% 5 CPI CPI PPI Benjamin et al Taylor 1993 Cukierman and Gerlach 2003 Ikeda 2013 Jonas and Mishkin

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1 No General No LT - TVP - VAR LT - TVP - VAR JEL E0 F40 A jinquan. edu. cn @ qq. com. * 15ZDC008 15AZD

2 % 5 CPI CPI PPI Benjamin et al Taylor 1993 Cukierman and Gerlach 2003 Ikeda 2013 Jonas and Mishkin

3 LT - TVP - VAR Taylor rule GDP GDP R t = 1 - ρ[ R + απ t - π * + β y ] t + ρr t -1 + μ t 1 R t t R R = r + π t r Roman 2008 π t t π * π t - π * y t t μ t ρ [ 0 1] α β α R β ρ 1 R t = β 0 + β 1 π t - π * + β 2 y t + ρr t -1 2 β 0 = 1 - ρr β 1 = α1 - ρ β 2 = 1 - ρβ β 0 β 1 β 2

4 McCallum 1988 Orphanides 2003 M t = λ + λ 1 π t - π * + λ 2 y t + ρ * M t -1 3 λ λ 1 λ 2 ρ * [ 0 1] M t M2 GDP 1996 GDP GDP X12 y t H - P GDP y * t ygap t = y t - y * t y t = 100 lny t /y * t 2012 CPI CPI CPI PPI 2012

5 % Gibbs MCMC % π t - π * TVP - VAR LT - TVP - VAR

6 6 435 LT - TVP - VAR Primiceri and Giorgio 2005 S - VAR TVP - VAR Nakajima et al TVP - VAR VAR Nakajima and West 2013 LT - TVP - VAR LT - TVP - VAR S - VAR Ay t = F 1 y t F s y t -s + μ t t = s + 1 n y t k 1 A k k F 1 F s k k μ t k 1 ~ N0Σ Σ = σ σ σ k A = a a k 1 a k k -1 1 β i = A -1 F i X t = I s y t -1 y t -a y t = X t β t + A t -1 t ε t t = s + 1 n Primiceri and Giorgio 2005 Cholesky β t = μ β + Φ β β t -1 - μ β + υ t t = s + 1 n α t = μ α + Φ α α t -1 - μ α + ζ t t = s + 1 n h t = μ α + Φ h h t -1 - μ h + ξ t t = s + 1 n ε t V t V = Var = ζ t ξ t I n Ω β Ω α Ω h 4-7 TVP - VAR β t α t h t = logσ 2 t V t ζ t ξ t LT - TVP - VAR TVP - VAR β t α t b t a t b t = β t I β t d b a t = α t I α t d a μ t

7 I. 0 1 d b d a Nakajima and West 2013 MCMC u t = A -1 Σ t ε t u t Ω Ω t = A t -1 Σ t Σ ' ta t -1 ' t VAR VMA y t = h = 0 ) β t = Θ h t u t -h Θ 0 t β [ t I kp -1 0 kp -1 ] k ) ) = I k Θ h t = J βtj'β t J J = I k 0 k kp -1 LT - TVP - VAR Φ t = Θ' 0 t Θ' H t 'A -1 t Σ t 13 1 ADF 5% VAR 1 1 ADF PP M2 R π - π * y ADF PP ADF PP ADF PP ADF PP t p GDP H - P GDP 2016 LT - TVP - VAR Oxmetrics % Geweke Inef Geweke

8 8 435 MCMC Inef Inef = 1 + B m s = 1 ρ s B m 500 ρ s s Inef Inef Inef MCMC 2 LT - TVP - VAR Geweke Geweke 95% 95% μ β Φ β Ω β μ α Φ α Ω α μ h Φ h

9 Geweke Geweke 95% 95% Ω h d b d b d α d α % 71. 3% 30% 69. 1% 3 % d b 1 d b 2 d α 1 d α

10 LT - TVP - VAR % 0. 04% 0. 06% CPI % 0. 27% 2010 CPI 6. 5% % 0. 33% 0. 4% 0. 57%

11 % 0. 49% % 1% 2% % 0. 05% % 0. 7% 3. 5% 4. 0% % 1. 9%

12 % 4 M % M M2 30% M % 1. 62%

13 M2 M2 GDP 2014 M % % CPI 1. 47% 3. 32% GDP GDP 8 M M

14 M2 GDP 2009 M2 GDP M LTRO

15 LT - TVP - VAR M2 GDP M2

16 ~ ~ ~ ~ ~ ~ ~ 52 9Benjamin M. FriedmanKenneth N. and Kuttner. Economic Review ~ Cukierman A Money IncomePrices and Interest Rates American and Gerlach S The Inflation Bias RevisitedTheory and Some International Evidence Manchester School ~ Ikeda D Monetary Policy and Inflation Dynamics in Asset Price Bubbles Bank of Japan Working Paper. 12Jonas J. Chapters. and Mishkin F. S Inflation Targeting in Transition Economies Experience and Prospects Nber 13McCallum B. T Robustness Properties of a Rule for Monetary Policy Carnegie - Rochester Conference Series on Public Polic ~ Nakajima J. Kasuya M. and Watanabe T Bayesian Analysis of Time - varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary Policy Journal of the Japanese & International Economies ~ Nakajima J. and M. West Bayesian Analysis of Latentthreshold Dynamic Models Journal of Business and Economic Statistics ~ Orphanides A Monetary Policy Evaluation with Noisy Information Journal of Monetary economics ~ Primiceri and Giorgio E Time Varying Structural Vector Autoregressions and Monetary Policy The Review of EconomicStudies ~ Roman H The Time - Varying Policy Neutral Rate in Real TimeA Predictor for Future Inflation Economic

17 Modelling ~ Taylor J. B Discretion Versus Policy Rules in Practice Carnegie - rochester Conference Series on Public Policy 195 ~ 214. The Characteristics of Monetary Policy Changes and the Choice of Control Modes in the Period of New Normal LIU Jinquan XIE Yaoshu Quantitative Research Center of Economics Jilin University AbstractBased on the data of the inflation gap and output gapinterest rate and money supply in January June 2016this paper mainly analyzes the reaction characteristics and control mode of the monetary authority by using LT - TVP - VAR model. The conclusion is that the dependency relation of China's monetary policy and inflation gap and output has a threshold effect the central bank has asymmetric preference price monetary policy to avoid the output contraction preference quantity monetary policy has weak preference to avoid deflation. As far as the effect is concerned the price policy is better than the deflation effectand the quantity type policy is better to control inflationstimulate output growth and restrain economy overheating. Finally the paper puts forward three policy suggestions in the period of new normal. Key wordsmonetary PolicyInflation GapOutputLT - TVP - VAR Model WH

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