关键词: 宏观经济尾部风险, 经济周期, 金融周期, 利率规则

Abstract: Extreme event shocks often breed macroeconomic tail risks; in order to better integrate development and security, it is of great significance toclarify whether and how tail risk indicators can help to improve the macroeconomic management paradigm in the context of the world’s great changes. This paper assesses China’s macroeconomic tail risks based on the expected probability of downside economic growth and checks the researches on the applicability and superiority of an interest rate rule that takes tail risks into account. The results show that, firstly, China’s macroeconomic tail risks were in a low and stable fluctuation before the financial crisis, which increased during the financial crisis and tended to decline in the post epidemic era; secondly, the deterioration of the economic and financial situations has a significantly larger amplifying effect on tail risks than the mitigating effect of the improvement, and the accelerated divergence of the economic cycle and the the financial cycle has a more pronounced driving effect on the tail risks in the medium to long run under the intertemporal substitution effect, while the tail risks can be used as a monetary policy indicator to help judge the future economic and financial situation; thirdly, the effect of interest rate policy targeting only output and inflation may deviate from the expectation, and the framework of interest rate rules that focuses on the targeting of tail risks is conducive to the better realization of the policy objectives of stabilizing growth, preventing risks, and safeguarding the dual stability of economy and finance.

Key words: macroeconomic tail risks, business cycle, financial cycle, interest rate rule