中国非线性审慎利率规则的实证研究

被引：2

作者：

高洁超 ^{[1
]}

孟士清 ^{[2
]}

机构：

[1] 南京大学商学院

[2] 中国农业银行南京市玄武支行

来源：

南京审计学院学报 | 2015年 / 12卷 / 06期

关键词：

金融条件指数; 货币政策规则; 利率规则; 汇率; 房价; 股价; 货币供应量; 信贷市场; 金融波动;

D O I：

暂无

中图分类号：

F822.0 [方针政策及其阐述];

学科分类号：

020101 ; 020203 ; 020204 ;

摘要：

在构建一个包含利率、汇率、房价、股价和货币供应量的五因素金融条件指数基础上,进行信息预测检验,并基于非线性平滑转换模型构建非线性利率规则,将表征审慎因素的金融变量纳入货币政策规则,研究结果显示:相对于传统的非线性规则,考虑金融因素的审慎政策规则不仅可以刻画大部分时间内政策的线性调整,而且能够捕捉货币当局的时变操作行为,这一规则更加符合我国现实。

引用

页码：95 / 104

页数：10

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