摘要
文章从均衡利率定义入手,构建均衡利率测算的状态空间模型,选取1996—2011年全国相关季度数据,运用卡尔曼滤波算法,测算出不可观测变量——均衡利率水平的时序数据。基本结论是均衡利率水平确实存在,同时均衡利率水平显著高于同时期名义利率水平,表明我国货币市场一直处于非均衡状态。最后在对利率失调程度进行测度的基础上,分析导致失调的各种原因,并提出相关政策建议。
Starting from the definition of the equilibrium interest rate, the article constructs the state space model for equilibrium interest rate calculation, chooses the statistics of relevant quarters from 1996 to 2011 in China, uses Caiman filter algorithm, and calculates the unobservable variable that is the time series data of equilibrium interest rate. The basic conclusion is the equilibrium interest rate really exists, and it is significantly higher than the nominal interest rate in the same period. The conclusion reveals that China＇s money market has been in a non-equilibrium state. Finally, by measuring the imbalancing degree of interest rate, the article analyzes various causes for the imbalance and proposes the possible suggestions for the relevant government.
出处
《西安财经学院学报》
CSSCI
2013年第1期30-35,共6页
Journal of Xi’an University of Finance & Economics
关键词
均衡利率
状态空间模型
失调度
equilibrium interest rate
state space model
the imbalance degree
