Abstract: With the acceleration of the global economic cycle, the central banks of major countries in the world have also increased their monetary policy regulation. The frequent monetary policy operations of the Federal Reserve from super quantitative easing to Taper, and from table contraction to substantial interest rate increase have produced significant spillover effects on other countries. As the world's largest exporter, China will inevitably be affected by the Federal Reserve's monetary policy. At the same time, “stabilizing finance”, “stabilizing foreign trade” and “stabilizing foreign capital” in the “six stability” of the economy are inseparable from the coordination of the interest rate policy and the exchange rate policy, which puts forward higher requirements for the coordination and linkage mechanism between the monetary policy and the exchange rate policy under the new situation, and also poses unprecedented challenges for the operation of the managed floating exchange rate policy. Based on this, this paper constructs a nonlinear policy rule model with the exchange rate as the intermediary anchor, and studies its macroeconomic regulation mechanism.
Innovation contributions of the paper are as follows: First, based on the nonlinear characteristics of the exchange rate adjustment, the paper depicts the nonlinear impact of the exchange rate on the macroeconomic system, and examines the time-varying characteristics of conversion probability that depends on monetary policy operating tools which, in turn, also affect the exchange rate; Second, the way of the exchange rate entering the monetary policy rules has been improved. Instead of using the exchange rate as a direct operating tool and the exchange rate as the ultimate goal, exchange rate transmission channels of the monetary policy have been emphasized and used as an intermediary “anchor”, so as to build a model of non-linear exchange rate rules and replace the benchmark interest rate with a more market-oriented exchange rate; Third, experience has verified that China's market-oriented reform of the exchange rate formation mechanism is conducive to enhancing the ability of China's economy to resist external risks. After the “811” exchange rate reform in 2015, China entered a regional state where the exchange rate rules have strong economic stabilizers. The dynamic adjustment between the exchange rate and inflation and output makes the three variables tend to balance each other.
Research findings are as follows: First, the non-linear characteristics and the non-linear transmission of the exchange rate change prove that it is very suitable to be used as a policy “anchor”. In the first state of the exchange rate channel, the exchange rate fluctuates greatly, the policy smoothness is poor, and the exchange rate has a spiral strengthening effect on inflation and output; In the second state, the exchange rate is relatively stable, and the policy smoothness is strong, what's more, the exchange rate has the dynamic adjustment and the stable function to the output and the inflation. Second, discretionary monetary policy tools can not only directly regulate the ultimate objective of the macro economy, but also achieve the intermediate objective of stabilizing the exchange rate. Third, since the “811” exchange rate reform in 2015, China has entered a state in which the exchange rate channel has the function of economic stabilizer. It shows that the market-oriented reform of the exchange rate formation mechanism in China has effectively responded to the external economic uncertainty. Finally, the article suggests that in response to the economic growth rate decline and the continued decline of the RMB in the following years, the central bank should adopt a prudent monetary policy combination operation, in which the main tool is to cut interest rates and cut reserve requirements, combined with the guidance of a tightening window and the reduction of foreign exchange reserves as a subsidiary tool.

Key words: Exchange Rate, Taylor Rule, Monetary Policy

摘要： 本文改进了汇率进入政策规则的方式,并以时变概率的马尔科夫链对模型参数进行约束,提出一种以汇率为中介“锚”的非线性政策规则,证明了其良好的经济稳定作用。研究发现:(1) 汇率变动的非线性特征和非线性传递证明其适宜作为政策“锚”。汇率渠道的状态一下汇率波动较大,政策平滑性较差,汇率对通货膨胀和产出具有螺旋性增强作用;状态二下汇率较平稳,政策平滑性较强,汇率对产出和通货膨胀具有动态调节和稳定作用。(2)相机抉择的货币政策工具不但可以直接调控宏观经济最终目标以及稳定汇率这一中介目标,而且可以引导经济系统转向汇率对通货膨胀和产出具有动态稳定作用的状态。(3)2015年“811”汇改以来,我国进入了汇率渠道具有经济稳定器作用的状态,说明我国汇率形成机制市场化改革有效应对了外部经济不确定性。文章建议中央银行采取以降息降准为主要工具、结合紧缩窗口指导和降低外汇储备为辅要工具的稳健型货币政策组合操作,以应对未来一段时间的经济波动。

关键词: 汇率, 泰勒规则, 货币政策