稳健货币政策规则的构建及应用(.doc

PAGE PAGE 22 中国利率市场化主导下稳健货币政策规则的构建及应用? ? ?本文得到国家社会科学基金项目“复杂数据的统计诊断方法及其应用”（批准号：02BTJ002）资助。 赵进文 高 辉 （东北财经大学统计系，大连，116025） 内容提要：本文通过对Levin, Wieland and Williams (2001)提出的简化IFB规则（即LWW规则）在中国的实践检验，发现LWW规则比在美国九十年代以来运用较为成功的泰勒规则（Taylor rule,1993）更稳健，更接近于中国的实际。但是，LWW规则仍然不是中国利率市场化改革下理想的稳健货币政策规则。本文基于LWW规则，构建了更符合中国国情的、利率市场化主导下的稳健货币政策利率规则（与谢平，罗雄（2002）相对照）。在新规则中，我们考虑了汇率对长期目标通胀率的影响。为此，基于Lawrence Ball(1999)的模型，我们构造出中国1993－2002年间的动态季度目标通胀率，避免了规则方程中目标通胀率为一恒定值的缺陷。从新规则模型的各项评价指标看，该模型具有较好的统计与计量特性，并有较好的拟合与预测精度。这对于我国长期执行利率市场化主导下的稳健货币政策，具有重要的参考与指导作用。 关键词：利率市场化 目标通胀率 泰勒规则 LWW规则 稳健货币政策利率规则 Constructing and Applying of Robust Monetary Policy Rules to Interest Rate Marketing of China Zhao Jinwen Gao Hui (Department of Statistics, Dongbei University of Finance Economics, Dalian, 116025) Abstract: In the article, we tested the LWW Rule, namely simplified IFB Rule which was put forward by Levin, Wieland and Williams (2001) in the practice of China .We found that the LWW Rule was more robust than the Taylor rule（Taylor,1993） which was applied rather successfully in the American at ninety years . LWW Rule was more close to the practice of China than Taylor rules. LWW Rule’ values of interest rate of marketing in China had smaller departure with real values than Taylor rules. Whereas LWW Rule is not still perfect Monetary Policy Rules to the reform of interest rate marketing of China. Therefore, we built interest rate rules which based on LWW Rule for interest rate marketing of China .We have considered that exchange rate influenced on the long-term target of inflation in our new rules .We constructed dynamic quarter target of inflation which based on Lawrence Ball (1999) rules for China during 1993 and 2002 years. So, it avoided the flaw which target of inflation was fixed value in rules equation .Our model have good statistical property from some evaluate indexes of rule model. Interest rate rule had good Precision of Forecasting and fitting from rule values compared with real values