利率冲击对我国消费、产出和通货膨胀的动态效应研究  

Research on the Dynamic Impact of Consumption,Output and Inflation on Interest Shock in China

作　　者：王云清[1] 朱启贵[1] 

机构地区：[1]上海交通大学安泰经济与管理学院

出　　处：《投资研究》2012年第11期3-19,共17页Review of Investment Studies

摘　　要：本文基于中国宏观季度数据,运用SVAR方法,得出了我国利率冲击对消费、产出和通货膨胀的经验事实:下调利率的扩张性货币政策引起消费和产出都呈驼峰型的持续增长,通胀率先以倒驼峰快速下降然后正驼峰上升,惯性回复至稳态。同时,为进一步从经济理论上解析利率冲击对消费、产出和通胀的传导机制,模拟了一个融入"深度"习惯的动态新凯恩斯主义模型,并运用贝叶斯方法估计模型结构参数,发现其较好地拟合了上述三个经验事实。This paper applies SVAR model with four variables based on China＇s quarterly macroeconomics data to study the dynamic responses of consumption,output and inflation to interest shock.The empirical results suggest that expansionary monetary policy via interest-rate cuts leads to persistence and the hump-shaped increase of consumption,output,and from sharp decrease to hump-shaped increase response of inflation,which then returns to the original level.In better order to describe the typical facts,the paper estimates a New-Keynesian DSGE model with deep habits to properly explain these findings using Beyesian estimation method.

关 键 词：贝叶斯估计 “深度”习惯 动态新凯恩斯主义 

分 类 号：F822.0[经济管理—财政学] F126.1F822.5F224