中国新凯恩斯菲利普斯曲线实证研究

发布时间：2018-03-19 20:35

本文选题：NKPC　切入点：通胀　出处：《首都经济贸易大学》2017年硕士论文　论文类型：学位论文

【摘要】：通货膨胀关系到国民经济和谐健康发展,是宏观经济与金融政策调控的重要参考指标。新凯恩斯菲利普斯曲线(NKPC)模型一直是研究通胀问题的主要理论和方法。近年来经济全球化和金融一体化使得资本国际流动更快,市场开放扩大和增加了资源优化配置的范围和强度。在这种复杂条件下,本文试图研究以下两个问题:(1)原来的模型是否仍然适合中国目前的情况;(2)如果不适合,如何建立新的NKPC模型使之符合。首先本文使用国内流行的两个NKPC模型,分别用广义矩估计(GMM)和极大似然估计(LM)两种方法对中国数据进行了实证研究,发现混合型NKPC比前瞻型更符合中国现实情况。但是对于混合型NKPC,两种估计方法得出的结论却存在矛盾,为了解决这种矛盾,应该改进NKPC的结构,使之能够反映外部环境变化的影响。其次,将货币量拓展到了新凯恩斯模型框架中,分析结果却发现产出缺口对通胀率的影响是先正后负的,这与理论和直觉并不相符。这意味着,或者模型中NKPC曲线的结构有问题,或者曲线的参数估计方法有问题,因此需要进一步研究。然后,本文简化了奥伯斯菲尔德-罗戈夫的两国模型,导出了能够反映外部环境变化的NKPC计量模型。使用该模型对1996-2016年季度数据进行了实证分析,发现:(1)拟合优度普遍提高,变量显著性明显增强;(2)GMM和LM估计结果有很好的一致性;(3)通胀预期、通胀惯性和产出缺口对通胀有显著影响;(4)外部环境(国外GDP缺口)的变化对国内通胀率的变化有明显作用。最后是结论和建议。上述研究表明目前中国经济状况对外部环境的冲击变化比较敏感,在刻画通胀规律的时候应该考虑外部环境因素。供给侧结构调整中也应充分考虑这种影响。
[Abstract]:Inflation is related to the harmonious and healthy development of the national economy. New Keynesian Phillips Curve (NKPC) model has been the main theory and method to study inflation. In recent years, economic globalization and financial integration have made international capital flow faster. Under these complex conditions, this paper attempts to study the following two questions: 1) whether the original model is still suitable for the current situation in China. How to establish a new NKPC model to make it fit? firstly, using two popular NKPC models in China, this paper makes an empirical study on Chinese data by using generalized moment estimator (GMM) and maximum likelihood estimation (MLE), respectively. It is found that hybrid NKPC is more in line with the actual situation in China than the prospective one. However, the conclusions of the two estimation methods are contradictory. In order to solve this contradiction, the structure of NKPC should be improved. Secondly, the monetary volume is extended to the framework of the new Keynesian model, but the analysis shows that the impact of the output gap on inflation is positive first and negative. This is not consistent with theory and intuition. This means that either the structure of the NKPC curve in the model or the method for estimating the parameters of the curve is problematic, so it needs further study. In this paper, Obersfeld Rogoff's two-country model is simplified, and a NKPC econometric model which can reflect the change of external environment is derived. The empirical analysis of the quarterly data from 1996 to 2016 shows that the goodness of fit is generally improved. Variables significantly enhanced the results of GMM and LM estimates with good consistency with inflation expectations. Inflation inertia and output gap have a significant impact on inflation) the change of external environment (foreign GDP gap) has obvious effect on the change of domestic inflation. Finally, the conclusion and suggestion. Sensitive to the impact changes in the external environment, The external environmental factors should be taken into account when characterizing the law of inflation, and this influence should also be fully considered in the adjustment of supply-side structure.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F124;F822.5

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