我国通胀预期的测度与非线性调整机制研究

发布时间：2018-06-08 16:34

本文选题：非线性调整机制 + 通胀粘性预期　；参考：《广东商学院》2013年硕士论文

【摘要】：通胀预期一直以来都是货币金融学研究的热点问题。关于通胀预期的测度和形成机制研究，学者们取得了很多重要的成果，例如现有测度通胀预期的调查统计法、金融市场提取法和计量模型法，同时适应性预期和理性预期等预期理论的提出有助于我们更好地认识通胀预期的形成机制。然而，现有测度方法都只从局部均衡的视角出发，始终存在宏微观割裂的问题。适应性预期和理性预期虽然体系成熟且易于实证，但却无法对现实经济中预期存在的非线性特征进行解释。在通胀预期的测度上，本文运用一般均衡条件下家庭、企业、政府和中央银行组成的经济系统进行全局性的DSGE模型分析，克服了传统通胀预期测度的局部分析方法，并首次将适应性学习行为引入到公众的通胀预期形成机制中，从而将通胀预期作为一个单独内生变量纳入模型，再将调查统计法得到通胀预期值作为模型求解的观测变量，使得DSGE模型系统融入了微观个体最直接的信息，实现了两种测度方法的结合。计算结果显示：第一， DSGE模型计算的通胀预期较好地吸收了调查统计的信息。第二，与时变C-P概率法相比，忽略外生冲击影响一方面降低了DSGE模型预测通胀的准确性，另一方面恰恰体现了DSGE模型对现实通胀预期形成的真实反映。为对预期的非线性特征进行分析，根据“弱版本”理性预期的设定，以非线性的STECM模型为研究工具，以DSGE模型的求解通胀预期数据作为样本数据，对我国通胀预期非线性的调整机制进行了研究。研究表明，我国通胀预期调整机制的非线性特征源于预期偏差对预期的非对称调整作用，进而导致预期粘性调整和突变调整的交替出现。预期调整从粘性到突变的过程会引起居民消费、投资和储蓄等行为的不稳定，严重损害经济运行的效率，相反，居民通胀预期越准确，越能保证预期调整机制的稳定性，所以央行有必要采取措施使居民的通胀预期尽可能接近实际通胀。最后在借鉴国外通胀预期管理先进经验的基础上，结合前文实证分析结论，对我国通胀预期的管理提出一些政策建议。
[Abstract]:Inflation expectation has always been a hot issue in the research of monetary finance. On the measurement and formation mechanism of inflation expectations, scholars have made many important achievements, such as the existing survey statistics, financial market extraction and measurement model, and the expectation theory of adaptive expectation and rational expectation. However, the existing measurement methods are always from the perspective of local equilibrium, and there is always a problem of macro and micro separation. Although the adaptive expectation and rational expectation are mature and easy to demonstrate, they can not explain the expected nonlinear characteristics in the real economy.
On the measure of inflation expectation, this paper makes a global DSGE model analysis of the economic system composed of family, enterprise, government and central bank under general equilibrium, overcoming the local analysis method of the traditional inflation expectation measure, and introducing the adaptive learning behavior into the public inflation expectation formation mechanism for the first time. The inflation expectation is taken as a single endogenous variable into the model, and then the survey statistics are obtained as the observation variable of the model, which makes the DSGE model system integrate the most direct information of the microindividual and realizes the combination of the two measures. The results show that the inflation expectation of the DSGE model is better. Second, compared with the time-varying C-P probability method, ignoring the impact of exogenous shock on one side reduces the accuracy of the DSGE model to predict inflation, on the other hand, it precisely reflects the real reflection of the DSGE model on the formation of real inflation expectations.
In order to analyze the expected nonlinear characteristics, according to the set of "weak version" rational expectation, the nonlinear STECM model is used as the research tool and the DSGE model is used to solve the inflation expected data as sample data, and the adjustment mechanism of inflation expectation nonlinearity in China is studied. The linear feature is derived from the expected unsymmetrical adjustment of expected deviation, which leads to the alternation of expected viscosity adjustment and mutation adjustment. The expected adjustment from stickiness to catastrophe will cause the instability of consumption, investment and savings, and seriously damage the efficiency of economic operation. On the contrary, the more accurate, the more accurate the inflation expectation is, the more effective it will be. To ensure the stability of the expected adjustment mechanism, it is necessary for the central bank to take measures to make residents' inflation expectations as close as possible to actual inflation.
Finally, on the basis of foreign advanced experience of inflation expectation management, combined with the conclusions of previous empirical analysis, we put forward some policy recommendations on the management of inflation expectations in China.
【学位授予单位】：广东商学院
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F822.5;F224

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