有关泰勒规则Taylor rule论文的文献综述(英文)

2. Literature Review

There are numerous types of monetary policy rules have been discussed in economic literatures. In 1993, Taylor rule has been firstly put forward by Stanford University professor John.B.Taylor in USA, which aroused wide concern of both scholars and policians. According to Taylor rule, the central bank should make monetary policy to adjust nominal interest rate in short term based on the change of inflation rate and output gap for stabilizing real equilibrium interest rate. For example, when inflation rate exceeds target of inflation rate, the real interest rate would deviate from the real equlibrium interest rate, hence central bank should adjust norminal interest rate to keep them consistent. In recent years, Taylor rule has been widely experimented with in macroeconomic models, and examined or modificated in literatures. Taylor rule is simple and flexibal to guide American economy, and recieves extensive attention in academia. Besides, it has became a benchmark theory of monetary policy in Federal Reserve, Bank of England, European Central Bank and Bank of Canada soon. For these reason, there were extensive literatures about Taylor rule in recent decades, some proposed problems and others did a lot modification and extension, which formed a series of function that analyze the relationship between interest rate amd inflation rate and output gap (alleged Taylor-type rules). While the reaserches on this issue in China mainly focus on whether it is appropriate to adopt the Taylor rule in China’s monetary policy. The most Chinese scholars affirm that the Taylor rule was applicable for China’s monetary policy. However, some of them bring forward questions about its application, for example, Bian (2006) claimes that the Taylor tule was not stable and could not be adopted in Chinese monetary policy. Meanwhile, many scholars attempted to adopt different reaserch methods, such as co-integration analysis, Generalized Method of Moments (GMM) and time-varying parameter model. Specifically, this section will give a brief review some literatures in different respects.

2.1 Different methodologies

Multitudinous literatures have estimated Taylor rule by different research methods and variable selection. For example, Taylor (1993) measured inflation as the percent change in the price deflator for GDP over the previous four quarters in the original specification of Taylor rule. Subsequently, different price indexes have been

experimented. Kozicki (1999) said that if the rule recommendation was different when inflation was measured by the core consumer price index (CPI) or the chain price index for GDP, then the rule may become not that useful. In her research, there were four alternative inflation measures had been considerd into the estimation: CPI inflation, core CPI inflation, GPD price inflation and expected inflation. Kozicki estimated the Taylor rule to obtain rule recommendations, and the results shown that the recommendations were significant different in different inflation measures. Taylor (1993) mesured potential output by fitting a time trend to real output. Subsequently, other researchers chose different methods including regressing real output on segmented linear trends and quadratic trends, HP filters, and more structural approaches. The results stated that different measure methods work out different recommendations. Kozicki (1999) found that interest rate recommendation values obtained by alternative measure methods of potential output range from 0.9 percentage points to 2.4 percentage points. Zhao and Gao (2004) proposed a robust interest rate rule for China’s interest rate liberation by Levin, Wieland and Williams rule ( LWW rule, 2001), which was closer to China’s situation where the exchange rate influences on the long-term inflation target. Using the model of Ball (1999), they built a dynamic quarterly inflation rate model with the data period from 1993 to 2002, which possessed good statistical and econometric properties, and demonstrate forecasting precision. Finally, they said that the LWW rule may be more robust in emerging market economies and closer to China’s situation than the Taylor rule. Bian (2006) employed GMM and co-intergration test to finish the empirical analyses about the application of Taylor rule in China’s monetary policy. The reaserch results shown that both of the methods could prove that Taylor rule was able to discribe the trend of China inter-bank offered rates (CHIBOR) well. They obtained the reaction coeficienct of inflation gap was between 0.4 and 0.5, and the output gap was between 0.2014 and 0.4958. However, the results also indicated that although it could discribe the trend of CHIBOR, Taylor rule was not stable when applicated in China’s monetary policy and not suitable in long term using.

2.2 Interest rate smoothing

The central banks always prefer to change short-term interest rates in sequences of several small movements in the same direction and change its direction infrequently, which is so-called interest rate smoothing. Clardia, Gali and Gertler (1998) pointed