异质性预期、个体交互和房价波动北大核心CSSCI

本文构建了包含微观个体异质性预期、适应性学习特征与个体交互行为的基于代理人的新凯恩斯(Agent-based New Keynesian,ABNK)模型,分析居民内生异质性预期行为与外生预期偏好冲击影响中国房价的内在机理,并模拟预期与未预期的住房偏好冲击对中国房地产价格波动的影响。研究结果表明:(1)在考虑内生异质性预期和外生预期偏好冲击的条件下,利用中国真实数据估计出经济中完全理性人占比为56%,有限理性居民占比为44%;(2)居民内生异质性预期行为是影响房价的重要因素,并且内生异质性预期对房价波动的影响程度远甚于外生预期冲击;(3)未预期住房偏好冲击对房价波动的贡献幅度远大于预期住房偏好冲击的贡献度。因此,积极引导居民预期是房地产调控的有效手段。     

金融体系深化、外生冲击与经济平稳增长——基于1991-2008年我国省市面板数据的检验

本文通过一个拓展的实证模型研究金融发展与金融机构在促进经济增长的过程中对外界冲击的反应发现:在加入外生冲击检验项后,银行信贷表现出显著的抑制经济外生冲击、避免经济大幅波动与平滑经济增长的作用.股票筹资在显著促进经济增长的同时,在外生冲击下具有放大经济波动幅度的"助涨助跌"效果.放大效应与市场规模密切相关,这也是股票市场规模促进经济增长存在"倒U效应"的间接证据.加入银行信贷与股票市场双指标变量的检验显示,股票市场与银行信贷表现出明显的"互补溢出"效应:首先.股票市场规模变大使得银行信贷对经济的抑制作用变得不明显,银行信贷可以促进股票市场影响经济增长的效果;其次,两者的共同作用可以平滑经济增长的外生冲击,这一结论意味着建设多层次资本市场的重要性,也肯定了我国金融结构体系深化过程的合理性.     

住房价格、金融稳定与宏观审慎政策

本文通过建立包含异质性家庭、异质性厂商和金融机构的DSGE模型,分析对预期房价作出反应的货币政策和宏观审慎政策的传导机制和政策效果,研究不同政策的选择和协调问题。研究发现,首先,由于政策的作用范围不同,不同政策会对金融稳定和经济稳定产生不同影响。对预期房价作出反应的货币政策能够抑制住房需求和信贷供给,但也会抑制消费需求和产出;而对预期房价作出反应的逆周期LTV政策和逆周期资本充足率政策在应对房价波动导致的金融稳定问题时更加有的放矢。其次,外生冲击的来源会影响政策的选择和协调——当经济波动来源于需求冲击时,固定LTV政策搭配逆周期资本充足率的宏观审慎政策、不对预期房价作出反应的货币政策表现最优;当经济波动来源于供给冲击时,固定LTV政策搭配逆周期资本充足率的宏观审慎政策、对预期房价作出反应的货币政策表现最优。     

住房、便利设施与异质性劳动力流动——微观机制与福利效应

通过构建住房和便利设施供给内生的空间均衡模型,运用人口调查数据和反事实检验方法,本文考察了住房成本和便利设施水平变动影响异质性劳动力流动的微观机制及其福利效应。研究发现:(1)住房成本随着异质性劳动力向城市集聚而显著上涨,但城市便利设施水平的提高主要得益于高技能劳动力就业规模的扩大,低技能劳动力就业增长的贡献并不显著;(2)住房成本上涨与便利设施水平提高进一步推动了异质性劳动力在城市间的流动与配置,反映在城市体系上,使得城市的规模分布分别呈现出扁平化和向大城市极化的特征;(3)就福利效应而言,住房成本上涨压缩了工资溢价带来的福利水平提升空间,但一定程度上缓解了高、低技能劳动力福利差距的扩大趋势;更高水平的便利设施促进了福利水平的提升,但也加剧了高、低技能劳动力之间的福利不平等状况。城市规模对上述福利效应存在放大机制。     

土地价格、土地财政与宏观经济波动

本文在一个包含金融加速器的新凯恩斯动态一般均衡模型中引入土地财政和政府隐性担保融资机制,借此考察在土地财政体制下土地价格的波动特征、驱动因素和对宏观经济的影响机制,同时使用2004Q1到2016Q1的中国宏观经济数据对模型进行贝叶斯估计。方差分解的结果表明,在样本期间,土地需求冲击、土地供给冲击和货币政策冲击是驱动中国土地价格变动的主要因素,货币政策冲击和土地供给冲击是引起短期土地价格波动的主要因素,土地需求冲击在长期中驱动了土地价格波动。数值模拟结果发现,土地财政对宏观经济波动具有放大效应,正向的土地需求冲击将推高土地价格,并通过抵押约束机制引起宏观经济波动,地方政府对土地财政的依赖将放大该效应,并进一步对土地价格形成正向反馈,从而引起宏观经济更大的波动;在土地财政体制下,正向的土地供给冲击有助于抑制土地价格上涨,并减少宏观经济波动。     

新凯恩斯主义工资粘性对大学生就业的启示

新凯恩斯主义工资粘性理论注重对劳动力市场的研究,尤其是从多个角度来分析工资粘性产生的原因,并由此来证明劳动力市场上失业率持久不下的真正原因。中国的市场经济体制符合工资粘性的前提,我们可以从中剖析出对我国经济发展有利的启发。在撰写之前,我搜集了2005年—2017年的平均工资水平来对比工资粘性在中国劳动力市场上是否存在。并针对工资粘性理论,从中提炼出适合中国国情发展的意见,这对我国就业政策改革及大学生综合素质培养有重要意义。     

企业效率异质性、金融摩擦的资源再分配机制与经济波动

本文利用1998-2007年中国工业企业数据实证研究发现,相对于低效率企业而言,中国高效率企业面临的融资约束更紧。基于以上实证结果,本文利用一个具有金融摩擦和异质性效率厂商的DSGE模型,研究金融摩擦影响资源再分配的机制,以及金融摩擦通过资源再分配效应对产出和经济波动的影响。论文理论研究表明,金融摩擦会通过收紧高效率企业的融资约束而产生资源错配;外生技术冲击和金融冲击都会通过改变企业融资约束产生资源再分配效应,并放大整体经济波动。论文对模型的数值模拟也证实了金融摩擦的资源再分配效应,以及外生技术冲击和金融冲击对经济波动的影响。     

劳动杠杆的定价效力:来自中国A股市场的证据

本文选取中国沪深A股2002年至2018年的季度数据,从公司层面考察了劳动杠杆(由劳动力成本粘性特征导致的企业利润变化率大于产出变化率的经济现象,可理解为不考虑固定成本时经营杠杆的特殊表现形式)对股票截面收益率的定价效力。结果发现:(1)劳动杠杆对截面收益率具有显著负向影响,具体表现为高劳动杠杆公司的收益率低于低劳动杠杆公司的收益率;(2)该影响在控制了公司特征后依然显著存在;(3)该影响在不同经济周期下表现不同:在经济下行期,负向定价效力更为明显。进一步地,本文通过生产率冲击和工资冲击这两个风险来源探究了劳动杠杆的作用机制。结果表明,劳动杠杆一方面通过生产率冲击产生显著正向影响,另一方面通过工资冲击产生显著负向影响。但后者的影响程度显著强于前者,两者的相对重要性取决于上市公司的技术水平。相关结果能够为公司应对劳动力成本上升、理解劳动杠杆的定价机制及相关投资策略的制定和风险管理等提供经验支持。     

能源冲击与中国经济波动——基于动态随机一般均衡模型的分析

中国经济的快速发展伴随着大量的能源消耗,能源价格的快速上涨势必会对经济的稳定性带来负面影响。考虑到经济波动源的不唯一性,本文构建一个三部门的动态随机一般均衡(DSGE)模型,着重研究能源冲击对中国经济的影响,探讨冲击的传导机制。外生冲击的传导机制由模型的消费跨期替代、劳动力与消费替代、利率政策规则等决定,但各种冲击的具体传导路径存在着差异。模拟结果显示,各种冲击来源中能源冲击对宏观经济的影响最大;若使用国际能源价格进行冲击实验,则我国的经济波动进一步放大;而利率规则有减弱经济波动的效果。     

地方“人才新政”与企业劳动力成本粘性

本文以2014-2020年间我国各地陆续出台的“人才新政”作为准自然实验,实证考察“人才新政”对企业劳动力成本粘性的影响。研究发现,“人才新政”实施会降低企业的劳动力成本粘性,其作用渠道主要是通过影响地区劳动力市场供给,进而改变企业的调整成本,优化人力资本配置来实现。研究还发现,“人才新政”主要降低了劳动力数量粘性而非劳动力薪酬粘性。截面检验发现,“人才新政”对劳动力成本粘性的降低作用主要集中在人才存量较少和第三产业占比较高的地区,以及生产经营结构变化较小的样本。最后发现,“人才新政”缓解了劳动力成本粘性对企业劳动力生产效率的不利影响。本文将宏观的人才政策和微观的企业人力资本配置相联系,为人才政策实施效果的评估提供经验证据,丰富成本粘性理论研究。     

Unemployment as excess supply of labor: Implications for wage and price inflation

The introduction of both market-clearing wages and nominal rigidities on wage setting can be used to rationalize unemployment as excess supply of labor in the New Keynesian model. As a result, wage inflation dynamics are forward-looking and depend negatively on the rate of unemployment. Moreover, both price inflation and wage inflation evolve as indicated by equations equivalent to those obtained in Erceg et al. (2000), though with different slope coefficients. In an equal-volatility comparison, the model with unemployment conveys less price stickiness and more wage stickiness.     

The Quantitative Importance of News Shocks in Estimated DSGE Models

We estimate a dynamic stochastic general equilibrium (DSGE) model with several frictions and both unanticipated and news shocks, using quarterly U.S. data from 1954 to 2004 and Bayesian methods. We find that unanticipated shocks dominate news shocks in accounting for the unconditional variance of output, consumption, and investment growth, interest rate, and the relative price of investment. The unanticipated shock to the marginal efficiency of investment is the dominant shock, accounting for over 45% of the variance in output growth. News shocks account for less than 15% of the variance in output growth. Within the set of news shocks, nontechnology sources of news dominate technology news, with wage markup news shocks accounting for about 60% of the variance share of both hours and inflation. We find that in the estimated DSGE model (i) the presence of endogenous countercyclical price and wage markups due to nominal frictions substantially diminishes the importance of news shocks relative to a model without these frictions, and (ii) while there is little change in the estimated contributions of technology news when we restrict wealth effects on labor supply, the contributions of nontechnology news shocks are relatively more sensitive.     

Monetary Policy,Trend Inflation,and Unemployment Volatility

The literature has long agreed that the DMP model (after Diamond 1982, Mortensen 1982, Pissarides 1985) with search and matching frictions in the labor market can deliver large volatilities in labor market quantities, consistent with empirical data, only if there is at least some wage stickiness. I show, however, that the model can deliver nontrivial volatilities without wage stickiness, as long as it has price dispersion and nonzero long‐run inflation rates. I find that by keeping inflation at a positive rate, monetary policy may be accountable for the large standard deviations observed on labor market variables. In addition, the Shimer (2005) puzzle disappears under monetary policy shocks.     

German Wage Moderation and European Imbalances: Feeding the Global VAR with Theory

German labor market reforms in the 1990s and 2000s are generally believed to have driven the large increase in the dispersion of current account balances in the Euro Area. We investigate this hypothesis quantitatively. We develop a three‐region open economy New Keynesian model with search and matching frictions from which we derive robust sign restrictions for wage bargaining and matching efficiency shocks which we term wage moderation shocks. We impose these restrictions on a Global VAR consisting of Germany and eight EMU countries to identify a wage moderation shock in Germany. Our results show that, although the German current account was significantly affected by wage moderation shocks, their contribution to European current account imbalances was negligible. We conclude that the German labor market reforms cannot be the lone driver of European imbalances.     

New Keynesian perspectives on labor market dynamics

We find that demand shocks play an important role for business-cycle fluctuations in unemployment and job vacancies. The reason is that those shocks give a strong incentive to demand-constrained firms to adjust production and thereby labor input. Furthermore we argue that whether real wage rigidity à la Hall [2005. Employment fluctuations with equilibrium wage stickiness. American Economic Review 95, 50–65] helps explain the remaining part of the unemployment volatility puzzle depends critically on assumptions regarding the form of the wage bargain between firms and workers. Real wage rigidity tends to generate volatility in employment only in the case in which hours are chosen efficiently. If, on the other hand, the real wage is allowed to affect firms's choices of hours directly, the feature of real wage rigidity loses its ability to increase employment volatility.     

耐用品、投资专有冲击与货币政策福利

本文构建蕴含耐用品与非耐用品的两部门DSGE模型,研究投资专有冲击对货币政策及社会福利的影响。投资专有技术进步改进了投资转化为生产资本的效率,放大边际成本波动,增加了厂商调价动机和价格水平变动。即使耐用品价格完全灵活,最优货币政策也无法同时稳定价格和实际GDP。研究发现:(1)耐用品相对价格缺口波动率的上升虽然增加了实际GDP波动,但能够有效地降低投资专有技术对边际成本的冲击,减少价格变动的福利损失。所以两部门投资专有冲击时,央行倾向于稳定价格水平。与其相反,在单部门投资专有冲击和两部门生产技术冲击时,最优货币政策应降低耐用品相对价格缺口波动,稳定实际GDP。(2)对比三种泰勒规则:钉住非耐用品PPI、钉住加权平均PPI及钉住CPI,福利分析发现钉住非耐用品PPI最优,钉住CPI次之,钉住加权平均PPI的福利损失最大。就损失程度而言,投资专有冲击的福利损失是生产技术冲击的2倍,表明投资专有冲击加剧了最优货币政策在稳定价格与实际GDP间的权衡。     

The business cycle implications of reciprocity in labor relations

A reciprocity-based model of wage determination is incorporated into a modern dynamic general equilibrium framework and estimated on U.S. data. The estimation reveals that rent-sharing (between workers and firms) and wage entitlement (based on past wages) are important determinants of wage setting for the model to fit the dynamic responses of output, wages and inflation to various exogenous shocks. Aggregate employment conditions (measuring workers’ outside option), on the other hand, are found to play only a negligible role for wage setting. These results are consistent with micro-studies on reciprocity in labor relations but contrast with traditional efficiency wage models which emphasize aggregate labor market variables as the determinants of wage setting.     

The spirit of capitalism and expectation-driven business cycles

While news shocks are believed to be instrumental in explaining business cycles, many existing models fail to predict a boom in consumption, investment, employment, output and asset prices in response to good news about future productivity. A model with the intrinsic desire for wealth is shown to generate the aforementioned responses. A news-driven boom is explained predominantly by an expansion of labor supply and is characterized by the falling real wage. The simulated model not only captures well conventional business cycle statistics, but also reproduces countercyclical real returns and hump-shaped responses of hours and output to an unexpected technology shock.