关键词: 泰勒规则 , 非线性 , 金融稳定 , STR模型

Abstract:

It is urgent to explore the empirical evidence of nonlinear Taylor rule based on the financial stability. First, this paper constructs the financial stability index and verifies it based on the reality of China. The results show that the index can well reflect the stability of Chinas financial industry. Second, based on STR model, this paper establishes nonlinear Taylor rule models considering the financial stability and estimates and tests the models using the empirical data in China. The results show that nonlinear Taylor rules taking the 1period lag output gap as a transition variable and considering the financial stability display the nonlinear characteristics. Compared with the nonlinear Taylor rules that do not consider the financial stability, nonlinear Taylor rules taking the 1period lag output gap as a transition variable and considering the financial stability satisfy the Taylor condition and do better in the goodness of fit and the rules can help central bank keep an close eye on financial stability while accomplishing the goal of the price and output at the same time.

Key words: Taylor rule , nonlinearity , financial stability , STR model