外部冲击对存货投资的时变性影响  

The Time-varying Impact of External Shocks on Inventory Investment——Based on TVP-SV-VAR Model

作　　者：张鸿儒 杨泽民 Zhang Hongru;Yang Zemin(School of Economics,Jiangxi University of Finance and Economics,Nanchang 330013,China;The Zhejiang Branch of Bank of China,Hangzhou 310000,China)

机构地区：[1]江西财经大学经济学院,南昌330013 [2]中国银行浙江省分行,杭州310000

出　　处：《统计与决策》2020年第21期139-144,共6页Statistics & Decision

基　　金：国家社会科学基金重点项目(17AJY030);江西省高校人文社会科学研究项目(JJ18210);江西财经大学青年教师科研启动项目(K62192012)。

摘　　要：存货投资对宏观经济波动具有显著影响。文章研究了影响存货投资波动的外部冲击,并选取2005—2017年的月度数据构建TVP-SV-VAR模型,实证检验了外部冲击对存货投资影响的时变性。结果表明:不同外部冲击对存货投资的影响具有明显的时变特征,在不同时期的影响存在差异性,且短期滞后影响显著;需求冲击是影响存货投资周期性波动的首要因素,金融冲击和成本冲击次之。最后在供给侧结构性改革深化的背景下,提出实施"稳增长"政策、加强利率波动监控及进一步推进供给侧结构性改革"降成本"战略等建议。Inventory investment has a significant impact on macroeconomic fluctuations. This paper studies the external shocks that affect volatilities of inventory investment, and selects monthly data from 2005 to 2017 to construct a TVP-SV-VAR model to empirically test the time-varying effects of external shocks on inventory investment. The results show that the impact of different external shocks on inventory investment has apparent time-varying characteristics. The impacts vary widely in different periods, and the short-term lagging effect is significant;demand shock is the primary factor affecting the cyclical fluctuation of inventory investment, whereas financial and cost shocks are of secondary importance. Finally, in the context of deepening the supply-side structural reform, it is proposed to implement the"growth stabilization"policy, to strengthen the monitoring on interest rate fluctuation, and to further promote the"cost reduction"strategy in supply-side structural reform.

关 键 词：外部冲击 存货投资 TVP-SV-VAR模型 

分 类 号：F830.59[经济管理—金融学]