基于广义矩方法的我国通货膨胀福利成本估计

发布时间：2018-04-21 23:05

本文选题：通货膨胀 + 福利成本　；参考：《统计研究》2013年08期

【摘要】：本文在货币效用模型(MIU)框架下研究我国通货膨胀福利成本问题,理性经济人的动态最优化选择行为产生了一组随机非线性欧拉方程。利用这些方程,在稳定状态下推导出估计通货膨胀福利成本的方法。实证分析以欧拉方程为基础,利用广义矩方法(GMM)估计模型参数,进而估计出我国1995-2012年的通货膨胀福利成本。我们发现名义利率比通货膨胀率对通货膨胀福利成本的影响更大,在低通货膨胀水平,通货膨胀率对福利成本的影响更大。本文阐述的估计通货膨胀福利成本的方法的优势在于能够同时考虑通货膨胀率和名义利率两个变量的影响,而传统估计方法只能利用名义利率作为持有货币的机会成本变量来估计通货膨胀福利成本。
[Abstract]:In this paper, we study the problem of inflation welfare cost in China under the framework of monetary utility model. A set of stochastic nonlinear Euler equations are generated by the dynamic optimization of rational economic man. Using these equations, a method for estimating the cost of inflation welfare is derived under stable state. Based on the Euler equation, the model parameters are estimated by the generalized moment method (GMMM), and the inflation welfare costs in China from 1995 to 2012 are estimated. We find that nominal interest rates have a greater impact on inflationary welfare costs than inflation rates, and that inflation rates have a greater impact on welfare costs at low inflation levels. The advantage of the method described in this paper for estimating the cost of inflation benefits lies in the ability to consider the effects of both the inflation rate and the nominal interest rate at the same time. The traditional estimation method can only use the nominal interest rate as the opportunity cost variable of holding currency to estimate the inflation welfare cost.
【作者单位】：华东交通大学经济管理学院;
【分类号】：F224;F822.5

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