价格型货币政策调控中的利率锚——基于状态空间模型的中国自然利率估算
阅读全文
下载全文 |
| Title | The Real Interest Anchor for the Price-based Monetary Policy
|
| 作者 | 李宏瑾 苏乃芳 洪浩 |
| Author | Li Hongjin, Su Naifang and Hong Hao |
| 作者单位 | 中国人民银行 |
| Organization | Operations Office, PBC；Research Institute, PBC |
| 作者Email | leehongjin@163.com；sunf013@126.com；haohong755@hotmail.com |
| 中文关键词 | 自然利率 潜在产出 价格型货币调控 状态空间模型 |
| Key Words | Natural rate of interest; Potential output; Price-based monetary policy; State space model |
| 内容提要 | 当前中国利率市场化改革正在加快推进，货币政策亟需由传统数量调控向以利率为主的价格调控模式转型。作为价格型货币政策调控的利率锚，自然利率将为中央银行政策利率的制定提供重要依据。本文借鉴Laubach & Williams(2003)的方法，充分考虑了新古典拉姆齐(Ramsey)模型所揭示的经济长期增长关系，以新凯恩斯一般均衡模型为基础，从自然利率的三层含义出发，构建状态空间模型，对我国的自然利率进行估算。结果显示，我国自然利率可作为经济增长的先行指标，用于解释和预测经济运行态势，利率缺口不仅是经济波动的“指示器”，而且可以为货币政策的制定和评价提供重要依据，这对新常态下的货币政策转型和宏观调控具有重要的参考意义。 |
| Abstract | The accelerating pace of interest rate liberalization in China has signified the importance and urgency of the central bank to turn to priced based monetary policy. As the anchor in the price based monetary policy, the Natural Rate of Interest provides an essential benchmark in the interest control of the central bank. In this article, according to Laubach and Williams(2003), with consideration of the long run economic growth relationships shown in the neoclassical growth Ramsey model, we construct a state space model based on New Keynesian general equilibrium model to estimate the natural rate of interest of China. The results show that natural rate of interest is a leading indicator to the GDP growth, and could interpret and forecast the economic growth trend. Meanwhile, the real interest rate gap is an inflation indicator and is helpful in making and evaluating the monetary policy. Generally, the natural rate of interest plays an important role in price-based monetary policy transformation and macro-economy policy under the New Normal. |
| 文章编号 | WP910 |
| 登载时间 | 2015-08-07 |
|