加拿大的双赢货币政策

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摘要翻译：
卢卡斯的批判揭示了货币政策变化与经济时间序列结构突变之间的权衡问题。从那以后，寻找和描述这种突变一直是一项主要的计量经济学任务。我们开发了一种与CUSUM类似的综合技术，使用一个经验模型，将加拿大的通货膨胀率和失业率与劳动力水平的变化定量地联系起来。我们的模型本质上属于菲利普斯曲线模型，所涉及的变量之间的联系是线性的，所有系数都是通过经验标定得到的个别模型和广义模型。为了实现实测时间序列与预测时间序列之间的最佳LSQ拟合，将累积曲线作为一维边界元（积分）方法的简化版本。累积曲线之间的距离（在L2度量中）对结构突变非常敏感，因为它累积了真实的差异并抑制了不相关的噪声和系统误差。我们以前的加拿大通货膨胀和失业模型因引入结构性突变而得到加强，并被过去和未来的新数据所验证。最重要的发现是，1991年引入通货膨胀目标制作为新的货币政策，导致了结构性突破，表现为价格通货膨胀率降低，失业率大幅下降。因此，加拿大的新货币政策是一个双赢的政策。
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英文标题：
《A win-win monetary policy in Canada》
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作者：
Oleg Kitov, Ivan Kitov
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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英文摘要：
  The Lucas critique has exposed the problem of the trade-off between changes in monetary policy and structural breaks in economic time series. The search for and characterisation of such breaks has been a major econometric task ever since. We have developed an integral technique similar to CUSUM using an empirical model quantitatively linking the rate of inflation and unemployment to the change in the level of labour force in Canada. Inherently, our model belongs to the class of Phillips curve models, and the link between the involved variables is a linear one with all coefficients of individual and generalized models obtained by empirical calibration. To achieve the best LSQ fit between measured and predicted time series cumulative curves are used as a simplified version of the 1-D boundary elements (integral) method. The distance between the cumulative curves (in L2 metrics) is very sensitive to structural breaks since it accumulates true differences and suppresses uncorrelated noise and systematic errors. Our previous model of inflation and unemployment in Canada is enhanced by the introduction of structural breaks and is validated by new data in the past and future. The most exiting finding is that the introduction of inflation targeting as a new monetary policy in 1991 resulted in a structural break manifested in a lowered rate of price inflation accompanied by a substantial fall in the rate of unemployment. Therefore, the new monetary policy in Canada is a win-win one.
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PDF链接：
https://arxiv.org/pdf/1103.5994

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关键词：货币政策 加拿大 unemployment Quantitative introduction model 联系 breaks monetary 计量经济学