金融稳定还是经济增长中央银行利率政策的门限转换特征

20087304ModernEconomicScienceJul.02008Vol.30No.4:1,2(1.,300222;2.,300071):3719932007,,,,,:;;;;;:F830:A:1002-2848-2008(04)-0073-07,()[1],[2],,,1993,1996M1M21998,:2008-05-08:(:70571039)(:07JC790059)-:(1977-),,,,:;(1976-),,,,:,,,,[3],([4])[5],,,[6],,37,To2bin[7],;Stock2mans[8],KormendiandMcGuire[9]4719501977,KhanandAbdelhak[10],GhoshandPhillips[11],,Rose[12]Mishkin[13](),,GarciaandPerron[14],,Bier2ens[15],,,[16],,,,,:,Bec,SalemandCollard[17],Kim,OsbornandSensier[18],MartinandMilas[19]Barro(1995),JudsonandOrphanides(1996)log(1+),GhoshandPhillips(1998):-/(1+)log(1+)(1-)/(1-),,,,15019802007,(depr)GDP(drgdp)(inf)CPI,,GDP,GDP,BvdSta2ta10([20,21])150,,,,(hyperinflation),1985199130,20;,400%,Hadi[22],19932007,3715,22,555()1GDP1,,5.95%,4.68%3.87%,475.07%(0.65)(1.08)(-),GDP4.36%,,-10.26%,27.68%1(%)(%)(%)(%)5.95093.86960.037024.77500.6503GDP4.36004.6450-10.264927.68401.06544.67715.0738-1.474233.12501.0848()(heterogeneity),Hansen[23],,0()12drgdpit=0+1infit+vi+it(1)drgdpit=0+1infitI(infit)+2infifI(infit)+vi+it(2)drgdpit=0+1infitI(infit1)+2infifI(1infit2)+3infifI(infit2)+vi+it(3)(1),(2)(3)12v,,12inf0.05(0.13)0.95(14.36)[0.13,14.36]2123(1)(3)(1)(21),GDP,1%,GDP0.13%(2)(22),(1.83)inf1.83,inf1.83,GDP:1.83%,GDP,1%,GDP0.62%;1.83%,GDP,1%,GDP0.12%(3)(23),(1.834.10)inf1.83,1.83inf4.10,inf4.10,GDP,GDP,1%,GDP0.97%;,GDP(t1.290.32);,1%,GDP0.09%2(1)(=0)(2)(=1)(3)(=2)(1)-0.1273333(-2.81)0.61783(1.66)0.971733(2.35)(2)-0.115833(-2.55)0.2416(1.29)(3)-0.08823(-1.86)(0)4.9553333(17.83)4.7272333(15.80)4.1972333(10.44)=1.83341=1.8334,2=4.1018N=555N1=153,N2=402N1=153,N2=197,N3=205F(36,517)=4.10333F(36,516)=4.22333F(36,515)=4.35333:(1)()t;(2)33333310%5%1%2,,,,,,57,,,;,,,,(),,;(),,,,,GDP,,:deprit=12depri,t-1+1drgdpitI(infit)+2infitI(infit)+3drgdpitI(infit)+4infitI(infit)+vi+it(4),vI,1,0,,,GDP,(4),,ArellanoandBond[24]GMM,3,3,F1=55.22,;F2=6.32,,1,23,(0.2282),1%,0.23%GDP0.0106,,(1),GDP(t2.36,5%)(t1.68,10%),,,,(2)3::0.7119333(27.88)0.700333(27.9)0.700333(27.9)drgdp0.0106(0.70)0.039433(2.36)-0.0675333(1.66)inf0.2282333(11.66)0.09823(1.68)0.2440333(11.86)0.4604333(2.85)0.6964333(3.58)0.6964333(3.58)4.8107[4.3854,6.7956]F1=55.22333(P=0.00)F2=6.32(P=0.30)N=555N1=153,N2=402:(1)()t;(2),[]95%(3)33333310%5%1%67,,(0.09820.2440),(t1.6811.86)(3)GDP,0.0394-0.0675,(,),GDP,(0.0394);(),GDP,,44()(),GDP,GDP,,[25],,,,5,2.53%,2.26%,14.9%;6.14%,5.88%,34.6%52.53145.64747.81473.46015.29533.87992.25875.54996.65913.90285.06134.6676-0.8951-1.47420.8255-8.9408-10.2649-6.913414.008829.783033.125026.494427.684021.4944:3,3719(),136();17,15,,(4),66,,0.1321,6.6538,7.0791,,,,63,GDP-0.3584(),-0.4512(77)6::0.7324333(19.86)0.6863333(21.58)0.4550333(5.79)Dgdp:-0.3584333(-2.89)0.023333(1.07)0.0936(1.07)0.0443333(2.20)-0.0958333(-2.80)-0.192033(-2.41)Dcpi:-0.4512(-0.52)0.118833(2.04)0.4399333(3.05)0.3449333(7.25)0.2331333(9.37)0.3419333(5.98)(0)-0.1004(-0.54)0.6964333(3.58)0.3325(0.47)0.13216.65387.0791F=28.10333(P=0.00)F=34.79(P=0.00)F=12.36(P=0.025)N1=14;N2=211N1=177,N2=78N1=45,N2=30:(1)()t;(2)33335%1%3719932007,,1.83%,,4.10%,,,,,4.81%,,4.81%,,,0.1321,6.6538,7.0791,,19852007,,(1)18,-1.47%24.25%,1.98%11.34%6.54%,10.21%,5.96%1.83%,8(1998200320052006),1.,,,,1.83%,4.10%,119852007:depr,drgdpGDP,dcpi2.87,,,,,,,(),:[1],.[J].,2005(2):10-14.[2].:[J].,2007(9):42-54.[3],.[J].,2001(8):33-43.[4],,.[J].,2002(8):24-27.[5],.[J],.2002(3):3-12.[6],.[J].,2003(8):76-93.[7]TobinJ.Moneyandeconomicgrowth[J].Econometrica,1965,33:671-810.[8]StockmanAC.Anticipatedinflationandthecapitalstockincash2in2advanceeconomy[J].JournalofMonetaryE2conomics1981,8:387-393.[9]KormendiRC,MeGuirePG.Macroeconomicdetermi2nantsofgrowth:Cross2countryevidence[J].JournalofMonetaryEconomics,1985,16(2):141-163.[10]KhanMS,AbdelhakSS.Thresholdeffectsintherela2tionshipbetweeninflationandgrowth[R].IMFWorkingPaper.2000.[11]GhoshA,PhillipsS.Warning:Inflationmaybeharmfultoyourgrowth[J].IMFStaffPapers,InternationalMo2netaryFund,1998,45(4):672-710.[12]RoseAK.Istherealinterestratestable[J].Journaloffinance.1988,43:1095-1112.[13]MishkinFS.Isthefishereffectforreal?Areexamina2tionoftherelationshipbetweentheinflationandinterestrates[J].Journalofmonetaryeconomics,1992,30:195-215.[14]GarciaR,PerronP.Ananalysisoftherealinterestrateunderregimeshifts[J].TheReviewofEconomicsandStatistics,MITPress,1996,78(1):111-125.[15]BierensH.Nonparametricnonlinearcotrendinganaly2sis:withanapplicationtointerestandinflationintheUnitedStates[J].JournalofBusiness&EconomicSta2tistics,2002,18(3):323-337.[16],.[J].,2007(9):31-41.[17]BecF,BenMS,CollardF.Asymmetriesinmonetarypolicyreactionfunction:EvidenceforU.S.FrenchandGermancentralbanks[J].StudiesinNonlinearDy2namics&Econometrics,2002,6(2):1006-1023.[18]KimDH,OsbornDR,SensierM.NonlinearityintheFedpsmonetarypolicyrule[J].JournalofAppliedEcon2ometrics,2002,20(5):621-639.[19]MartinC,MilasC.Modellingmonetarypolicy:Inflationtargetinginpractice[J].Economica,2004,71:209-221.[20].STATA[M].:,2007.[21].STATA[M].:,2008.[22]HadiAS.Identifyingmultipleoutliersinmultivariatedata[J].JournaloftheRoyalStatisticalSociety,1992,54:7