中国双粘性菲利普斯曲线的研究

发布时间：2018-04-02 22:11

本文选题：价格粘性　切入点：信息粘性　出处：《南京大学》2014年硕士论文

【摘要】：菲利普斯曲线一方面能刻画通货膨胀动态特征,预测通货膨胀水平,另一方面在现代货币传导机制中也发挥着重要作用。选择合适的菲利普斯曲线模型形式不仅有利于治理通货膨胀,而且能够为央行制定合理、有效的货币政策提供参考建议。建立在粘性价格和粘性信息假设基础之上的双粘性菲利普斯曲线具有较强的微观基础,并能够从结构方程出发,内生性的产生通胀惯性项,从而弥补了新凯恩斯菲利普斯曲线在解释通胀惯性方面的不足。本文使用1992年一季度到2013年四季度的季度宏观经济数据来估计中国的双粘性菲利普斯曲线。VAR模型能够克服GMM估计中的小样本问题,本文构建VAR模型来估计预期通胀和预期实际边际成本序列,然后最小化理论模型的通货膨胀率和实际通货膨胀胀序列之间的方差,即通过最小距离估计量法来估计模型参数。产出缺口还是单位劳动成本是实际边际成本的有效替代量也一直是国内外学者争论的另外一个焦点,本文同时基于产出缺口和单位劳动成本这两种变量估计我国的双粘性菲利普斯曲线。实证结果发现粘性价格和粘性信息在我国经济中同时存在,单位劳动成本和产出缺口均为实际劳动成本的有效替代变量。其中在基于单位劳动成本的双粘性菲利普斯曲线中,价格粘性程度为57.3%,每一季度中大约有57.3%的企业不会调整其价格水平,我国企业重新制定价格水平的平均时间为2.34个季度。信息粘性程度为40.6%,每一季度中大约有40.6%的企业不会更新信息,企业更新信息的平均时间为1.68个季度。价格粘性的程度大于信息粘性的程度。基于本文估计的双粘性菲利普斯,引入IS曲线和央行的目标函数构建新凯恩斯货币政策动态一般均衡的分析框架,以期为中国的最优货币政策的制定和实施提供政策建议是本文未来的研究方向。
[Abstract]:On the one hand, Phillips curve can depict the dynamic characteristics of inflation and predict the level of inflation, on the other hand, it also plays an important role in the modern monetary transmission mechanism.Choosing the appropriate Phillips curve model can not only help to control inflation, but also provide reference for the central bank to formulate reasonable and effective monetary policy.Based on the assumption of viscous price and viscous information, the double-viscous Phillips curve has a strong microscopic basis, and can endogenously produce the inflation inertia term from the structural equation.This makes up for the deficiency of the new Keynesian Phillips curve in explaining inflation inertia.This paper uses the quarterly macroeconomic data from the first quarter of 1992 to the fourth quarter of 2013 to estimate the double-viscous Phillips curve. The VAR model can overcome the small sample problem in GMM estimation.In this paper, VAR model is constructed to estimate expected inflation and expected real marginal cost series, and then to minimize the variance between inflation rate and real inflation expansion sequence of theoretical model, that is, to estimate the model parameters by the method of minimum distance estimator.Whether the output gap or unit labor cost is the effective substitution of actual marginal cost has also been another focus of debate among domestic and foreign scholars.This paper also estimates the double viscous Phillips curve based on output gap and unit labor cost.The empirical results show that both viscous price and viscous information exist simultaneously in Chinese economy, and both unit labor cost and output gap are effective alternative variables of actual labor cost.In the double-viscous Phillips curve based on unit labor cost, the price stickiness is 57.3%. About 57.3% of the enterprises in each quarter will not adjust their price level. The average time for Chinese enterprises to re-establish the price level is 2.34 quarters.The information viscosity is 40.6%, about 40.6% of enterprises will not update information in each quarter, the average time of updating information is 1.68 quarters.Price stickiness is greater than information viscosity.Based on the estimate of double viscosity Phillips in this paper, an analytical framework of the general equilibrium of monetary policy dynamics of New Keynesian is constructed by introducing the is curve and the objective function of the central bank.The purpose of this paper is to provide policy advice for the formulation and implementation of China's optimal monetary policy.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F822.5;F224

【共引文献】