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考虑到中国货币政策可能具有内在不稳定性并导致宏观经济系统长期均衡路径的不确定性,本文首先推导了一个小国开放经济DSGE模型的确定性和不确定性边界,为实证研究提供理论基础,然后把它运用于1992~2011年中国货币政策反应关系的实证研究,同时考察了不确定性情况下货币政策与宏观经济波动的动态关系。研究结果表明:第一,中国货币政策反应函数具有明显的利率平滑特征,利率不仅根据通胀缺口和产出缺口进行调整反应,还会针对汇率变化进行小幅调整;第二,开放经济DSGE模型的长期均衡路径具有不确定性,它不仅来自太阳黑子冲击,还可能来自技术进步冲击、贸易条件冲击和世界通胀冲击等基础冲击传导机制的不确定性;第三,货币政策冲击在短期可以显著影响所有宏观经济变量,但在长期只能影响通胀水平和汇率变化等名义变量,并不影响实际产出。
In view of the inherent instability of China’s monetary policy and the long-term equilibrium path of the macro-economic system, this paper first derives the certainty and uncertainty of the DSGE model of a small-country open economy, and provides a theoretical basis for empirical research. Then it is applied to the empirical research on the monetary policy response in China from 1992 to 2011. At the same time, the dynamic relationship between monetary policy and macroeconomic volatility under uncertainty is examined. The results show that: First, the reaction function of China’s monetary policy has obvious interest rate smoothing features. Interest rates not only adjust according to the inflation gap and output gap, but also make small adjustments to the exchange rate changes. Second, the long- term DSGE model of open economy The equilibrium path is uncertain, not only from sunspots but also from the uncertainty of underlying shock transmission mechanisms such as technological progress shocks, terms of trade conditions and world inflation shocks. Third, the impact of monetary policy can significantly affect all Macroeconomic variables, but not nominal variables such as inflation and exchange rate changes in the long run, do not affect real output.