我国经济波动的产出效应研究

发布时间：2018-01-23 22:44

  本文关键词： 经济波动率 经济增长率 动态随机一般均衡模型 实际供给冲击 名义货币冲击　出处：《吉林大学》2016年博士论文　论文类型：学位论文

【摘要】：经济增长和经济波动问题是宏观经济学研究中的两大核心内容,并发展出了各自部分相对成体系的若干理论。我国从改革开放以来,先后经历了1994年严重通货膨胀、1998年亚洲金融危机、2008年全球金融危机等重大的经济波动时期。当前,我国经济正处在转型的关键时期,经济增长面临较大波动的考验,通过分析二者之间的联系和相互作用,可以为政策制定者提供参考。短期经济波动程度和不同经济波动阶段对于长期经济增长的影响等问题的研究对于科学合理地制定兼顾短期和长期的经济政策具有重要意义。本文在系统归纳总结经济波动和经济增长相关理论的基础上,结合数理模型与实证检验从多个角度分析了经济波动对经济增长率的影响情况。本文的主要研究内容和相关创新包括如下几个方面:(1)从经济波动的“机会成本”和“清理效应”理论出发,利用省际数据和面板门限回归模型以表示经济波动波幅的产出缺口分别和潜在经济增长率和未来三年平均实际经济增长率进行回归,并通过实证结果分析经济波动幅度和不同经济波动阶段对二者的影响。结果表明,以产出缺口代表的经济波动幅度对潜在产出增长率和未来三年平均增长率的影响是负向显著的,同时这种影响具有显著的门限非线性效应。其中,在经济处于严重衰退阶段的时候,产出缺口对两者的影响程度都是最大的。所不同的是,在经济处于繁荣阶段的时候,产出缺口对于潜在产出增长率的影响是不显著的,而对未来三年平均增长率产生的是最小程度的负向显著影响。另外,人口增长率和市场化进程对两者的影响分别是正向显著和负向显著的;投资率和对外开放度对潜在产出增长率产生的都是显著的负向影响,而对未来三年平均增长率的影响都并不显著。(2)从一个数理模型出发,通过参数校准并结合模型的主要结论初步给出我国经济波动率对经济增长率的影响方向。然后利用GARCH(1,1)-M模型对经济波动率影响经济增长率的问题进行实证分析,并在此基础上进一步讨论不同经济波动阶段下经济波动率对经济增长率的影响是否显著不同。具体地,利用两区制马尔科夫区制转移模型对经济扩张期和经济收缩期进行划分,将得到的表示不同经济波动阶段的虚拟变量加入到之前的GARCH(1,1)-M模型中进行实证分析。实证结果表明,经济波动率在不同经济波动阶段对经济增长率的影响呈现出非对称性的特征。也就是说,在经济扩张期和经济收缩期,经济波动率对经济增长率的影响显著不同而且方向是相反的。在经济扩张期经济波动率对经济增长率产生的是显著的正向影响效应,在经济收缩期经济波动率对经济增长率产生的是显著的负向影响效应,而这种负向影响程度要大于正向影响程度。(3)在前面研究经济波动率对实际经济增长率影响的基础上,进一步研究经济波动率对潜在产出增长率的影响情况。具体地,首先利用一个状态空间模型估算出样本内的潜在产出增长率数据序列并对估算结果进行简单评价。其次利用包含经济波动率、固定资产投资趋势增长率、外国直接投资趋势增长率以及潜在产出增长率四变量的时变参数向量自回归(TVP-VAR)模型从时间维度和时点维度具体分析模型中三个主要变量对潜在产出增长率的动态影响。实证结果表明,经济波动率冲击对潜在产出增长率的影响初始是正向的,随后几期影响转为负向,最后逐渐恢复到零线附近,同时这种影响的时变效应也是明显的。经济波动率冲击对固定资产投资趋势增长率和外国直接投资趋势增长率的影响都是负向的,经济波动率冲击对二者的影响在不同样本点的变化是明显的。固定资产投资趋势增长率冲击对潜在产出增长率的影响初始是负向的,随后几期这种负向影响逐渐加大,在达到最低点后逐渐上升最后恢复到零线附近,这种影响的时变效应也是明显的。外国直接投资趋势增长率冲击对潜在产出增长率的影响初始是正向的,并且在随后几期逐渐升高,当达到最高点以后逐渐降低最后恢复到零线。与之前脉冲响应函数动态影响明显的时变效应不同,外国直接投资趋势增长率冲击对潜在产出增长率的动态影响的时变效应并不明显。(4)在前面研究总体经济波动率对经济增长率影响的基础上,进一步研究分析造成经济波动的不同冲击来源对经济系统主要变量的影响。具体地,从包含银行部门的DSGE模型出发,分别用贝叶斯估计和参数校准的方式估计了模型中一些特殊参数和确定了模型中常见的一些参数值。最后通过脉冲响应函数具体分析了模型中不同5个不同随机冲击对模型中主要变量动态影响。脉冲响应函数的结果表明,技术冲击对产出、投资、资本品相对价格、银行和企业净资产以及银行总贷款产生的是正向影响,而对银行资本充足率、通货膨胀率以及利率产生的则是负向影响。利率冲击对银行资本充足率产生的是正向影响,而对产出、投资、资本品相对价格、银行和企业净资产、银行总贷款以及通货膨胀率产生的是负向影响。银行净资产负向冲击对资本品相对价格和通货膨胀率产生的是正向影响,而对产出、投资、银行资本充足率、银行和企业净资产、银行总贷款以及利率产生的则是负向影响。跨期偏好冲击对产生、总消费和银行资本充足率产生的是正向影响,而对投资、资本存量、银行和企业净资产、银行总贷款以及通货膨胀率产生的是负向影响。政府购买冲击对产出和银行资本充足率产生的是正向影响,而对投资、总消费、银行和企业净资产、银行总贷款、投资项目杠杆倍数以及通货膨胀率产生的是负向影响。这些冲击标准差的设定都是常数,后面的研究将考察冲击的时变标准差对产出增长率的影响。(5)上面涉及到的冲击标准差都是非时变的,此处进一步研究分别对应货币主义经济波动理论和真实经济周期理论的名义货币冲击和实际供给冲击的时变标准差对产出增长率的影响情况。先从一个具有一般均衡分析框架的数理模型中先得出实际供给冲击和名义货币冲击的方差变化对产出增长率的影响方向。然后通过对模型的参数估计和校准给出我国两种冲击波动率对产出增长率的影响情况。在数理分析的基础上,利用VAR模型符号约束识别和GARCH类模型等计量方法实证检验上面数理模型的结论,并根据得到的最终结论展开分析。实证检验的结果表明,名义货币冲击波动率对经济增长率产生的是负向影响;而实际供给冲击波动率对经济增长率产生的是正向影响,这与之前数理模型所预言的结果是相符的。
[Abstract]:Economic growth and economic fluctuation is the two core content of macro economics research, and develop their relative part into several theoretical system. Since reform and opening in China, has experienced serious inflation in 1994, the Asian financial crisis in 1998 2008, the global financial crisis and other major economic fluctuation period. Currently, I our economy is in a critical period of transition, economic growth is facing greater volatility in the test, contact and by analyzing the interaction between the two, can provide a reference for policy makers. The short-term economic fluctuation and economic fluctuation in different stages for long-term economic growth impact of research for scientific and reasonable formulation has important significance both the short-term and long-term economic policy. Based on the systematic summary of economic fluctuation and economic growth theory, combined with the mathematical model With the empirical test from the perspective of the economic fluctuation on economic growth rate. The main research contents and innovation are as follows: (1) from the point of view of economic fluctuations in the "opportunity cost" and "clear effect" theory, by using the provincial data and panel threshold regression model to represent the amplitude of economic fluctuation the output gap and the potential economic growth rate and the next three years the average real economic growth rate of return, and through the analysis of empirical results of economic fluctuations and the economic fluctuations of the two different stages. The results show that the economic fluctuations of the output gap representative of the potential output growth rate and the average growth rate of the next three years the effect is negative and significant, but the effect has significant effect on nonlinear threshold. Among them, the severe recession when the economy is in the output gap of two. The degree of influence is the biggest. The difference is that when the economy is in the stage of prosperity, the output gap is not significant influence on the growth of potential output, and for three years the average growth rate of the future is to minimize the negative effects. In addition, the influence of population growth rate and market the process of the difference is positive and negative; the rate of investment and the opening degree of the potential output growth rate will have significant negative effects, and the impact on the next three years the average growth rate is not significant. (2) starting from a mathematical model, the conclusions of the parameters the calibration and combining the model initially given China's economic fluctuation rate on economic growth rate. Then the use of GARCH (1,1) -M model to analyze the economic volatility influence the economic growth rate, and on the basis of a step. On the different stages of the economic fluctuation of economic volatility impact on economic growth rate is markedly different. Specifically, the transfer system of Markov zone two to divide the period of economic expansion and economic contraction model, the representation of virtual variable in different stages of economic fluctuation before adding to the GARCH (1,1) empirical analysis for the -M model. The empirical results show that economic volatility in different stages of economic fluctuations on economic growth rate showed a characteristic of non symmetry. That is to say, in the period of economic expansion and economic contraction, economic volatility impact on economic growth rate is significantly different but the direction is opposite. In the economic fluctuation the period of economic expansion rate on economic growth rate is a significant positive impact on the economy, systolic economy fluctuation rate on economic growth rate is significantly negative effects, and this The negative impact is greater than the positive impact. (3) in front of research on economic fluctuation rate of real economic growth rate on the impact of further research on economic fluctuation rate of potential output growth rate. Specifically, the first estimate of potential output growth rate in the sample data sequence and a simple evaluation of estimate the use of a state space model. Secondly using the included economic volatility, fixed asset investment growth rate trend, the trend of foreign direct investment growth rate and the potential output growth rate of four variable time-varying parameter vector autoregressive (TVP-VAR) model from the time dimension and time dimension of concrete analysis of dynamic effects of three main variables in the model of potential the rate of output growth. The empirical results show that the effect of initial economic volatility impact on potential output growth rate is positive, then a few effects turned negative, at last Gradually return to zero near the line, while the impact of the time-varying effect is obvious. Effects of economic volatility impact on fixed assets investment trend growth rate and foreign direct investment trend growth rate has negative impacts on the economy, the volatility of the two is the obvious change in different fixed sample points. Asset investment trend growth rate influence the initial impact on potential output growth rate is negative, then gradually increase to several such negative effects, in the rose gradually after reaching its lowest point at last return to zero near the line, the impact of the time-varying effect is obvious. The trend of foreign direct investment growth rate of the potential impact on the effect of initial the rate of output growth is positive, and in the ensuing period increased gradually, reached the highest point after gradually reduce and finally return to the zero line. And before the impulse response function obvious time-varying dynamic effects The effect of different trends of foreign direct investment growth rate impact on the dynamic effect of the potential output growth rate of the time-varying effect is not obvious. (4) in front of the overall economic volatility on the basis of economic growth rate, further study the impact of economic fluctuations caused by different sources of the main variables. The influence of specific economic system starting from the DSGE model, including the banking sector, respectively with Bias parameter estimation and calibration method to estimate some parameters in the model and identifies some common parameter values in the model. Finally, the impulse response function through a concrete analysis of the effects of different models of 5 different random shocks on the dynamics of the main variables in the model impulse response. The results show that the function of technology shocks on output, investment, and capital goods relative price, the bank and the enterprise net assets and total bank loans has the positive influence, The bank's capital adequacy ratio, inflation rate and interest rates is a negative impact. The interest rate impact on the capital adequacy ratio of banks is a positive impact, and on output, investment, capital goods relative price, the net assets of banks and enterprises, total bank loans and the rate of inflation has negative influence. The bank's net assets negative impact on capital relative prices and inflation is a positive impact, and on output, investment, capital adequacy ratio, net assets of banks and enterprises, total bank loans and interest rates are negative effects. The impact on the intertemporal preference, capital adequacy ratio and total consumption the bank is a positive impact, while the stock of capital investment, the net assets of banks and enterprises, total bank loans and inflation is negative effect. The capital adequacy ratio of bank output and government purchase shocks is Positive impact on investment, consumption, net assets of banks and enterprises, total bank loans, investment leverage and inflation rate have negative influence. These shock standard deviations are constant, the study will examine the impact of time-varying standard deviation effect on output growth rate (5. The impact on the standards related to) the difference is not time-varying, the further study of corresponding monetary economic fluctuation theory and real business cycle theory and the actual impact of nominal money supply shock variable standard deviation effect on output growth rate. The first is from a general equilibrium analysis of the influence of the direction of mathematical variance in the first model to draw the actual supply shocks and nominal monetary shocks on output growth. Then by means of parameter estimation and calibration of the model are two kinds of shocks on output rate fluctuation in China Effect of growth rate. On the basis of mathematical analysis, using the empirical measurement method of VAR model and GARCH model identification symbol constrained test above the conclusions of mathematical model, and analyze according to the final conclusions. The empirical results show that the nominal currency volatility impact on economic growth rate is negative influence while the actual supply shocks; the volatility of economic growth rate is positive effect, and the results before the mathematical model predicted is consistent.

【学位授予单位】：吉林大学
【学位级别】：博士
【学位授予年份】：2016
【分类号】：F224;F124
，

本文编号：1458433