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中国货币政策规则中的时变门限效应研究
Authors
朱艳丽
王霞
Publication date
1 January 2017
Publisher
Doi
Cite
Abstract
本文提出了具有时变阈值的门限泰勒规则模型,并运用该模型对中国1992-2014年间货币政策规则中的时变门限效应进行了实证研究。结果表明,时变阈值的引入揭示了中国货币政策规则的三大显著特征:第一,非对称性,即高通胀时期利率对通胀缺口和产出缺口的反应系数值均大于低通胀时期;第二,不稳定性,即不论通胀率高低,利率对通胀缺口的反应系数均非显著大于1;第三,时变性,即在经济发展的不同阶段,货币当局在制定货币政策时所参考的阈值具有显著的时变特征。国家自然科学基金项目(71703030,71573072)的资助;中央高校基本科研业务费专项资金(2015B13114);福建省统计科学重点实验室(厦门大学)开放课题(2016006
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Last time updated on 10/06/2020