模型不确定性条件下的货币政策决策分析被引量：1

The Analysis of the Monetary Policy Decision under Model Uncertainty

下载PDF

导出

摘要为什么中央银行在制定货币政策时往往是比较谨慎或保守的?从具体的货币政策规则的经验估计如泰勒规则看,这些货币政策比具体经济模型所要求的最优货币政策更为保守。本文从模型不确定性及决策者对不确定性态度变化的角度,运用美联储数据进行实证来解释这一现象。经过分析发现,若与降低利率的变动相比,央行更为关心产出缺口的稳定性,则央行对模型不确定呈厌恶或呈中性将会大大降低泰勒规则中的反应系数,随之产生较为保守的货币政策,若央行对不确定性呈偏好,则产生较为积极的货币政策。 Why does the central bank always take a less aggressive monetary policy？ The empirical monetary rule such as Taylor rule is less aggressive than the optimal monetary policy. This text analyzes the phenomena through the analyzing the degree of the aversion of the central bank to the model uncertainty and the demonstration of the Federal Reserve System. The author finds that if the central bank cares strongly enough about stabilizing the output gap, the attitude of aversion or neutrality to model uncertainty generates significant declines in the coefficients of the Taylor rule, in other worse, it would like to take a less aggressive policy, and the attitude to model uncertainty generates more aggressive monetary policy.

作者蔡洋萍戴盛蒋红云

机构地区湖南大学金融学院武汉大学经济与管理学院中南大学数学院

出处《财经理论与实践》 CSSCI 北大核心 2010年第1期18-22,共5页 The Theory and Practice of Finance and Economics

关键词模型不确定性不确定性厌恶程度损失函数最优货币政策规则 Model Uncertainty Model Uncertainty Aversion Degree Loss Function Optimal Monetary Policy Rule

分类号 F822 [经济管理—财政学]

引文网络
相关文献

参考文献11

1美国联邦储备局官方网站:http://www, federalre-serve, gov.
2Brainard, W. Uncertatinty and the Effectiveness of Policy [J]. American Economic Review, 1967,57:411--425.
3Estrella, A. and F. S. Mishkin. Rethinking the Role of NAIRU in Monetary Policy: Implications of Model Formulation and Uncertainty[M3. In Monetary Policy Rules, edited by J. B. Taylor, 1999,405 - 30. Chicago: University of Chicago Press.
4Rudebusch, G.D. Is the Fed Too Timid? Monetary Policy in an Uncertain World[J]. Review of Economics and Statistics 2001, (2): 203--17.
5Richard Dennis. Model Uncertainty and Monetary Policy [R]. 2007,NBER Working paper.
6郭万山.货币政策动态优化模型的修正——兼论模型不确定性影响[J].辽宁大学学报（自然科学版）,2004,31(2):112-116. 被引量：2
7Taylor, J.B. Discretion vs policy rules in practice[R]. Carnegie-Rochester Conference Series on Public Policy,vol. , 1993. 39, pp. 195--214.
8Giannoni, M. , "Does Model Uncertainty Justify Caution? Robust Optimal Monetary Policy in a Forward-- Looking Model" [J]. Macroeconomic Dynamics, 2002, pp111--144.
9Onatski, A. , Stock, J. H. , Robust monetary policy under model uncertainty in a small model of the U. S[R]. economy, 2000,NBER Working Paper Series 7490.
10Levin, A.T. and J. C. Williams. "Robust Monetary Policy with Competing Reference Models" [J]. Journal of Monetary Economics 2003, (5): 945--75.

二级参考文献6

1Brainard,W.Uncertatinty and the Effectiveness of Policy[].American Economic Review,1967,57:411-425.
2Fischer,Stanley Why are Central Banks Pursuing Long-Run Price Stability?,in in Achieving Price Stability,Federal Reserve Bank of Kansas City Symposium Series[].1996.
3Freedman,Charles, What Operating Procedures Should Be Adopted to Maintain Price Stability?,[].in Achieving Price Stability, Federal Reserve Band of Kansas City Symposium Series,1996.
4Lars E.O.Svensson, Inflation targeting:Some Extensions[].Scandinavian Journal of Economics,1997,101:337-361.
5Richard Clarida,Jordi Gali and Mark Gertler, The Science of Monetary Policy: A New Keynesian Perspective[].Journal of Economic Literature,1999,37:1661-1707.
6Taylor,John B.How Should Monetary Policy Respond to Shocks While Maintaining Long-Run Price Stability[].in Achieving Price Stability Reserve Band of Kansas City Symposium Series,1996.