参数不稳定下利差在宏观经济与货币政策中的应用

本文在参数不稳定的情况下考察利差对通货膨胀、经济增长的信息作用，并分析包含利差的混合货币政策规则。基于贝叶斯区制转移模型（MSBVAR）的分析发现：期限利差和信用利差对通货膨胀、经济增长有影响，宏观经济波动使得利差的信息作用存在参数不稳定性，在经济下行时对经济增长有负向信号作用。信用利差对通胀的预测作用比期限利差对通胀的预测作用更强。期限利差和信用利差都在货币政策规则中有参数不稳定性的信息作用。

The Application of Interest Rate Spreads in Macroeconomy and Monetary Policy under Parameters Instability

This paper analyses the application of interest rate spreads in macroeconomy and monetary policy, such as the information of interest rate spreads in the case of parameters instability and hybrid policy rules containing interest rate spreads. Based on MSBVAR model, we find that term spreads and credit spreads have impact on inflation and economic growth. The signal roles of term spreads and credit spreads have parameters instability on the different states, which is due to macroeconomy volatility. Interest rate spreads only have a negative effect on the economic growth in the economic downturn. Prediction of credit spreads on inflation is stronger and more stable than the prediction of term spreads on inflation. Term spreads and credit spreads have certain information in the monetary policy rule, but there is also parameters instability.