| In recent years,to accelerate China’s market-oriented reform of interest rates,the central bank in 2013 to determine the full liberalization of interest rates,2012 to now expand the floating range of deposit interest rates of financial institutions a total of four times,the people’s Bank in 2015 to determine the deposit interest rate liberalization,the interest rate marketization reform has achieved a critical development.The interest rate market at the same time,the construction of supporting system reform in our country has become more perfect,the most obvious is the deposit insurance system officially launched in May 1,2015,Shibor,the base rate loans,bond yields gradually become an important reference pricing.After the marketization of interest rate,the people’s Bank of China changes the supply and demand of the financial market through the market means to regulate the interest rate of the whole market.China’s interest rate market continues to advance,the use of interest rate as the intermediate target of the operability of the increase,which provides the possibility for the people’s Bank of Chinese monetary policy rules in the interest rate as the main operating target.In this process,choose the interest rate decision model for China conditions helps to give full play to the role of interest rates in the economy in the allocation of social resources,the economic subject more reasonable prediction,which is expected to help the central bank’s management,make corresponding policy adjustments,timely response to economic shocks,and continuously improve the ability of China’s monetary policy to stabilize the economy.The study of monetary policy rules is a hot issue in recent years.The classical theory of interest rate decision is Taylor’s rule.The beginning of the Taylor rule is the analysis of the Fed,China’s central bank can not completely copy.Although scholars in our country have done a lot of research on Taylor’s rules,most of them are empirical analysis of different forms of the rule of the,and the monetary response function is estimated.Most studies show that the Taylor rule is applicable to China’s monetary policy.Although the Taylor rule and its extended form also have good applicability,but the lack of strict theoretical basis.The domestic research on the optimal interest rate rule is still less,most remain in the theoretical research and simulation calculation stage,not fully combined with the characteristics of China’s interest rate decision mechanism and the central bank interest rate conduction,study for the central bank interest rate decision model to practice in China.Based on the conceptof Giannoni and Woodford(2003)optimal interest rate rules and the concept of social loss function,this paper regards the central bank as an economic agent,which has the utility function of social loss.The central bank’s monetary policy objective is to maintain economic growth and inflation at a stable level,as close as possible to the target’s expectations,to avoid large fluctuations in the economy.The optimal goal of setting the optimal interest rate decision model is to minimize the sum of the output gap and the inflation gap under the constraint of monetary policy transmission mechanism.From the dynamic economic model of Keynes’ s monetary policy transmission mechanism,constraint condition is set to consider the total demand equation of exchange rate fluctuations,fluctuations in asset prices and money supply growth,open economy under the conditions of the Phillips curve,changes in asset prices,the exchange rate equation.The constraint equations of finishing offspring into the objective function,the optimal interest rate rule reaction function through extremal derivation method.On the basis of theoretical research,combined with the reality of our country,considering the lag of monetary policy and the smoothness of the asymmetrical and time-varying characteristics,test the specific forms of the optimal interest rate decision model through empirical cointegration test,least squares estimation,HP filter,Calman filter and the state space model and other measurement methods,the the optimal interest rate decision model,the general form of non symmetric model and time-varying parameter model form,analysis and comparison of the applicability of the three models,and the implementation of the optimal interest rate model,improve the interest rate regulation mechanism and other aspects of policy recommendations.In this paper,based on the theoretical model of the optimal interest rate rule,the optimal model of interest rate decision.The main conclusions are as follows: firstly,the influence of exchange rate,foreign interest rate and capital price on short-term nominal interest rate is not significant.The two is through the stepwise regression,the effect of the selected four main variables of interest rate decision,namely,the nominal interest rate,the inflation gap,the output gap and the growth rate of M2,the general form of the interest rate decision model.Three,on the basis of the general linear model,this paper further considers the asymmetry and time-varying of interest rate policy.The asymmetric model shows that the central bank’s response to deflation is slightly higher than that of inflation.The results of time-varying parameter model show that when the economic fluctuation is large,the interest rate smoothing coefficient will be greatlyreduced,and the market interest rate will change greatly.After the 2008 financial crisis,the reaction coefficient of interest rates on a country’s inflation gap and output gap,money supply growth is rising gradually,the market interest rate sensitivity on economic variables,interest rate policy flexibility and pertinence,interest rate policy and become more active.The four is the result of the model to compare the three models,that the time-varying parameter model is more consistent with the actual situation,to cater to more complex economic and financial situation,is conducive to enhancing the pertinence and flexibility of interest rate policy. |
