2016 9 435 No. 9 2016 General No. 435 130012 1996 1-2016 6 LT - TVP - VAR LT - TVP - VAR JEL E0 F40 A 1002-7246201609 - 0001-17 2016-03 - 20 Emailjinquan. edu. cn. Email1737918817@ qq. com. * 15ZDC008 15AZD001 2016131 1
2 435 2016 2 6. 7% 5 CPI 3 2016 CPI PPI Benjamin et al. 1992 2011 2015 Taylor 1993 Cukierman and Gerlach 2003 Ikeda 2013 Jonas and Mishkin 2004 2010 2007 2008
2016 9 3 2010 1996 1 2016 6 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
4 435 1996 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 3 1996 1-2016 6 7 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
2016 9 5 3. 755% Gibbs MCMC 3. 997% 2010 1 2013 1 2 2 π t - π * TVP - VAR LT - TVP - VAR
6 435 LT - TVP - VAR Primiceri and Giorgio 2005 S - VAR TVP - VAR Nakajima et al. 2011 TVP - VAR VAR Nakajima and West 2013 LT - TVP - VAR LT - TVP - VAR S - VAR Ay t = F 1 y t -1 + + 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 1 0 0 0 σ 2 0 0 0 σ k A = 1 0 0 a 2 1 0 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 0 0 0 Ω β Ω α 0 0 0 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 4 5 6 7 8 9
2016 9 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 10 11 12 = 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 - 3. 4989-2. 7408-3. 2465-3. 3606-3. 1590-3. 1933-4. 0266-3. 1368 p 0. 0088 0. 0687 0. 0186 0. 0133 0. 0238 0. 0216 0. 0021 0. 0277 GDP H - P GDP 2016 LT - TVP - VAR Oxmetrics 6. 0 2 95% Geweke Inef Geweke
8 435 MCMC Inef Inef = 1 + B m s = 1 ρ s 14 14 B m 500 ρ s s Inef Inef 250 273. 21 Inef 200 301. 05 MCMC 2 LT - TVP - VAR Geweke Geweke 95% 95% μ β 0. 0071 0. 0173-0. 04040. 0286 0. 016 26. 39 0. 0531 0. 0356 0. 01910. 1114 0. 019 43. 60 Φ β 0. 8855 0. 0366 0. 80790. 9514 0. 228 77. 11 0. 9228 0. 0399 0. 82610. 9830 0. 243 141. 08 Ω β 1 0. 0255 0. 0026 0. 02090. 0312 0. 562 220. 59 0. 0249 0. 0027 0. 02020. 0312 0. 956 142. 07 μ α 0. 0331 0. 1483-0. 31590. 2545 0. 006 97. 05 0. 1070 0. 0821 0. 07040. 2167 0. 000 301. 05 Φ α 0. 8866 0. 1038 0. 60170. 9918 0. 011 213. 08 0. 7524 0. 1325 0. 41400. 9384 0. 037 133. 89 Ω α 1 0. 0700 0. 0200 0. 04130. 1177 0. 000 177. 68 0. 0571 0. 0147 0. 03470. 0901 0. 214 150. 81 μ h 0. 0151 0. 0075 0. 00510. 0340 0. 634 115. 82 0. 4923 0. 0977 0. 27060. 6720 0. 005 60. 49 Φ h 0. 9233 0. 0348 0. 84230. 9756 0. 004 77. 85 0. 8954 0. 0917 0. 64730. 9914 0. 071 35. 93
2016 9 9 Geweke Geweke 95% 95% Ω h 1 0. 9162 0. 1730 0. 61581. 2776 0. 000 147. 25 0. 0902 0. 0388 0. 04630. 1927 0. 506 89. 03 d b 1 0. 0549 0. 0144 0. 01850. 0800 0. 000 232. 00 0. 1309 0. 0952 0. 00520. 3269 0. 043 30. 87 d b 2 0. 0848 0. 0017 0. 08150. 0874 0. 000 273. 21 0. 1345 0. 0767 0. 00840. 2614 0. 837 5. 42 d α 1 0. 3943 0. 3197 0. 01331. 1232 0. 000 211. 77 0. 3351 0. 1018 0. 11190. 5255 0. 279 191. 55 d α 2 0. 4144 0. 1536 0. 20520. 7567 0. 002 100. 96 0. 5171 0. 1642 0. 33470. 9028 0. 000 117. 67 3 35% 71. 3% 30% 69. 1% 3 % d b 1 d b 2 d α 1 d α 2 13. 4 10. 9 71. 3 35. 7 28. 2 21. 4 69. 1 30. 4 3-10 3-10 12 1 24 2 36 3
10 435 LT - TVP - VAR 3 4 1 3 5 3 1996 2007-2008 2010-2012 0. 15% 0. 04% 0. 06% 36 2007 CPI 6 1. 62% 0. 27% 2010 CPI 6. 5% 5 5 1997-1998 2001-2002 2011 2012-2014 0. 35% 0. 33% 0. 4% 0. 57%
2016 9 11 36 1998 1999 7 1. 12% 0. 49% 2001 2003 2009 3% 1% 2% 2003 2008 0. 25% 0. 05% 36 2004 2007 4 7. 3% 0. 7% 3. 5% 4. 0% 2 0. 3% 1. 9%
12 435 2011 5 6 5 9 2014 2. 49% 4 M2 0. 05% M2 1999 2002 2009 2012 2014 1998 M2 30% M2 2003 1. 89% 1. 62%
2016 9 13 2010 6 M2 M2 GDP 2014 M2 11. 1% - 14. 7% 2 7 1996 1998 2001 2008 2013 2006 2010 2006 2010 CPI 1. 47% 3. 32% 2006 9 GDP GDP 8 M2 7 2004 2007 2011 M2 2004 2007 2011
14 435 7 8 10 M2 GDP 2009 M2 GDP M2 9 10 2010 LTRO
2016 9 15 LT - TVP - VAR M2 GDP M2
16 435 1 2007 9 42 ~ 54 2 2016 3 2015 8 118 ~ 126 4 2012 7 20 ~ 28 5 2011 6 52 ~ 63 6 2010 11 127 ~ 134 7 2008 8 44 ~ 49 8 2010 3 40 ~ 52 9Benjamin M. FriedmanKenneth N. and Kuttner. Economic Review 823 472 ~ 492. 10Cukierman A. 1992. Money IncomePrices and Interest Rates American and Gerlach S. 2003. The Inflation Bias RevisitedTheory and Some International Evidence Manchester School 715 541 ~ 565. 11 Ikeda D. 2013. Monetary Policy and Inflation Dynamics in Asset Price Bubbles Bank of Japan Working Paper. 12Jonas J. Chapters. and Mishkin F. S. 2004. Inflation Targeting in Transition Economies Experience and Prospects Nber 13McCallum B. T. 1988. Robustness Properties of a Rule for Monetary Policy Carnegie - Rochester Conference Series on Public Polic 291 173 ~ 203. 14Nakajima J. Kasuya M. and Watanabe T. 2011. Bayesian Analysis of Time - varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary Policy Journal of the Japanese & International Economies 253 225 ~ 245. 15Nakajima J. and M. West. 2013. Bayesian Analysis of Latentthreshold Dynamic Models Journal of Business and Economic Statistics 312 151 ~ 164. 16Orphanides A. 2003. Monetary Policy Evaluation with Noisy Information Journal of Monetary economics 503 605 ~ 631. 17Primiceri and Giorgio E. 2005. Time Varying Structural Vector Autoregressions and Monetary Policy The Review of EconomicStudies 723 821 ~ 852. 18Roman H. 2008. The Time - Varying Policy Neutral Rate in Real TimeA Predictor for Future Inflation Economic
2016 9 17 Modelling 261 71 ~ 81. 19Taylor J. B. 1993. 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 1996 - 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