能源价格冲击对我国宏观经济的影响分析——基于RBC模型的实证分析

本文通过建立一个包括能源价格冲击的真实经济周期模型(RBC模型),模拟能源价格冲击对中国宏观经济的动态影响,并通过校准、脉冲相应函数和方差分解模型来评价模型的解释力。结果显示,能源价格冲击会导致通货膨胀率的提高,并在短期对经济增长造成负面影响,但这种影响在长期会削弱。     

银行垄断与经济波动——基于RBC模型的扩展研究

本文在RBC模型的基础上加入垄断的银行部门来分析银行垄断的存在对中国的经济周期波动所造成的影响.我们采用数值模拟的方法,具体分析了在引入银行垄断后技术冲击对经济造成的影响,并且将模拟出来的结果和无垄断银行模型的数值模拟结果进行对比.我们发现,在模型中加入垄断银行可以更好的解释现实的经济周期波动,银行的不完全竞争在解释中国经济周期波动方面可以发挥很大的作用.     

防风险、稳增长背景下的货币政策预期管理研究——基于消息冲击的DSGE模型分析

货币政策预期管理对于我国防范金融风险、稳定经济增长有重要的作用.通过构建含有托宾Q的新凯恩斯DSGE模型,在不同货币政策规则下引入预期冲击,运用贝叶斯方法对模型进行估计并分析货币政策未预期冲击和预期冲击对宏观经济变量的影响.政策实验分析发现,经济系统受到货币政策预期冲击之后,各主要宏观经济变量产生了消息冲击驱动的经济周期波动,表明货币政策预期管理能够影响到宏观经济运行,经济主体预期在经济系统中能够起到一定传导作用.此外,相对于未预期的货币政策冲击,货币政策预期冲击对宏观经济变量的影响更为平缓,更能起到抵御资产价格巨幅震荡、平滑经济稳定运行的作用.因此,我国央行有必要加强货币政策预期管理,进一步完善货币政策预期管理机制.     

中国经济周期波动中冲击构成的实证分析

利用SVAR模型对中国经济周期波动中冲击构成进行分析,同时运用ADF单位根检验、Granger因果关系检验、脉冲响应和方差分解等计量经济方法研究了产出、利率和财政支出与我国宏观经济波动的关系。研究结果表明：利率外生于系统,但产出和财政支出互为格兰杰因果关系;我国的货币政策在长期非中性,它可以直接影响到产出和其他实际变量;产出对源于产品市场的需求冲击和产品的供给冲击的响应均是正向的;经济周期波动中供给冲击所占比重小于需求冲击所占的比重。     

地方政府投资竞争与经济周期波动

政治上的业绩激励和经济上的财政利益激励,使得中国地方政府具有推动经济增长的强烈动机,而由于投资具有直接且强劲的经济增长效应,地方政府势必在投资规模上展开激烈的竞争,由此将产生省份总投资冲击进而影响全国经济周期波动。本文将地方政府投资竞争、政府投资冲击、非政府投资冲击和经济周期波动纳入一个分析框架,利用动态因子模型和贝叶斯空间计量模型检验地方政府投资竞争通过省份总投资冲击影响全国经济周期波动的作用机理。研究结果表明,地方政府在非政府投资规模上的竞争加剧了全国经济周期波动,而在政府投资规模上的竞争在一定程度上缓解了全国经济周期波动。     

中国经济周期波动的制度冲击效应分析

经济制度变革成为中国宏观经济经历的影响最深远的整体性、持久性的外生冲击之一，制度变动的冲击对我国经济周期的变动特征产生了深刻的影响。本文运用经济计量方法对制度冲击改变我国经济周期特征进行了检验，并通过市场化程度、非国有化水平和开放度三个制度冲击变量检验了其与我国经济周期波动的相关性，其结论证明在我国受政治背景的影响而出台的重大的经济制度改革对经济的发展影响巨大而深远，制度变动冲击对经济的周期变动的方向及程度起到了较大的决定作用。     

资产价格、金融加速器与经济稳定

本文以房地产价格的变化为对象研究资产价格波动对宏观经济的影响。我们在BGG模型基础上,运用包含金融加速器的两部门动态宏观经济学模型,考察了资产价格波动对经济稳定影响的金融加速器效应,并对名义冲击与实际冲击的效应、不同经济结构下的经济波动进行了比较。认为在中国宏观经济运行中,可以运用金融加速器机制解释由于资产价格波动带来的宏观经济波动,经济政策主要应减少名义变量的冲击,在资产价格波动较大的时期可以对不同部门采取不同的信贷政策。     

地产调控政策、投资与中国经济波动

本文通过对中国2003—2021年的月度数据进行向量误差修正模型(VECM)分析表明,地产调控政策针对的主体不同,其所造成的地产业和制造业的投资联动方式也不同。为理解地产企业信贷紧缩、住房需求信贷紧缩、土地供给增加三类地产调控政策对不同行业投资决策机制的影响,以及跨部门投资联动如何影响宏观经济波动,本文构建了一个包含制造企业和地产企业的动态随机一般均衡(DSGE)模型,并引入公司债,从资本结构视角探究地产政策对企业融资和投资决策的影响。模型能够捕捉数据中投资跨部门联动的事实,其结果表明了在三类地产调控政策中针对地产企业的信贷冲击是经济周期波动的主要源头之一。     

中国经济周期波动的典型事实

本文利用差分法、H-P滤波法以及Band-Pass滤波方法对中国主要经济变量序列长期趋势项进行分解,采用时域分析方法和频域分析方法对中国经济周期波动的特征进行检验和分析,在此基础上总结了中国经济周期波动中的主要经济变量的一些典型化事实,以供政策决策参考。     

通货膨胀预期与宏观经济稳定:1995-2008——基于动态随机一般均衡模型的分析

当前全球性量化宽松的货币政策使通货膨胀预期形成的可能性增大,势必给正处于恢复性上涨阶段的各国经济蒙上一层阴影,并对今后一段时间内宏观经济稳定产生复杂而深刻的影响.本文构建了一个开放经济条件下多部门的动态随机一般均衡模型(DSGE),识别和分析了影响中国宏观经济波动的六种可能冲击(通胀预期偏差冲击、技术增长率冲击、政府购买力冲击、劳动力供给冲击、国际贸易冲击以及货币政策冲击),并在此基础上,重点研究了通货膨胀预期偏差冲击对宏观经济波动的影响.研究显示,通货膨胀预期偏差冲击通过改变微观个体对未来通货膨胀的预期,影响经济中均衡的风险利率和无风险利率,进而对宏观经济波动产生影响.具体来看,通胀预期偏差冲击对一定时期内的宏观经济有显著负效应,能解释大约20%的产出和消费波动、大约50%的投资和就业波动.这表明,通胀预期对于宏观经济稳定有重要意义.因此,政府在执行包括货币政策在内的宏观调控政策时,要充分考虑通货膨胀预期对政策执行效力的可能影响,并利用各种平台加强与公众沟通,扩大政策透明度,减少信息不对称所带来的预期偏差,还要增强不同政策工具的信号功能,通过不同政策工具的艺术性搭配,积极引导公众预期向预定的政策目标接近.     

Real business cycle models and money: A survey of theories and stylized facts

Real Business Cycle Models and Money: A Survey of Theories and Stylized Facts. — This article presents a survey of real business cycle theory, with special attention to the role of money. This role is mainly associated with cash-in-advance constraints, liquidity effects and aspects of financial intermediation. Apart from reviewing the literature, stylized facts about the comovements of output and prices versus monetary aggregates and interest rates over the cycle are assembled and discussed for eight industrial countries, including the G5-countries, Denmark, Belgium and the Netherlands. The paper concludes that further developments in monetary real business cycle theory could benefit from taking into account a broader set of stylized facts about prices than has been done thus far, as well as from introducing non-Walrasian elements and endogenizing monetary policy.     

China's oil product pricing mechanism: What role does it play in China's macroeconomy?

The oil product pricing mechanism is a regulation system that was introduced in the late 1990s to control the oil product prices in China. For the first time to our knowledge, we provide an empirical evaluation of this regulation system, with a particular focus on its role in China's macroeconomy. Based on monthly data between 2000 and 2013, we find that: (i) contrary to the general public's impression, the mechanism is ‘fair’ overall in the sense that it responds to the rise and fall of international oil price symmetrically; (ii) the effect of the mechanism on the Chinese economy, however, is very limited; and (iii) the limited effect of the mechanism holds for different levels of regulation during the studied period, suggesting that potential deregulation may have little impact on the economy.     

Aid Volatility and Real Business Cycles in a Developing Open Economy

This article analyzes the impact of the unpredictability of foreign aid on macroeconomic fluctuations in the recipient country. I build a small open‐economy business cycle model that accounts for foreign aid shocks, with no preference shocks. The model is calibrated to reflect the structural empirical regularities of Cote d'Ivoire, a typical aid‐dependent developing country. The parameters of the exogenous shocks are estimated using Bayesian methods and time series data for Cote d'Ivoire. The model produces business cycle patterns that are consistent with the data and key stylized facts. Specifically, the excess volatility of consumption with respect to output is successfully replicated. The results suggest that the unpredictability of foreign aid contributes to explain the volatility of business cycles in the recipient economy and has negative welfare effects.     

Political Business Cycles and Endogenous Elections

Empirical research of political business cycles (PBCs) may suffer from endogeneity bias when incumbent governments have discretion to call for an early election. Using an instrumental variable (IV) routine on data from Japan and the U.K., we find strong evidence to support the notion that election timing is a function of the economy rather than the macroeconomy being driven by elections as assumed in PBC. In single-equation regressions, no evidence of political cycles are found, but Hausman tests suggest elections are endogenous in our regressions. A monetary cycle in Japan and an inflation cycle in the U.K. are uncovered through IV estimation.     

网络新闻、需求者关注与房价——基于时变参数向量自回归模型的研究

文章采用基于Linear-SVM的机器学习方法对百度新闻栏目57988篇的房地产市场新闻进行文本分析，构建出网络媒体净看多情绪变量和网络媒体关注度变量。并采用时变参数向量自回归模型（TVP-VAR）对媒体变量、住宅销售面积和房价之间的互动关系展开分析，得出如下结论：网媒房地产新闻的多空情绪变化基本能反映调控政策的阶段性特征。媒体报道对房地产市场冲击的响应相对稳定，时变效果不明显。媒体关注度对房地产市场的传导作用受到其构成成分和所处市场阶段的影响，其对房价的反向作用在紧缩调控放开后逐渐减小，并逐渐转为正向的提升作用，对住宅销售面积的反向作用在2015年后的市场高涨时期逐渐缩小，持续时间也在缩短。媒体情绪对房地产市场的传导作用受到调控政策和市场运行状况的叠加影响，其对房价的提升作用在2015年至2017年的房地产市场上行周期中有所扩大，对销售面积的提升作用则较为平稳。据此，文章提出应根据市场所处的阶段关注网媒发布信息的频度和情绪，加强舆情监测等建议。     

理解我国名义利率传导机制有效性的时变特征——基于DSGE模型的理论分析与TVP-VAR模型的实证检验

文章采用DSGE模型与TVP-VAR模型对"利率调整→股价修复→经济复苏"这一政策传导路径的有效性进行理论模拟与计量检验,结果发现：理论上,名义利率调整可以有效平抑资产价格波动进而带动投资增加,从而稳定实体经济增长,但在实际传导过程中,各变量对利率变动和股价变动的反应却较为缓慢。此外,名义利率调整对股票价格的短期效应较为显著,而股价对实体经济的影响却是一个缓慢过程,两者对比鲜明,这从根本上揭示了虚拟经济变化较快而实体经济复苏缓慢的内生机理。因此,我国政府和中央银行应理性看待现阶段的实体经济下行风险,这并不意味着货币政策对股票市场和经济行为的良性指引作用已经失效,而是由于实体经济对政策调整的反应通常具有一定的时滞。     

Sectoral and aggregate estimates of the cyclical behavior of markups: Evidence from Germany

Sectoral and Aggregate Estimates of the Cyclical Behavior of Mark-ups: Evidence from Germany. — The paper presents evidence of the cyclical behavior of the price to marginal cost ratio for Germany. Average markups are estimated both for two-digit manufacturing industries and for the aggregate economy, the results being quite similar once the difference between gross output and and value-added markups is accounted for. Over the business cycle, markups appear to be countercyclical for most parameter constellations. This is interpreted as empirical support for business cycle theories that rely on aggregate demand shocks to affect markups inversely, thus producing procyclical real wages and productivity without having to assume technology shocks.     

影响中国国际资本流动的因素分析

本文结合中国资本流动的特点,加入证券市场价格及房地产价格水平两个变量实证分析了1982～2004年对我国国际资本流动的影响。结果表明对中国资本流动影响最显著的因素依次为利率、汇率、房地产价格指数和证券市场价格。     

The European business cycle

This paper deals with the existence and identification of acommon European growth cycle. Univariate Markov switching autoregressionsare used for individual countries in order to detect changesin the mean growth rate of industrial production. A Markov switchingvector autoregression model is then used to identify a commoncycle in Europe. Three important results are obtained: we finda common unobserved component governing European business cycledynamics, suggesting the existence of a common business cycle;we propose a dating of the business cycle, both for an indexof industrial protection and GDP, and both chronologies appearto be consistent; and finally we retrieve an important set ofstylized facts and relate these with those reported for theUS. Finally two further issues are investigated: first, thecontribution of the European business cycle to the individualcountry cycles; and second, we undertake an impulse responseanalysis to investigate the response of each individual countryto European expansions and recessions.     

The distributional impacts of removing energy subsidies in China

The distributional impact on households is an important factor for the acceptance of energy subsidy reform. Based on energy consumption features of the Chinese households at different income levels, this paper adopts an input–output price model to analyze possible impacts of removing energy subsidies on income distribution under different scenarios. Results show that: (1) The distributional impacts of removing subsidies vary by fossil fuels. From the perspectives of combined effects, transport fuel subsidy removal and coal subsidy removal have the strongest and the weakest progressive effects respectively, while the removal of electricity subsidies has a regressive effect. Moreover, the removal of petroleum product subsidies has the greatest impact on households, followed by the removal of electricity and coal subsidies, respectively. (2) Indirect impacts of energy subsidy reform are greater than direct impacts on households. (3) Government price controls can reduce the negative impact of energy subsidy reform. Policy implications are thus summarized. Energy subsidy reform can start from the energy that has the strongest progressive effect and the minimum impact on households. The Chinese government can take certain compensatory measures to mitigate the impact of reform on poor households.