粘性信息、通货膨胀惯性与货币政策效应——兼论宏观经济变量的共变性

doi:10.16381/j.cnki.issn1003-207x.2015.08.003

中国管理科学 ›› 2015, Vol. 23 ›› Issue (8): 18-28.doi: 10.16381/j.cnki.issn1003-207x.2015.08.003

粘性信息、通货膨胀惯性与货币政策效应——兼论宏观经济变量的共变性

崔百胜

上海师范大学金融工程研究中心, 上海 200234

收稿日期:2014-01-15 修回日期:2014-09-02 出版日期:2015-08-20 发布日期:2015-08-19
作者简介:崔百胜(1975-),男(汉族),安徽宿州人,上海师范大学金融工程研究中心副教授,金融学博士,硕士生导师,研究方向:金融经济学、宏观计量经济学.
基金资助:
国家自然科学基金资助项目(71471117);教育部人文社会科学研究青年基金项目(12YJC790020);教育部人文社会科学规划项目(11YJA790107);上海市教委科研创新重点项目(14ZS105)

Sticky Information, Inflation Inertia andthe Effect of Monetary Policy ——And the Co-movement of Macroeconomic Variables

CUI Bai-sheng

Financial Engineering Research Center, Shanghai Normal University, Shanghai 200234, China

Received:2014-01-15 Revised:2014-09-02 Online:2015-08-20 Published:2015-08-19

摘要/Abstract

摘要： 本文通过构建一个企业获取信息存在粘性的DSGE模型,分析了信息当期宣布和提前宣布或预期到信息两种情况下,发生政府支出和货币供应2种冲击时,宏观经济变量的响应,进而研究主要变量间的共变性与先行滞后关系。结果表明,在基准信息粘性条件下,信息即期宣布,面对政府支出和货币供应冲击,通货膨胀的滞后性存在差异,货币供应冲击发生后的8个季度,通货膨胀达到最大,政府支出6个季度,通货膨胀达到最大,通货膨胀在这2种冲击下均存在惯性。名义利率能够对这2种冲击做出即期反应。信息提前宣布时,通货膨胀和名义利率能够做出即期反应,到信息实现时,在充分吸收信息基础上,反应达到最大,然后呈非连续性快速恢复。从频域和时域角度看,名义利率和通货膨胀2个变量均滞后于实际货币供应,因此,当前可以采用即期增加政府支出的积极财政政策和提前宣布增加货币供应的货币政策相结合的组合政策,达到"稳增长"的目标。

关键词: 粘性信息, 通货膨胀惯性, 货币政策效应, 共变性

Abstract: A DSGE model with sticky information is built and the macroeconomic variables response, where there exist two cases including current announce or announced in advance are analyzed, with the occurrence of two kinds of shocks including government purchase and money supply, and then the co-movement among macroeconomic variables is researched. Under the condition of benchmark information stickiness, the results show that when information announces immediately, inflation's lag structures appear difference, with the face of shocks of government purchase and monetary supply. Inflation reaches its maximum after 8 quarters of the money supply shocks, 6 quarters of the government purchase shocks. Inflation presents inertia in these two kinds of shocks. Nominal interest rate can response these two kinds of shocks immediately. When announced information in advance, inflation and nominal interest rate can make the spot reaction. When information is realized, the reaction reaches the maximum based on the fully absorbing the information, after which it is restored quickly in a non-linear manner. From the frequency domain and time domain perspective, nominal interest rates and inflation are lag the real money supply. Therefore, in order to achieve the goal of "steady growth", a combining policy is adopted, including a proactive fiscal policy by the spot announcement of enlarging government spending and a pre-announced expansion of the money supply in the monetary policy.

Key words: sticky information, inflation inertia, the effect of monetary policy, co-movement

中图分类号:

F830.3

崔百胜. 粘性信息、通货膨胀惯性与货币政策效应——兼论宏观经济变量的共变性[J]. 中国管理科学, 2015, 23(8): 18-28.

CUI Bai-sheng. Sticky Information, Inflation Inertia andthe Effect of Monetary Policy ——And the Co-movement of Macroeconomic Variables[J]. Chinese Journal of Management Science, 2015, 23(8): 18-28.

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粘性信息、通货膨胀惯性与货币政策效应——兼论宏观经济变量的共变性

Sticky Information, Inflation Inertia andthe Effect of Monetary Policy ——And the Co-movement of Macroeconomic Variables

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