公众预期、货币供给与通货膨胀动态——新凯恩斯框架下的异质性预期及其影响  

Pubic Expectation,Money Supply and Inflation Dynamics

作　　者：许志伟[1] 樊海潮[2] 薛鹤翔[3] 

机构地区：[1]上海交通大学安泰经济与管理学院 [2]上海财经大学国际工商管理学院 [3]华泰证券研究所

出　　处：《经济学（季刊）》2015年第3期1211-1234,共24页China Economic Quarterly

摘　　要：公众的宏观预期行为对于理解货币政策的宏观效应具有举足轻重的作用。本文构建了一个具有理性预期和适应性预期均衡的异质性新凯恩斯模型。贝叶斯结构估计显示,大部分(约80%)宏观预期呈适应性特征,含有适应性预期的模型能够更好地解释数据。动态模拟显示,适应性预期使得通胀对货币政策反应的敏感性减弱、持久性提高。以上发现表明,扩张性货币政策和适应性预期行为是通胀动态的决定因素,前者为主要外部动因,后者则提供了内在的传导机制。Public expectations on macroeconomic conditions play a critical role in understanding the effects of monetary policy. This paper incorporates adaptive learning into the traditional rational expectation model. Public expectations then present heterogeneity. The mod- el is then estimated through Bayesian approach. The results show that： （1） Public expectations in China are dominated by the adaptive learning behaviors; （2） Heterogeneous expectation model fits the data much better than the rational expectation model; （3） Adaptive learning behaviors reduce the responses of inflation to the money supply shock, and raise the persistence of inflation dynamics. Our findings suggest that the effectiveness of monetary policy hinges on the expectation management.

关 键 词：通货膨胀惯性 异质性宏观预期 货币传导机制 

分 类 号：F822.2[经济管理—财政学] F822.5