价格黏性、投资调整成本与DSGE模型的传导
发布时间：2018-10-19 18:02
【摘要】：基于贝叶斯和冲击响应方法,对经典CEE模型中的摩擦性机制进行了评估,判断模型中哪些机制对于分析中国经济是重要的和不可或缺的。首先基于贝叶斯方法,对剔除不同摩擦性因素的CEE模型进行贝叶斯估计,比较其边缘似然函数,发现对中国数据解释力最强的模型机制是价格黏性和投资调整成本,其次是习惯形成和工资黏性,而资本利用率调整成本、价格和工资的指数化因素则并不重要。最后基于冲击响应方法,考察CEE模型对货币、技术和政府支出等三种冲击的响应曲线,进一步证实了贝叶斯评估的结论。
[Abstract]:Based on the Bayesian and shock response methods, the friction mechanism in the classical CEE model is evaluated, and which mechanisms are important and indispensable to the analysis of China's economy are judged. Based on Bayesian method, Bayesian estimation of CEE model with different frictional factors is carried out, and its edge likelihood function is compared. It is found that the most powerful model mechanisms for Chinese data interpretation are price stickiness and investment adjustment cost. The second is habit formation and wage stickiness, while the cost of capital utilization adjustment, the indexation of price and wage is not important. Finally, based on the shock response method, the response curves of CEE model to currency, technology and government expenditure are investigated, which further confirm the conclusion of Bayesian evaluation.
【作者单位】： 河南大学经济学院;江西财经大学江西经济发展与改革研究院;
【基金】：国家自然科学基金青年项目“政治制度对经济发展影响的随机动态规划与实证研究:基于DSGE与动态面板分析方法”(71503110);国家自然科学基金项目“讯息冲击视角下我国宏观财政调控政策对经济波动的影响机制研究”(71463017) 教育部人文社会科学研究规划青年项目“经济政策不确定性、时变的菲利普曲线与货币政策有效性”(17YJC790028) 江西省教育厅科技项目“宏观经济不确定性与货币政策传导——基于扩展的Phillips曲线研究”(GJJ160462)
【分类号】：F124;F726
，
本文编号：2281919
[Abstract]:Based on the Bayesian and shock response methods, the friction mechanism in the classical CEE model is evaluated, and which mechanisms are important and indispensable to the analysis of China's economy are judged. Based on Bayesian method, Bayesian estimation of CEE model with different frictional factors is carried out, and its edge likelihood function is compared. It is found that the most powerful model mechanisms for Chinese data interpretation are price stickiness and investment adjustment cost. The second is habit formation and wage stickiness, while the cost of capital utilization adjustment, the indexation of price and wage is not important. Finally, based on the shock response method, the response curves of CEE model to currency, technology and government expenditure are investigated, which further confirm the conclusion of Bayesian evaluation.
【作者单位】： 河南大学经济学院;江西财经大学江西经济发展与改革研究院;
【基金】：国家自然科学基金青年项目“政治制度对经济发展影响的随机动态规划与实证研究:基于DSGE与动态面板分析方法”(71503110);国家自然科学基金项目“讯息冲击视角下我国宏观财政调控政策对经济波动的影响机制研究”(71463017) 教育部人文社会科学研究规划青年项目“经济政策不确定性、时变的菲利普曲线与货币政策有效性”(17YJC790028) 江西省教育厅科技项目“宏观经济不确定性与货币政策传导——基于扩展的Phillips曲线研究”(GJJ160462)
【分类号】：F124;F726
，
本文编号：2281919
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