货币政策、消费品和投资品通货膨胀——基于金融加速器视角

本文建立一个包含消费品和投资品生产的两部门新凯恩斯DSGE模型,并且引入金融加速器以分析货币政策对消费品和投资品通货膨胀的影响机制,同时使用1999Q1至2015Q4的中国宏观经济数据对模型进行贝叶斯估计。估计结果表明,两个部门的菲利普斯曲线都具有较高的价格粘性。外部融资溢价对两个部门企业投资的影响存在异质性,投资品部门的金融加速器效应更加明显。脉冲响应分析表明货币政策扩张时,投资品部门的产出和通胀膨胀上升幅度比消费品部门更大。理论模型的脉冲响应与VAR实证分析得到的经验事实相一致。金融摩擦导致的消费品和投资品部门需求结构的异质性是解释货币政策对两个部门影响差异的关键。数值模拟分析发现金融加速器机制主要改变货币政策对投资品产出和通货膨胀的影响,对消费品部门影响改变较小。方差分解结果表明加总技术冲击、投资边际效率冲击和货币政策冲击是经济波动的主要来源。

Monetary Policy,Consumption, and Investment Goods Inflation:A Financial Accelerator Perspective

How monetary policy affects output and inflation is a fundamental question in macroeconomics. Consumption and investment are the two main components of the gross domestic product (GDP). Although a large body of literature has examined the inflation of consumption goods, few studies have focused on the inflation of investment goods. The inflation of these two sectors in China moved in a highly correlated manner before 2011, and then diverged after that year. Therefore, the relative price gap has increased since 2011, which suggests a different mechanism of inflation dynamics. This raises the question of how the monetary policy on output and inflation has affected these two sectors, how the monetary transmission mechanism differs between the two sectors, and what factors determine the inflation dynamics of the two sectors. By studying these problems, we can better understand the different behaviors of consumption and investment in relation to macroeconomic fluctuations. We also examine the impact of monetary policy on the economy and provide helpful suggestions for policy making in business cycles.
To provide empirical evidence, we use Bayesian VAR to evaluate the effects of monetary shocks on the output and inflation of the consumption and investment sectors. Following Litterman (1986), we estimate the BVAR and obtain the impulse response functions. Our impulse response analysis shows that when monetary policy is expansive, the output and inflation of both sectors increase. However, the increase in the output and inflation of the investment sector is greater than that in the consumption sector.
This paper establishes a two-sector new Keynesian DSGE model of consumption and investment goods production, and incorporates a financial accelerator to study the effects of a monetary shock on consumption and investment inflation. By incorporating the financial accelerator, our model can better characterize a firm's investment behavior. China's quarterly macroeconomic data are used to estimate the model using a Bayesian approach. The estimation results show that the degree of the nominal price rigidities of the consumption and investment sectors are high and very close. However, the external finance premium has different effects on firms' investment behavior, with the financial accelerator effect being stronger in the investment sector. The impulse response of the model under a monetary shock is consistent with the empirical evidence based on the BVAR analysis.
We further show that the demand structure heterogeneity of the two sectors is the key to explaining the effects of a monetary shock. Although firms are on the demand side of investment goods, they are also subject to financial friction when borrowing from financial intermediaries. The financial accelerator thus amplifies a firm's investment demand when the monetary policy is expansive. However, the demand for consumption goods has a smaller response to monetary shock, because households prefer consumption smoothing. Therefore, the heterogeneous demand effects result in different output and inflation dynamics. Our numerical simulation shows that the financial accelerator is the main factor influencing the effects of monetary shocks on investment output and inflation, and that it has minor effects on the consumption sector. A variance decomposition shows that aggregate technology, investment marginal efficiency, and monetary shocks are important determinants of business cycles.
This paper contributes to the literature by constructing a complete two-sector model characterizing the demand and supply sides of the consumption and investment sectors. Using a Bayesian estimation, we show that demand structure heterogeneity rather than nominal price rigidity is the key factor explaining the different responses of the two sectors to monetary shocks. Although our analysis of the investment sector is more generalized than in previous studies, our estimation results show that investment shocks are the main driving force of business cycles.
Overall, our results suggest that the central bank should take the structure and characteristics of different sectors into consideration when implementing monetary policy. The central bank should also pay attention to the financial condition of firms because it can change the transmission mechanism of monetary policy in different sectors.