商业研究

商业研究

• 财经纵横 • 上一篇    下一篇

我国货币政策与利率期限结构 ——基于无套利泰勒规则视角的分析

郭俊芳1，王雪标2，周生宝3   

  1. ( 1.东北财经大学 经济学院，辽宁 大连 116025；2.东北财经大学 数学学院， 辽宁 大连 116025；3.大同大学 数学与计算机学院，山西 大同 037009）
  • 收稿日期:2017-06-30 出版日期:2017-11-16
  • 作者简介:郭俊芳（1980-），女，山西大同人，东北财经大学经济学院博士研究生，研究方向：资产定价；王雪标（1959-），男，辽宁锦州人，东北财经大学数学学院教授，博士生导师，经济学博士，研究方向：经济计量模型与方法；周生宝（1979-），男，山西闻喜人，大同大学数学与计算机学院副教授，管理学博士，研究方向：资产定价、经济统计。
  • 基金资助:
    国家自然科学基金面上项目“我国通胀预期和风险溢价与宏观因子作用机制的计量研究”，项目编号： 71273044；国家自然科学青年基金项目“分形市场中分数阶导数期权定价模型的建立、解法与应用研究”，项目编号：71501031；辽宁省社科规划基金项目，项目编号：L13DJY069。

Monetary Policy and Term Structure of Interest Rate in China: An Analysis based on the Perspective of No-arbitrage Taylor Rule

GUO Jun-fang1，WANG Xue-biao2, ZHOU Sheng-bao3   

  1. (1.School of Economics, Dongbei University of Finance & Economics, Dalian 116025,China; 2. School of Mathematics, Dongbei University of Finance & Economics, Dalian 116025,China; 3. School of Mathematics and Computer Science, Datong University, Datong 037009,China)
  • Received:2017-06-30 Online:2017-11-16

摘要： 中长期利率信息对货币政策制定具有重要指导意义，关系到货币政策的实施效果。本文利用仿射无套利宏观金融模型构建包含收益率曲线完整信息的基准、后顾、前瞻、前瞻后顾混合型四种无套利泰勒规则，通过与传统泰勒规则单方程模型对比考察中长期利率信息是否显著影响利率规则对宏观经济的反应。实证发现无套利泰勒规则隐含的中长期利率对宏观经济的反应信息以及宏观变量内生波动性使利率对产出的反应减小，对通胀反应更加积极但仍然小于1；利率期限结构提供的宏观一致预期信息使无套利前瞻和混合型规则有效避免了单方程泰勒规则由于缺乏高质前瞻信息而对产出的过度刺激，同时也使通胀反应显著且顺周期；我国货币政策一定程度上存在以无套利混合型泰勒规则为特征的规律性。

关键词: 货币政策, 泰勒规则, 利率期限结构, 无套利, 马尔科夫链蒙特卡洛估计

Abstract: The long-term interest rate information plays an important guiding role in the formulation of monetary policy, and is related to the implementation effect of monetary policy. The paper uses the affine no-arbitrage macro-financial model to construct benchmark, backward, forward-looking and forward-backward mixed-type no-arbitrage four Taylor rules that include the complete information of the yield curve. By comparing with the traditional Taylor single equation model, the paper examines whether medium and long term interest rate information have a significant impact on the reaction of interest rate rules to macroeconomy.The empirical study indicates that the response of the long-term interest rate to the macroeconomic and the macro-variables endogenous volatility have reduced the response of the interest rate to the output, and been more positive for inflation, but still less than 1;The macro-consistent expectation information provided by term structure of interest rate makes the no-arbitrage forward-looking and mixed-type rules effectively avoid the excessive stimulation to output led by the single equation model,which lacks high-quality forward-looking information, while the inflation response is significant and pro-cyclical; to some extent, China′s monetary policy has the law that is characterized by the no-arbitrage forward-backward mixed-type Taylor rule.

Key words: monetary policy, Taylor rule, term structure of interest rate, no-arbitrage, MCMC