中国的经济“自然率”与货币政策规则：基于新凯恩斯动态模型的实证研究

doi:1019722/jcnki1008-772920190117

北京邮电大学学报(社科版) ›› 2019, Vol. 21 ›› Issue (4): 42-55.doi: 1019722/jcnki1008-772920190117

中国的经济“自然率”与货币政策规则：基于新凯恩斯动态模型的实证研究

1北京邮电大学经济管理学院，北京100876；2北京邮电大学高水平特色型大学发展战略研究中心，北京100876；
3北京开放大学人事处，北京100081

收稿日期:2019-03-20 出版日期:2019-08-31
基金资助:
北京市哲学社会科学规划项目（16YJCO56）

Economic ′Natural Rates′ and Monetary Policy Rule in China: #br# An Empirical Study Based on Dynamic New Keynesian Dynamic Model

1 School of Economics and Management, Beijing University of Posts and Telecommunications,
Beijing 100876, China; 2 High Level Characteristic Universities Development Strategy Research Center,
Beijing University of Posts and Telecommunications, Beijing 100876, China; 3 Personnel Division,
Beijing Open University, Beijing 100081, China

Received:2019-03-20 Online:2019-08-31

摘要/Abstract

摘要： 现代经济理论中的经济“自然率”可以为更好理解现实经济状态提供判断依据，在货币政策研究与实践中具有较高应用价值。本文首先对国内外经济“自然率”及其货币政策应用的研究动态进行分析。在此基础上，根据新凯恩斯动态模型的基本框架，构建多变量状态空间模型，结合中国数据估计模型参数和不可观测变量，对模型估计结果进行分析。研究结果表明，将Taylor规则中的自然利率、隐性通货膨胀目标等不可观测变量设定为具有时变性质，能够捕捉到我国货币政策操作中的更多信息。通货膨胀缺口和实际利率缺口是货币政策态势的有效指示变量，需要进一步提升经济“自然率”在中国货币政策研究与实践中的应用价值。

关键词: 经济&ldquo, 自然率&rdquo, 自然利率, 隐性通货膨胀目标, 货币政策规则, 新凯恩斯动态模型

Abstract: The “natural rates” of economy in modern economic theory theories can provide judgment basis for better understanding the real economic state, and have high application value in the research and practice of monetary policy Firstly, wehave an analysis on of the “natural rates” of economy domestic and foreign and the monetary policy trends is madethe domestic and foreign research trends of the “natural rate” of economy Then, according to the basic framework of the dynamic nNew Keynesian Dynamic Mmodel, a multivariable state space model is constructed The parameters and unobservable variables of the model are estimated with based on Chinese data related to China, and the results of the model estimation are analyzed The results show setting unobservable variables such as natural interest rate and implicit inflation target in Taylor rule as time-varying variables can capture more information in the operation of monetary policy in China, and the inflation gap and real interest rate gap are effective indicators of monetary policy situation Therefore, it is necessary to further enhance the application value of economic “natural rates”“natural rate” in monetary policy research and practice

Key words: economic “natural rates”“natural rate”, natural interest rate, implicit inflation target, monetary policy rule, dynamic nNew Keynesian dynamic model

中图分类号:

F8220

孙皓1，2，宋平平3. 中国的经济“自然率”与货币政策规则：基于新凯恩斯动态模型的实证研究[J]. 北京邮电大学学报(社科版), 2019, 21(4): 42-55.

SUN Hao1,2, SONG Ping-ping3. Economic ′Natural Rates′ and Monetary Policy Rule in China: #br# An Empirical Study Based on Dynamic New Keynesian Dynamic Model[J]. JOURNAL OF BEIJING UNIVERSITY OF POSTS AND TELECOM, 2019, 21(4): 42-55.

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中国的经济“自然率”与货币政策规则：基于新凯恩斯动态模型的实证研究

Economic ′Natural Rates′ and Monetary Policy Rule in China: #br# An Empirical Study Based on Dynamic New Keynesian Dynamic Model

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