中國人民銀行貨幣政策反應函數

Abstract

中國躋身世界第三大經濟體，貨幣政策走向受國際矚目，與海峽相隔的台灣與中國往來越趨密切，中國的政策走向影響經濟，進而對台灣造成效應，中國大陸的景氣榮枯是我們不容忽視的議題。 本文藉由人民銀行貨幣政策執行報告及大事記，搭配各貨幣政策工具的變動，以敘述法建立出人民銀行貨幣政策指標，並嘗試估計2005年~2014年的貨幣政策反應函數，其中可分為對稱模型及非對稱模型。對稱模型再深入以Probit Model、Logit Model、Ordered Probit Model分別估計；非對稱模型以通貨膨脹率為門檻變數，採用Rolling Chow Test估計門檻值。除通貨膨脹率與經濟成長率外，本文嘗試加入房地產變數，試圖找出房地產變數與人民銀行執行貨幣政策的關係。 本文實證結果發現在對稱模型下，確實可看出人民銀行採取反景氣循環的貨幣政策；另外，在非對稱模型下且以通貨膨脹率為門檻變數時，人民銀行存在非對稱性的貨幣政策反應函數。

China became the third-largest economy. Their monetary policies attracts worldwide attention. Also, China is one of the most important trading partners of Taiwan. The policies of China will affect Taiwan economy widely. In this article, We used the monetary policy implement report of PBC and the variation of monetary policy instrument to build the monetary policy indicator of PBC by narrative approach. We try to estimate the monetary policy reaction function of PBC from January, 2005 to December, 2014. There are symmetric model and asymmetric model included in this article. In symmetric model, we estimated by Logit Model, Probit Model, and Ordered Probit Model. In addition, in asymmetric model, we used inflation rate as a threshold variable, and try to estimate it by rolling chow test. Besides, we attempt to find the housing price effect on monetary policy reaction function. The practical result shows that the PBC followed the countercyclical policy in the symmetric model. Also, in asymmetric model, there is an asymmetry when we used the inflation rate as a threshold variable.