策钉住通胀目标参数与钉住产出缺口参数均得到更为显著的改善,更符合我国货币政策规则的实际。我国货币政策规则正由"相机选择型"向"规则型"利率调控模式转变,货币政策调控空间也逐渐向产出缺口与通胀率目标及人民币汇率稳定目标转变,具体而言,货币政策对通胀与产出的调整仅表现为先递增后递减的短期正向效应,且2006年第3季度以来,我国货币政策具有明显的通胀治理偏好;货币政策对人民币汇率波动在2001年之前表现为逐渐增强的短期负向效应,而后影响效应逐渐减弱。     

开放经济条件下时变参数泰勒规则在我国货币政策中的适用性研究北大核心CSSCISSCI

文章在考虑IS曲线、菲利普斯曲线以及泰勒规则等理论模型系统的内生性结构基础上,利用时变参数随机波动向量自回归(TVP-SV-VAR)模型捕捉我国货币政策对产出、通胀与汇率反应的时变特征,检验实际汇率与实际有效汇率进入泰勒规则对货币政策有效性的影响差异性。研究结果表明,相比未引入汇率因素或引入人民币实际汇率的泰勒规则,将人民币实际有效汇率引入泰勒规则使得货币政策钉住通胀目标参数与钉住产出缺口参数均得到更为显著的改善,更符合我国货币政策规则的实际。我国货币政策规则正由"相机选择型"向"规则型"利率调控模式转变,货币政策调控空间也逐渐向产出缺口与通胀率目标及人民币汇率稳定目标转变,具体而言,货币政策对通胀与产出的调整仅表现为先递增后递减的短期正向效应,且2006年第3季度以来,我国货币政策具有明显的通胀治理偏好;货币政策对人民币汇率波动在2001年之前表现为逐渐增强的短期负向效应,而后影响效应逐渐减弱。     

中国货币政策的福利损失与政策规则选择——基于新凯恩斯DSGE模型的分析

本文在新凯恩斯主义DSGE模型框架下,运用福利损失函数和脉冲响应方法研究我国最优货币政策规则选择的问题。研究结果表明,货币供应量规则相对于利率规则,使外生冲击对产出和通货膨胀的影响更持久,造成更大的福利损失,因此中央银行的货币政策规则应该逐步从货币供应量规则转向利率规则;在一定条件下,前瞻型利率规则、后顾型利率规则和泰勒规则所造成的福利损失相差不大,从便利的角度出发,中央银行应该选择后顾型利率规则。     

泰勒货币规则在我国宏观调控中的应用探析北大核心CSSCISSCI

泰勒规则作为一种简单的货币政策规则,受到广大学者关注和各国央行的重视。目前,我国央行在宏观调控中尚未运用该规则进行操作,本文针对我国货币政策实践,从货币政策目标、中介目标、政策独立性、相关机制和技术约束条件出发,深入探讨了泰勒规则在我国货币政策中的适用性,并依据应用中存在的掣肘因素,给出了相关政策建议。     

哈萨克斯坦铜业公司生产情况

2006年第1季度哈萨克斯坦铜业公司共生产出8．91万t阴极铜，比2005年同期减少6．6％。减产的主要原因是2006年初天气条件不利以及临时停产。铜矿石产量为983．9万t（2005年同期为959．2万t）。从2006年3月开始铜矿石开采条件有所改善，这有可能会对第2季度阴极铜的生产产生积极影响。     

非线性泰勒规则及其在中国货币政策中的应用北大核心CSSCISSCI

本文以通胀率作为政策开关变量,对结构转换形式的泰勒规则在我国货币政策中的应用进行实证分析。结果表明,在经济周期中非线性泰勒规则优于线性泰勒规则,而纳入货币、资产价格、汇率等因素的扩展型非线性模型又优于非线性泰勒基准模型,其中货币和汇率因素的引入对央行货币政策实施有所影响。     

公平分担规则及其在学生伤害事故中的适用——兼论《侵权责任法》第24条之属性

从法理与判例看,《民法通则》第132条和《侵权责任法》第24条之规定,并不是我国侵权责任法的一般性归责原则,而是在特定情形下,在双方当事人之间共同分担损失的规则。因此,称之为＂公平分担规则＂更为准确。在学生伤害事故中,公平分担规则主要适用于学校体育活动和公益性活动中发生的伤害事故,其适用条件包括：学生在学校组织的教育活动中受到损害;当事人均无过错;损害事实与一方当事人的行为有因果关系。公平分担规则的适用应当建立以＂原因力比较＂为基础的损失分担规则。     

泰勒规则与中国货币政策实践

本文对泰勒规则的提出,以及应用泰勒规则对中国货币政策的研究成果作了的概述,对其泰勒规则在国内的适用性做了简要分析,最后对中国货币政策的选择提出了一点思考.     

中国经济新常态的量化识别与形成原因

新常态指经济增长速度出现了结构性变化并呈现新的稳态形式,是当前和未来一段时间我国经济发展的国家战略判断。文章尝试基于条件马尔可夫状态转移模型对自从改革开放以来中国经济进行划分,量化识别中国经济进入新常态的历史时刻,为从经验分析角度深入分析新常态奠定基础。实证结果显示,1995年第2季度至2005年第4季度为中国经济旧常态时期,2008年第1季度至今为中国经济新常态时期,其余为过渡期。此外,文章进一步应用时变参数模型从要素禀赋视角探讨了中国经济新常态形成原因,发现各要素对经济增长的作用强度并未发生较大改变,经济新常态的形成主要源自于就业人口与全要素生产率的增长率下降。     

蜜饯好吃口慢开

蜜饯食品在我国生产历史悠久,深受广大消费者喜爱.蜜饯食品生产工艺相对简单,较适合中小型企业生产,但是,目前有的企业生产条件差、管理不严,使得产品质量没有保证.真对这种情况国家质量监督检验检疫总局在北京、上海、福建、广东4省市对蜜饯产品进行了产品质量国家监督抽查.经检验,抽样合格率为52.8%.此前,国家质监总局曾分别于1996年第3季度、1998年第1季度、2000年第3季度对蜜饯产品进行过3次监督抽查,抽样合格率分别为45.5%、48.0%和51.2%.在本次抽查中,国有企业、国外独资企业的产品全部合格.     

我国开放条件下的货币政策操作规则

本文利用我国1994～2006年季度数据,分别对开放经济条件下的Taylor规则和McCal-lum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,Tay-lor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。     

Monetary regime choice in Singapore: Would a Taylor rule outperform exchange-rate management?

A DSGE–VAR approach was adopted to examine the managed exchange-rate system at work in Singapore and to ask if the country had any reason to fear floating the exchange rate and adopting a Taylor rule. The results showed that, in terms of overall inflation volatility, the exchange rate rule had a comparative advantage over the Taylor rule when export-price shocks were the major sources of real volatility while a Taylor rule was preferable when domestic productivity shocks were dominant. The exchange-rate rule also dominated the Taylor rule for reducing inflation persistence.     

On the choice of monetary policy rules for China: A Bayesian DSGE approach

Motivated by the institutional features of China's monetary policy, this paper aims at identifying the most data favored monetary policy rule for China within a dynamic stochastic general equilibrium (DSGE) model framework. In a canonical New-Keynesian DSGE model, we carry out a positive analysis by employing Bayesian methods to estimate three main categories of monetary policy rules, namely a Taylor-type interest rate rule, a money growth rule and an expanded Taylor rule with money. Based on China's quarterly data from 1996Q2 to 2015Q4, our estimation shows that the expanded Taylor rule obtains the best empirical fit to the data. Moreover, impulse responses and forecast error variance decompositions demonstrate that monetary policy rules with or without money provide very different implications for the policy behavior. Our results ultimately suggest that money has so far been more closely targeted than nominal interest rate and still plays an important role as a monetary policy target in China. Furthermore, a conventional Taylor-type interest rate rule is not good enough yet to describe China's monetary policy behavior.     

Testing the Taylor Model Predictability for Exchange Rates in Latin America

Exchange rates forecasting performance is tested by a model which incorporates endogenous monetary policy through a Taylor rule reaction function. Other usual monetary and equilibrium empirical exchange rate models are also evaluated for comparison purposes. Predictability is tested by comparing the models to a benchmark random walk specification. We contribute to the recent literature in many ways. First, we include models of forward-looking endogenous monetary policy to the exchange rate forecasting exercise, the Taylor model. Second, our data, set across countries, is uniform in terms of economies adopting both inflation targeting and a flexible exchange rate. Third, our study sheds light on exchange rate determinants for emerging economies: Brazil, Chile, Colombia, Peru and Mexico. Our results show strong predictability evidence for the Taylor model and indicate that assuming models of endogenous monetary policy and the present value of expected fundamentals is a rewarding strategy to model exchange rate determination.     

Does central bank communication really lead to better forecasts of policy decisions? New evidence based on a Taylor rule model for the ECB

Nowadays, it is widely believed that greater disclosure and clarity over policy may lead to greater predictability of central bank actions. We examine whether communication by the European Central Bank (ECB) adds information compared to the information provided by a Taylor rule model in which real-time expected inflation and output growth are used. We use five indicators of ECB communication that are all based on the ECB President’s introductory statement at the press conference following an ECB policy meeting. Our results suggest that even though the indicators are sometimes quite different from one another, they add information that helps predict the next policy decision of the ECB. Furthermore, also when the interbank rate is included in our Taylor rule model, the ECB communication indicators remain significant.     

On Determinacy and Learnability in a New Keynesian Model with Unemployment

We analyse determinacy and stability under learning (E‐stability) of rational expectations equilibria in a new Keynesian model of inflation and unemployment, where labour market frictions due to costs of hiring workers play an important role. We derive results for alternative specifications of monetary policy rules and alternative values of hiring costs as a percentage of gross domestic product. We find that in general the region of indeterminacy and E‐instability in the policy space increases with hiring costs. Thus, higher hiring costs – consistent with European and South African “sclerotic” labour market institutions – seem to play an important part in explaining inflation and unemployment instability. Moreover, under lagged data‐based rules, the area where monetary policy delivers both determinacy and E‐stability shrinks. These rules also perform worse according to these two dimensions when hiring costs go up. Finally, under expectations‐based rules an additional explosive region is introduced. For South Africa, a rule based on current data – not unlike the original Taylor rule – works better than a forward‐looking rule.     

Monetary Policy and Natural Disasters in a DSGE Model

In the immediate aftermath of Hurricane Katrina, speculation arose that the Federal Reserve might respond by easing monetary policy. This article uses a dynamic stochastic general equilibrium (DSGE) model to investigate the appropriate monetary policy response to a natural disaster. We show that the standard Taylor rule response in models with and without nominal rigidities is to increase the nominal interest rate. That finding is unchanged when we consider the optimal policy response to a disaster. A nominal interest rate increase following a disaster mitigates both temporary inflation effects and output distortions that are attributable to nominal rigidities.     

Estimating forward-looking rules for China's Monetary Policy: A regime-switching perspective

This paper introduces a regime-switching forward-looking Taylor rule to describe the monetary policy behavior and considers its estimation using a two-step MLE procedure due to Kim and Nelson (2006), Kim (2009) and Zheng and Wang (2010). By doing an empirical analysis on quarterly data for China over the period 1992–2010, our results show that the actual reactions of China's monetary policy can be well characterized by a two-regime forward-looking Taylor rule. Furthermore, it is also suggested that the interest rate policy in response to inflation and output gap is asymmetric, behaving a significant characteristic of regime-switching nonlinearity. Specifically, in the first regime the People's Bank of China targets inflation, but not focuses on the output gap; while in the second regime the central bank targets the output gap and the policy rule is not a stable framework.     

Robust Taylor rules under heterogeneity in currency trade

It is demonstrated in this paper that the exchange rate should be included in the Taylor rule when there is heterogeneity in currency trade to have a determinate and least squares learnable rational expectations equilibrium that also is desirable in an inflation rate targeting regime. Moreover, for certain Taylor rule parameterizations, these properties of the interest rate rule are robust against the degree of technical trading in currency trading.     

Together or Apart? Monetary Policy Divergences in the G4

Open Economies Review - We evaluate monetary policy divergence in the G4. A Taylor rule is extended that admits a global element and also allows for unconventional monetary policy to be reflected...