我国经济新常态是周期性因素驱动的么?——基于摩擦和结构性冲击的DSGE模型框架分析  

Did New Normal of Chinese Economy Driven by Cyclical Factors?——Analysis Based on DSGE Model with Frictions and Structural Shocks

作　　者：周波[1] 侯帅圻 王英家 ZHOU Bo;HOU Shuai-qi;WANG Jia-ying(School of Finance&Taxation,Dongbei University of Finance&Economics,Dalian Liaoning116025,China)

机构地区：[1]东北财经大学财税学院,辽宁大连116025

出　　处：《安徽师范大学学报（社会科学版）》2018年第3期82-95,共14页Journal of Anhui Normal University(Hum.&Soc.Sci.)

基　　金：国家自然科学基金项目(71273043);辽宁省百千万人才工程培育项目(辽百千万立项[2015]63号);辽宁省社会科学基金项目(L11DJL047)

摘　　要：通过拓展Smets and Wouters模型,本文试图实证研究各种摩擦和结构性冲击的经济周期波动效应及贡献。研究发现:DSGE模型能较好地拟合真实数据;名义价格和工资粘性以及投资调整成本冲击是刻画中国经济波动的重要摩擦变量;脉冲效应分析表明,粘性价格和工资或使得诸冲击的宏观经济变量响应发生根本改变,或使得响应规模发生变化,异质消费者针对诸冲击的消费和劳动供给响应也存在差异;驱动产出、通货膨胀和利率预测误差方差的结构性冲击主要是投资调整成本函数、价格加成和利率冲击。经济新常态前后两个子样本分阶段估计以及反事实分析表明,经济新常态是随机冲击和经济结构参数共同驱动的。家庭相对风险厌恶系数和习惯形成程度都提高,拇指规则消费者比例、劳动供给关于真实工资弹性的倒数以及将就业调整到合意劳动投入水平的企业比例都下降。这表明,我国宏观经济基本面和经济参数的确发生实质变化,宏观经济政策设计和实践应顺势调整。By expanding the model of Smets and Wouters,this paper attempts to empirically research on the economic fluctuation impacts and contributions of various frictions and structural shocks.We find that:the DSGE model is do better in matching real data;Nominal price and wage stickiness and investment adjustment cost shocks are the most important frictions;the sticky price and wages may fundamentally alter the macroeconomic variables responses or change the response size,and the consumption and labor supply responses of heterogeneous consumers to structural shocks are different;the mainly driving forces of the variances of output,inflation and interest rate are such structural shocks as investment adjustment cost function,price markup and interest rate respectively.Subsample estimates of before and after the new normal of the economy and the counterfactual analysis indicate that the new normal economy is mainly driven by variations of stochastic shocks and structural parameters together.The coefficients of relative risk aversion of households and consumption habit are become to be higher,but the rule of thumb households ratio,the inverse of the elasticity of work effort with respect to the real wage and the proportion of enterprises that adjust employment to its desired total labor input become to be lower.Thus,macroeconomic fundamentals and parameters in China have indeed changed,therefore,the design and practice of macroeconomic policies should adjust accordingly.

关 键 词：经济波动 DSGE模型 周期性因素 结构性冲击 

分 类 号：F061-02[经济管理—政治经济学]