通貨膨脹預期於貨幣政策調控中之角色探尋

Research on the Role of Inflation Expectation in Monetary Policy

通脹預期在中國大陸央行貨幣政策調控中的意義越來越重要。本文運用時變參數狀態空間模型分析了中國大陸不同經濟時期經濟主體通脹預期變動狀況，並考察其與央行調整貨幣政策操作之間的動態對應關係，進而探尋央行貨幣政策調控對經濟主體通脹預期理解的程度。研究結果表明，附加預期的前瞻性泰勒規則並不能很好地解釋央行貨幣政策操作實踐，但央行貨幣政策調控的力度及方向，確實隨不同經濟時期經濟主體通脹預期水準變動出現明顯改變。與此同時，近20年來伴隨著利率市場化改革進程的推進，中國大陸央行貨幣政策操作「逆風向」調節宏觀經濟運行，與經濟主體通脹預期水準在時變性方面更加契合。

Inflation expectation plays an important role in monetary policy. Using the time-varying parameter state space model, this paper analyzes the changes of inflation expectation in different economic periods, and studies its dynamic relationship with the adjustment of monetary policy in order to explore the degree of monetary policy in understanding inflation expectation. Study results show that the　forward Taylor rules with inflation expectations can not explain the monetary policy practice of central bank in China. But there does exist significant changes in the intensity and direction of monetary policy under different inflation expectations. Meanwhile, with the advance of interest rate marketization reform, the countercyclical control on macro-economy of monetary policy fits better with inflation expectation changes in terms of time-varying characteristic.