投资效率演进与中国总产出波动  

The Evolution of Investment Efficiency and the Output Fluctuations in China

作　　者：刘宗明[1] 

机构地区：[1]上海财经大学经济学院

出　　处：《数量经济技术经济研究》2013年第1期54-70,共17页Journal of Quantitative & Technological Economics

摘　　要：本文将企业投资效率的变动过程引入包含名义和实际刚性等多种结构特征的新凯恩斯主义宏观模型,并利用贝叶斯极大似然方法估计了模型的结构参数。边际数据密度比较结果显示,刚性价格—工资模型能够较好地解释实际数据。同时,本文就企业投资效率冲击对实际总产出波动的解释力和历史贡献进行评估,波动性分解的结果说明投资效率冲击对产出波动具有30%以上的解释力,是所有冲击中贡献最大的。历史分解和反事实模拟的结果显示投资效率是动态演化的,2002～2012年,投资效率呈现总体改善趋势;相对于"十五"计划时期,"十一五"规划时期的投资效率更稳定、效率水平也更高。投资效率改善对2007年中期以后的产出增长有显著拉动作用;需要强调的是,如果没有投资效率改善所形成的产出拉动,2008年金融危机所导致的经济衰退要比实际情形严重得多。This paper incorporates the investment efficiency process into a New- Keynesian macro model with nominal and real rigidities, and estimates the structural parameters by Bayesian MLE method. The marginal data density shows that rigid price and wage model can relatively well explain the data. Then the paper evaluates the explanation power and historical contributions of investment efficiency shock to output, the variance decomposition reveals that the investment efficiency shock can explain at least thirty percent of the fluctuations, which is the highest among all shocks. The historical decomposition and counterfactual simulation shows that investment efficiency involves dynamically, the improvement of investment efficiency after 2007 can significantly improve the output growth. Further, if there is no the positive effect of investment efficiency on real output, the negative effect of the 2008 financial crouch should have been more serious.

关 键 词：投资效率 经济波动 历史分解 反事实模拟 

分 类 号：F224.0[经济管理—国民经济]