考虑生产率冲击的费雪方程式拓展:理论与实证  

Extension of Fisher Equation With Productivity Shock:Theory and Practice

作　　者：徐占东[1] XU Zhan-dong(School of Economics,Dongbei University of Finance and Economics,Dalian 116025,China)

机构地区：[1]东北财经大学经济学院,辽宁大连116025

出　　处：《东北财经大学学报》2020年第5期22-30,共9页Journal of Dongbei University of Finance and Economics

基　　金：国家自然科学基金重点项目“大数据环境下的微观信用评价理论与方法研究”(71731003);教育部人文社会科学研究青年项目“多源数据下基于级别高于关系的小企业信用风险动态评价理论与方法研究”(18YJC790017)。

摘　　要：本文将包含政府支出的生产函数引入DSGE模型,通过求解DSGE模型,得到拓展的费雪方程式,揭示预期通货膨胀不仅受名义利率影响,还受到技术冲击和政府支出预期增长率的影响。利用1991—2014年我国宏观数据进行实证检验表明:一是利用国民产出、固定资产投资及政府支出之间的协整关系,构建生产率测度,反映了1998年全球金融危机及2007年美国次贷危机对我国经济波动的影响。二是名义利率、生产率及政府支出预期增长率解释了预期通货膨胀率88%的变动。名义利率、生产率和政府支出预期增长率对预期通货膨胀率产生显著影响。从政策效果看,采用盯住生产率的财政政策与盯住利率的货币政策组合,不仅能有效降低预期通货膨胀率,而且能有效降低通货膨胀率的波动幅度。This paper introduces the production function containing government spending into the DSGE model,and by solving the DSGE model,the extended Fisher equation is obtained,revealing that expected inflation is not only influenced by nominal interest rates,but also by technology shocks and the expected growth rate of government spending.Empirical tests using China’s macro data from 1991-2014 show that,first,the co-integration relationship between national output,fixed asset investment and government spending is used to construct a productivity measure,which reflects the impact of the 1998 global financial crisis and the 2007 U.S.subprime mortgage crisis on China’s economic volatility.Second,the expected growth rates of nominal interest rates,productivity,and government spending explain the 88%change in the expected inflation rate.The expected growth rates of nominal interest rates,productivity,and government spending have a significant impact on the expected inflation rate.In terms of policy effects,a combination of fiscal policy targeting productivity and monetary policy targeting interest rates is effective not only in reducing the expected inflation rate but also in reducing the volatility of the inflation rate.

关 键 词：通货膨胀 生产率冲击 费雪方程式 财政政策 

分 类 号：F810.4[经济管理—财政学]