零利率下限约束、供求冲击与中国经济波动
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摘要
构建动态随机一般均衡模型,分析零利率下限约束下供求冲击对于宏观经济波动的影响。结果显示,与不存在零利率下限约束的情况相比,当存在零利率下限约束时,"费雪效应"的存在会从两方面改变供求冲击对一国经济波动的影响:一是会改变对一些经济变量影响的方向;二是从影响的程度来看,零利率下限约束存续的期限越长经济变量波动的幅度越剧烈。随后可以分析中国零利率下限约束的特征事实,并可以应用时变参数方法分析2004年以来供求冲击下中国产出等经济变量的动态响应轨迹。分析结果基本证实了上述理论分析的结论。
Based on a DSGE model, it is found that, comparing with the case of no zero lower bound( ZLB)problem,when existing the ZLB problem,the "Fisher effect" changes the effects of supply and demand shocks on economic fluctuation in two ways : one is the effect direction of some economic variables changes; the other is the effect degree which can be strengthened when the duration of ZLB lasts. With the SV-TVP-VAR model,the impulse response of China's economic variables to supply and demand shocks since 2004 verifies the former theoretical analysis.
Based on a DSGE model, it is found that, comparing with the case of no zero lower bound( ZLB)problem,when existing the ZLB problem,the "Fisher effect" changes the effects of supply and demand shocks on economic fluctuation in two ways : one is the effect direction of some economic variables changes; the other is the effect degree which can be strengthened when the duration of ZLB lasts. With the SV-TVP-VAR model,the impulse response of China's economic variables to supply and demand shocks since 2004 verifies the former theoretical analysis.
引文
[1]靳玉英,张志栋.“零利率下限”情形下如何应对经济衰退?[J].经济学动态,2010(8):96-101.
[2]FISHER I. Appreciation and interest[M]. New York:Macmillan, 1896.
[3] BUTTER W H. Negative nominal interest rates:three ways to overcome the zero lower bound[J]. The North American Journal of Economics and Finance,2009,20(3):213-238.
[4]CLARIDA R H. What has-and has not-been learned about monetary policy in a low inflation environment? A review of the 2000s[J]. Journal of Money,Credit and Banking,2012,44(S1):123-140.
[5]BAURLE G,KAUFMANN D. Exchange rate and price dynamics in a small open economy—the role of the zero lower bound and monetary policyregimes[Z]. Swiss National Bank Working Papers No. 2014-10,2014.
[6] WALSH C E. Using monetary policy to stabilize economic activity[EB/OL].(2009-11-09)[2017-05-01]. https://www. kansascityfed.org/media/files/publicat/sympos/2009/papers/walsh091109. pdf.
[7] WILLIAMS J C. Heeding daedalus,optimal inflation and zero lower bound[EB/OL].(2009-09-23)[2017-05-01]. https://www. brookings. edu/wp-content/uploads/2009/09/2009b_bpea_wilUiams. pdf.
[8] COIBION O, GORODNICHENKO Y, WIELAND J. The optimal inflation rate in New Keynesian models:should central banks raise their inflation targets in light of the zero lower bound?[J]. Review of Economic Studies,2012,79(4):1371-1406.
[9] FERNANDEZ V J,GORDON G,GUERRON P A. Nonlinear adventures at the zero lower bound[J]. Journal of Economic Dynamics and Control,2015,57(8):182-204.
[10]潘成夫,刘刚.非常规货币政策的理论效应与实际效果之比较[J].国际贸易问题,2012(11):165-176.
[11]肖卫国,赵阳.美国非常规货币政策对中国经济的影响——基于零利率下限和符号约束的VAR分析[J].经济管理,2013(6):12-19.
[12]马理,娄田田.基于零利率下限约束的宏观政策传导研究[J].经济研究,2015(11):94-105.
[13]CALVO G A. Staggered prices in a utility-maximizing framework[J]. Journal of Monetary Economics, 1983,12(3):383-398.
[14] YUN T. Nominal price rigidity, money supply endogeneity, and business cycles[J]. Journal of Monetary Economics, 1996, 37(2-3):345-370.
[15]CHOW G C,LI K W. China economic growth:1952—2010[J]. Economic Development and Cultural Change,2002,51(1);247-256.
[16] BODENSTEIN M, ERCEG C J, GUERRIERI L. The effects of foreign shocks when interest rate are at zero[J]. Canadian Journal of Economics,2017,50(3):660-684.
[17]张瀛.汇率制度、经济开放度与中国需求政策的有效性[J].经济研究,2008(3):48-59.
[18]刘斌.动态随机一般均衡模型及其应用[M].北京:中国金融出版社,2010.
[19]KYDLAND F E,PRESCOTT E C. Time to build and aggregate fluctuations[J]. Econometrica, 1982,50(6):1345-1370.
[20]SIMS C. Macroeconomics and reality[J]. Economitrica,1980,48(1):1-48.
[21]PRIMICERI G. Time varying structural vector auto regressions and monetary policy[J]. Review of Economic Studies,2005,72(3):821-852.
(1)此处的名义利率为7天质押式回购利率的月度平均值,实际利率为该名义利率与居民消费指数(CPI)的差值。除特别说明,本文的数据都来自同花顺数据库。
(1)关于新凯恩斯模型中厂商粘性的定价方式可以参考卡尔沃(Calvo, 1983)及云(Yun, 1996)等人的研究~([13-14])。
(1)首先对城镇失业率的季度数据进行了月度平均,然后用1与该平均值的差值作为就业率数据。
[2]FISHER I. Appreciation and interest[M]. New York:Macmillan, 1896.
[3] BUTTER W H. Negative nominal interest rates:three ways to overcome the zero lower bound[J]. The North American Journal of Economics and Finance,2009,20(3):213-238.
[4]CLARIDA R H. What has-and has not-been learned about monetary policy in a low inflation environment? A review of the 2000s[J]. Journal of Money,Credit and Banking,2012,44(S1):123-140.
[5]BAURLE G,KAUFMANN D. Exchange rate and price dynamics in a small open economy—the role of the zero lower bound and monetary policyregimes[Z]. Swiss National Bank Working Papers No. 2014-10,2014.
[6] WALSH C E. Using monetary policy to stabilize economic activity[EB/OL].(2009-11-09)[2017-05-01]. https://www. kansascityfed.org/media/files/publicat/sympos/2009/papers/walsh091109. pdf.
[7] WILLIAMS J C. Heeding daedalus,optimal inflation and zero lower bound[EB/OL].(2009-09-23)[2017-05-01]. https://www. brookings. edu/wp-content/uploads/2009/09/2009b_bpea_wilUiams. pdf.
[8] COIBION O, GORODNICHENKO Y, WIELAND J. The optimal inflation rate in New Keynesian models:should central banks raise their inflation targets in light of the zero lower bound?[J]. Review of Economic Studies,2012,79(4):1371-1406.
[9] FERNANDEZ V J,GORDON G,GUERRON P A. Nonlinear adventures at the zero lower bound[J]. Journal of Economic Dynamics and Control,2015,57(8):182-204.
[10]潘成夫,刘刚.非常规货币政策的理论效应与实际效果之比较[J].国际贸易问题,2012(11):165-176.
[11]肖卫国,赵阳.美国非常规货币政策对中国经济的影响——基于零利率下限和符号约束的VAR分析[J].经济管理,2013(6):12-19.
[12]马理,娄田田.基于零利率下限约束的宏观政策传导研究[J].经济研究,2015(11):94-105.
[13]CALVO G A. Staggered prices in a utility-maximizing framework[J]. Journal of Monetary Economics, 1983,12(3):383-398.
[14] YUN T. Nominal price rigidity, money supply endogeneity, and business cycles[J]. Journal of Monetary Economics, 1996, 37(2-3):345-370.
[15]CHOW G C,LI K W. China economic growth:1952—2010[J]. Economic Development and Cultural Change,2002,51(1);247-256.
[16] BODENSTEIN M, ERCEG C J, GUERRIERI L. The effects of foreign shocks when interest rate are at zero[J]. Canadian Journal of Economics,2017,50(3):660-684.
[17]张瀛.汇率制度、经济开放度与中国需求政策的有效性[J].经济研究,2008(3):48-59.
[18]刘斌.动态随机一般均衡模型及其应用[M].北京:中国金融出版社,2010.
[19]KYDLAND F E,PRESCOTT E C. Time to build and aggregate fluctuations[J]. Econometrica, 1982,50(6):1345-1370.
[20]SIMS C. Macroeconomics and reality[J]. Economitrica,1980,48(1):1-48.
[21]PRIMICERI G. Time varying structural vector auto regressions and monetary policy[J]. Review of Economic Studies,2005,72(3):821-852.
(1)此处的名义利率为7天质押式回购利率的月度平均值,实际利率为该名义利率与居民消费指数(CPI)的差值。除特别说明,本文的数据都来自同花顺数据库。
(1)关于新凯恩斯模型中厂商粘性的定价方式可以参考卡尔沃(Calvo, 1983)及云(Yun, 1996)等人的研究~([13-14])。
(1)首先对城镇失业率的季度数据进行了月度平均,然后用1与该平均值的差值作为就业率数据。