我国宏观经济波动中的随机冲击效应:经验事实与理论解读  

The Stochastic Shock Effect in Chinese Macroeconomic Volatility:Empirical Facts and Theoretical Unscrambling

作　　者：张恒[1] 王彬[2] 

机构地区：[1]西安交通大学经济与金融学院,陕西西安710049 [2]中国人民银行天津分行,天津300040

出　　处：《当代经济科学》2014年第2期12-20,124,共9页Modern Economic Science

基　　金：国家自然科学基金委青年基金项目(71303254)

摘　　要：本文首先利用一个施加长期约束的SVAR框架,考察了供给、需求与货币冲击对我国产出、通货膨胀影响的经验事实。结果显示,需求冲击对产出和通货膨胀均存在较大影响力,供给冲击偏重于影响产出,货币冲击则偏重于通货膨胀。随后,基于动态随机一般均衡理论框架,引入技术、偏好等七种典型的外生随机冲击,详细刻画随机冲击对我国宏观经济的影响机制,其脉冲模拟结果与SVAR经验事实基本一致。DSGE方差分解进一步显示,在多数年份,供给需求冲击与财政政策冲击能够解释大部分产出波动,供需、财政货币政策等随机冲击对通货膨胀波动的解释比例较为均衡。近期,受经济转型以及政策转向的影响,以消费、投资为代表的需求冲击构成我国当前宏观经济波动的最主要因素。The paper first uses SVAR framework that has a long run constraint to analyze the empirical facts on the effect of supply,demand and monetary shock on Chinese output and inflation. The result shows that the demand shock has significant effects on both output and inflation. The supply shock lays particular stress on output side and monetary shock lays particular stress on inflation. Then the paper builds a theoretical framework on dynamic stochastic equilibrium and introduces seven typical exogenous stochastic shocks including technology and preference and depicts the mechanism of the effect of these stochastic shocks on Chinese macroeconomy. The impulse simulation result is basically in line with the empirical facts of SVAR. DSGE variance decomposition further shows that in most of the years supply and demand shock and fiscal policy shock can explain most of the output volatility. Demand and supply shock and fiscal policy and monetary policy shock can explain the inflation volatility by a relative equal ratio. Recently,because of economic and policy change,the demand shock that is represented by consumption and investment becomes the most important element in current Chinese macroeconomic volatility.

关 键 词：通货膨胀与产出 宏观经济政策 随机冲击 新凯恩斯动态随机一般均衡 

分 类 号：F015[经济管理—政治经济学] F224