我国宏观经济波动中的随机冲击效应:经验事实与理论解读

发布时间：2018-09-01 11:15

【摘要】：本文首先利用一个施加长期约束的SVAR框架,考察了供给、需求与货币冲击对我国产出、通货膨胀影响的经验事实。结果显示,需求冲击对产出和通货膨胀均存在较大影响力,供给冲击偏重于影响产出,货币冲击则偏重于通货膨胀。随后,基于动态随机一般均衡理论框架,引入技术、偏好等七种典型的外生随机冲击,详细刻画随机冲击对我国宏观经济的影响机制,其脉冲模拟结果与SVAR经验事实基本一致。DSGE方差分解进一步显示,在多数年份,供给需求冲击与财政政策冲击能够解释大部分产出波动,供需、财政货币政策等随机冲击对通货膨胀波动的解释比例较为均衡。近期,受经济转型以及政策转向的影响,以消费、投资为代表的需求冲击构成我国当前宏观经济波动的最主要因素。
[Abstract]:In this paper, the empirical facts of the effects of supply, demand and monetary shocks on China's output and inflation are investigated by means of a long-term constraint SVAR framework. The results show that demand shock has a great influence on both output and inflation, while supply shock has more influence on output and currency shock on inflation. Then, based on the framework of dynamic stochastic general equilibrium theory, seven typical exogenous random shocks, such as technology and preference, are introduced to describe the impact mechanism of random shocks on China's macro economy in detail. The results of pulse simulation are basically consistent with the empirical facts of SVAR. DSGE variance decomposition further shows that in most years, supply and demand shocks and fiscal policy shocks can explain most of the output fluctuations, supply and demand. Financial and monetary policy and other random shocks to the inflation fluctuations more balanced explanation. Recently, under the influence of economic transformation and policy shift, the demand shock, represented by consumption and investment, constitutes the main factor of the current macroeconomic fluctuation in China.
【作者单位】：西安交通大学经济与金融学院;中国人民银行天津分行;
【基金】：国家自然科学基金委青年基金项目(71303254)
【分类号】：F015;F224

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