中文摘要：

本文运用弹性非线性推断方法研究我国货币政策反应函数的非线性特征,以新的视角解释和分析我国中央银行的货币政策行为。研究结果表明,我国货币政策反应函数存在显著的非线性特征,突出表现为利率对通货膨胀和通货紧缩的非对称反应,即在高通胀时期中央银行实施严厉的利率政策以降低通货膨胀;而在低通胀时期实施稳健的货币政策,根据通胀变化线性微调短期利率。研究结果还表明,这种非线性特征可能主要源于中央银行对通胀正负偏离的非对称偏好,并有部分来自其对通胀缺口和产出缺口之间相互影响的政策反应。

英文摘要：

This paper uses flexible nonlinear inference approach to investigate the nonlinearity in China’s monetary policy reaction function and to explain the central bank’s monetary policy behavior from a new perspective.The empirical results show significant nonlinearity evidence in the interest rate reaction function during the period of 1992Q1-2012Q3,especially characterized by the reaction of interest rate to the inflation rate.Moreover,the reaction function is linear during low-inflation periods and nonlinear during high-inflation periods,which results from the central bank’s prudent monetary policy and tightening monetary policy to curb inflation,respectively.As for the formation mechanism of nonlinearity,possible interaction between inflation deviations and output gaps may tell part of the story,but the central bank’s asymmetric preference on positive and negative inflation deviations appears to capture the nonlinear monetary policy rule adequately.