泰勒规则:一个新的解释

泰勒规则在20世纪90年代以来为美联储等央行所采用,也为众多央行所关注,但该规则在操作中存在诸多不确定性。由于货币政策最终目标物价稳定的强制性,政策目标利率具有一定的相机抉择性,泰勒规则其实是规则和相机抉择的结合。考虑到利率平滑的机会成本较小,泰勒规则发挥作用的关键在于货币当局与公众建立良好的交流机制。货币当局应配合利率调整实行联合或单独交流战略,管理预期,影响市场行为。     

公开市场操作与利率期限结构行为——基于混频数据信息的研究视角

在混频数据信息环境中,精准识别公开市场操作(央行政策利率)和国债收益率曲线(基准利率体系)之间的关联机制至关重要,其影响了货币政策期限结构传导的有效性。本文在混频Nelson-Siegel(N-S)利率期限结构模型框架下,引入央行政策利率,揭示公开市场操作与利率期限结构(水平、斜率、曲度)因子之间的作用机制。实证结果表明:混频数据信息条件下,引入的公开市场操作信息显著改进国债收益率曲线的拟合效果;斜率因子冲击对公开市场操作具有显著的正向影响,而利率期限结构因子对政策调控的反应不敏感。进一步研究表明,2015年以来,公开市场操作对斜率因子的影响逐渐扩大,政策利率向国债收益率曲线的传导效率得到显著提高,我国现代货币政策框架日益健全。     

利率平滑操作探究

20世纪90年代以来,各国央行在利率操作中,都表现出一定程度的渐进和小幅调整的特点,即西方学者所称的“利率平滑（Interest Rate Smoothing）”。作为各国中央银行货币政策操作中的一个普遍现象,利率平滑以同一方向上连续微幅调整市场基准利率,而逆向变化频率低、间隔时间长为其表现形式。     

利率平滑:我国货币政策操作的新范式

利率平滑是各国中央银行普遍采用的货币政策操作方式,也正逐渐成为我国货币政策操作的新范式。利率平滑操作是宏观经济均衡价格发现机制,可以平滑经济波动,降低经济波动的福利成本,稳定金融市场,减小经济调整成本,减少政策的动态不一致,增强货币政策可预测性。我国应进一步建立和改善利率平滑操作所需要的市场经济环境,促进经济平稳健康发展。     

利率传导阻滞与货币政策工具有效性——基于动力系统模型的模拟分析

利率双轨、银行市场竞争以及金融管理约束等是制约货币政策传导效率的重要现实因素。本文在文献梳理基础上,将利率传导制约因素纳入银行行为方程及银行间货币市场流动性传导模型,分析货币政策传导效应,以及不同货币政策工具运用在改善政策利率传导方面的有效性。结果表明:经济下行时,在利率传导机制存在阻滞的情形下,央行需要合理搭配价格工具和数量工具,才能相对有效引导贷款利率下降;同时,流动性分层也是影响利率传导的重要因素,央行需要结合结构型货币政策工具定向操作,提高流动性调节的精准性,才能有效改善货币政策利率向贷款利率传导的效率。     

中国利率市场化改革的未来之路

<正>贷款利率放开将改变贷款定价机制,而不是贷款利率本身以SHIBOR为基准定价的贷款将逐步增多,SHIBORIRS(利率互换)的需求将会因此增加放开存款利率还需准备工作;未来一年内难以完成下一步动作可能包括推出存单,放宽长期存款利率限制当前的政策利率将逐步退出;需要建立新的基准利率;央行公开市场操作利率是可行候选     

我国央行票据冲销操作政策传导路径的实证研究北大核心CSSCISSCI

近几年,央行票据已经成为中央银行进行冲销操作,回收基础货币最重要的手段。本文运用VAR模型、Granger因果检验等方法,对央行票据冲销操作的政策传导路径进行实证检验。结果表明:央行票据的货币冲销效果在短期内是非中性的,它不仅通过影响基础货币直接影响货币供给量,而且通过影响货币市场利率间接影响货币供给量;长期内央行票据冲销操作对基础货币和狭义货币供给量能够产生一定影响,但对货币市场利率和广义货币供给量的影响趋于中性。     

“双支柱”调控框架下的中长期利率影响因素分析

本文基于我国货币政策和宏观审慎政策"双支柱"调控框架下,构建了一个包含央行流动性管理和宏观审慎监管的商业银行两部门决策模型,并将贷款市场、理财市场、债券市场、央行短期和中期资金市场纳入一般均衡框架,探讨了中长期利率的影响因素。结果显示,央行投放的中期资金相比短期资金能更有效降低中长期利率,而加强宏观审慎监管会在一定程度上畅通货币政策传导。此外,本文通过建立一个包含经济增长、通货膨胀、货币政策和宏观审慎政策的"四因子"中长期利率定价框架,验证了理论模型的结论,量化了中长期国债收益率受MLF加权利率及央行宏观审慎政策的影响程度,为央行实施宏观审慎政策、确定中期资金投放规模和利率水平提供了有力的实证支撑。     

央行货币政策工具调控房地产价格的可行性

本文考察市场利率、房地产价格与货币政策目标变量(产出和物价水平)之间的动态关系,结果表明我国房地产价格符合货币政策中间目标变量选择的相关性准则;通过研究市场利率与央行三大政策工具之间的联动性,确定央行的货币政策工具对房地产价格调控具有可行性。特别的,本文将外汇冲销率,作为三大政策工具之一的公开市场操作的代理变量予以测算,并纳入政策变量的实证研究中。     

非常规货币政策的理论与现实

货币政策的两种形态:常规与非常规常规货币政策是货币当局通过利率的升降来传递其政策调整方向,并通过调节市场的流动性来影响一国宏观经济走向。常规货币政策有两个核心,一是政策趋势。央行通过宣布基准利率的方式来表明其货币政策调整方向,大多数国家央行选择隔夜利率作为基准利率。二是运用公开市场操作管理市场流动性,通过影响短期利率进而影响中长期利率以及实体经济。非常规货币政策是在常规货币政策失效之时的权宜之策,有四种操作。一是明确承诺利率将长期保持低     

利率平滑:理论研究、国外实践及启示

西方各国关于利率平滑的研究在理论成果上十分丰富,这些理论在货币政策操作中的实践也深刻地影响了西方各国货币政策的制定。本文旨在对利率平滑的理论进行研究,并在此基础上剖析西方各国特别是美联储利率平滑操作的实践,从而提出要提高宏观调控意识的前瞻性等对我国货币政策操作的四点启示。     

Instrument instability and short-term monetary control

The literature on instrument instability tends support to a policy of smoothing interest rates: it contends that rigid adherence to a monetary rule would bring about explosive interest-rate movements. This contention is examined using a simple model which incorporates rational expectations; the results suggest that instrument instability is associated with interest-rate smoothing rather than with short-term control of the money supply. Furthermore, policy that attempts to stabilize interest rates may itself account for empirical findings which have hitherto been viewed as evidence that instrument instability would occur if the money supply were closely controlled.     

Optimal simple and implementable monetary and fiscal rules

Welfare-maximizing monetary- and fiscal-policy rules are studied in a model with sticky prices, money, and distortionary taxation. The Ramsey-optimal policy is used as a point of comparison. The main findings are: the size of the inflation coefficient in the interest-rate rule plays a minor role for welfare. It matters only insofar as it affects the determinacy of equilibrium. Optimal monetary policy features a muted response to output. Interest-rate rules that feature a positive response to output can lead to significant welfare losses. The welfare gains from interest-rate smoothing are negligible. Optimal fiscal policy is passive. The optimal monetary and fiscal rule combination attains virtually the same level of welfare as the Ramsey-optimal policy.     

Monetary Policy Rules in a New Keynesian Euro Area Model

The first part of this paper is devoted to describe a New Keynesian model, which, after calibration, shows a great fit on Euro area macroeconomic data. Then, the stabilizing properties of alternative monetary policy rules are evaluated for consideration of the European Central Bank (ECB). Our main finding is that a simple rule that provides the reaction of the nominal interest rate to price inflation, wage inflation, and its previous observation can fairly well approximate the optimal monetary policy. This result is robust to including an ECB preference on interest-rate smoothing.     

Information variables for monetary policy in an estimated structural model of the euro area

A small scale new keynesian model for the euro area is estimated with maximum likelihood under the assumptions of imperfect information and discretionary monetary policy. The estimated parametrization of this widely used dynamic stochastic model unveils the monetary authorities’ objectives and the information content of two indicator variables: monetary aggregates and real unit labour costs. The results highlight a significant policy concern about interest-rate smoothing and inflation; almost no concern for output gap stabilization emerges. Regarding indicator variables, unit labour costs provide information on potential output that is helpful for stabilization policy; no useful information role emerges for monetary aggregates.     

Fundamental disagreement

We document a novel set of facts about disagreement among professional forecasters: (1) forecasters disagree at all horizons, including the long run; (2) the term structure of disagreement is downward sloping for real output growth, relatively flat for inflation, and upward sloping for the federal funds rate; (3) disagreement is time varying at all horizons. We propose a generalized model of imperfect information that can jointly explain these facts. We further use the term structure of disagreement to show that the monetary policy rule perceived by professional forecasters features a high degree of interest-rate smoothing and time variation in the intercept.     

The Use of Interest Rate Derivatives by End-users: The Case of Large Community Banks

This paper investigates the use of interest-rate derivatives by U.S. commercial banks with total assets between $100 million and $1 billion. These banks are interesting, because they allow us to focus on the end-users of interest-rate derivatives rather than dealers. Over our four-year test period, 1990–1993, only 10% of these large community banks, on average about 250 banks per year, used any interest-rate derivatives. We find evidence that the use of interest-rate derivatives is positively related to exposure to interest-rate risk as measured by the absolute value of the 12-month maturity gap. In addition, a community bank's decision to participate in interest-rate contracts is positively related to size. Nevertheless, we find no positive relationship between size and the extent of participation in the derivatives market. Finally, our evidence suggests that banks that participate more heavily in interest-rate swaps have stronger capital positions, an indicator of market or regulatory discipline or both.     

On the optimal monetary policy response to noisy indicators

We describe a behavior of a central bank when its measures of current inflation and output are subject to measurement errors, in a framework of optimizing models with nominal price stickiness. In our model, a central bank sets the interest rate equal to its current estimate of the so-called Wicksellian natural rate of interest. This is shown to imply that the interest rate responds to the central bank's estimates of both current inflation and output gap, as advocated by Taylor (1993). It is also shown that the noise contained in the indicators justifies a degree of policy cautiousness. A reduced-form representation of optimal policy should exhibit interest-rate smoothing, which is often found in the empirical literature on monetary policy reaction functions.     

关于Shibor利率期权波动率定价机制的研究

Shibor自2007年发布以来,已成为人民币利率市场的一个重要定价基准,对金融衍生品、债券的定价起着十分重要的作用,由于人民币利率衍生品市场尚处于发展的初期,与美元Libor利率期权等较为成熟市场相比,目前Shibor利率期权缺少成熟的市场报价。本文通过风险中性的定价方程反解参数的方法,利用Shibor利率掉期曲线对Shibor利率上下限期权的隐含波动率进行计算,从而探讨对Shibor利率期权的定价。     

The relation between stock returns and short-term interest rates

This study examines the relation between the expected returns on common stocks and short-term interest rates. Using a two-factor model of stock returns, we show that the expected returns on common stocks are systematically related to the market risk and the interest-rate risk, which are estimated as the sensitivity of common-stock excess returns to the excess return on the equally weighted market index and to the federal fund premium, respectively. We find that the interest-rate risk for small firms is a significant source of investors' portfolio risk, but is not properly reflected in the single-factor market risk. We also find that the interest-rate risk for large firms is “negative” in the sense that the market risk estimated from the single-factor model overstates the true risk of large firms. An application of the Fama-MacBeth methodology indicates that the interest-rate risk premium as well as the market's risk premium are significant, implying that both the market risk and the interest-rate risk are priced. We show that the interest-rate risk premium explains a significant portion of the difference in expected returns between the top quintile and the bottom quintile of the NYSE and AMEX firms. We also show that the turn-of-the-year seasonal is observed for the interest-rate risk premium; however, the risk premium for the rest of the year is still significant, although small in mangitude.