本文關(guān)鍵詞： 經(jīng)濟(jì)波動率 經(jīng)濟(jì)增長率 動態(tài)隨機(jī)一般均衡模型 實(shí)際供給沖擊 名義貨幣沖擊　出處：《吉林大學(xué)》2016年博士論文　論文類型：學(xué)位論文

【摘要】：經(jīng)濟(jì)增長和經(jīng)濟(jì)波動問題是宏觀經(jīng)濟(jì)學(xué)研究中的兩大核心內(nèi)容,并發(fā)展出了各自部分相對成體系的若干理論。我國從改革開放以來,先后經(jīng)歷了1994年嚴(yán)重通貨膨脹、1998年亞洲金融危機(jī)、2008年全球金融危機(jī)等重大的經(jīng)濟(jì)波動時期。當(dāng)前,我國經(jīng)濟(jì)正處在轉(zhuǎn)型的關(guān)鍵時期,經(jīng)濟(jì)增長面臨較大波動的考驗(yàn),通過分析二者之間的聯(lián)系和相互作用,可以為政策制定者提供參考。短期經(jīng)濟(jì)波動程度和不同經(jīng)濟(jì)波動階段對于長期經(jīng)濟(jì)增長的影響等問題的研究對于科學(xué)合理地制定兼顧短期和長期的經(jīng)濟(jì)政策具有重要意義。本文在系統(tǒng)歸納總結(jié)經(jīng)濟(jì)波動和經(jīng)濟(jì)增長相關(guān)理論的基礎(chǔ)上,結(jié)合數(shù)理模型與實(shí)證檢驗(yàn)從多個角度分析了經(jīng)濟(jì)波動對經(jīng)濟(jì)增長率的影響情況。本文的主要研究內(nèi)容和相關(guān)創(chuàng)新包括如下幾個方面:(1)從經(jīng)濟(jì)波動的“機(jī)會成本”和“清理效應(yīng)”理論出發(fā),利用省際數(shù)據(jù)和面板門限回歸模型以表示經(jīng)濟(jì)波動波幅的產(chǎn)出缺口分別和潛在經(jīng)濟(jì)增長率和未來三年平均實(shí)際經(jīng)濟(jì)增長率進(jìn)行回歸,并通過實(shí)證結(jié)果分析經(jīng)濟(jì)波動幅度和不同經(jīng)濟(jì)波動階段對二者的影響。結(jié)果表明,以產(chǎn)出缺口代表的經(jīng)濟(jì)波動幅度對潛在產(chǎn)出增長率和未來三年平均增長率的影響是負(fù)向顯著的,同時這種影響具有顯著的門限非線性效應(yīng)。其中,在經(jīng)濟(jì)處于嚴(yán)重衰退階段的時候,產(chǎn)出缺口對兩者的影響程度都是最大的。所不同的是,在經(jīng)濟(jì)處于繁榮階段的時候,產(chǎn)出缺口對于潛在產(chǎn)出增長率的影響是不顯著的,而對未來三年平均增長率產(chǎn)生的是最小程度的負(fù)向顯著影響。另外,人口增長率和市場化進(jìn)程對兩者的影響分別是正向顯著和負(fù)向顯著的;投資率和對外開放度對潛在產(chǎn)出增長率產(chǎn)生的都是顯著的負(fù)向影響,而對未來三年平均增長率的影響都并不顯著。(2)從一個數(shù)理模型出發(fā),通過參數(shù)校準(zhǔn)并結(jié)合模型的主要結(jié)論初步給出我國經(jīng)濟(jì)波動率對經(jīng)濟(jì)增長率的影響方向。然后利用GARCH(1,1)-M模型對經(jīng)濟(jì)波動率影響經(jīng)濟(jì)增長率的問題進(jìn)行實(shí)證分析,并在此基礎(chǔ)上進(jìn)一步討論不同經(jīng)濟(jì)波動階段下經(jīng)濟(jì)波動率對經(jīng)濟(jì)增長率的影響是否顯著不同。具體地,利用兩區(qū)制馬爾科夫區(qū)制轉(zhuǎn)移模型對經(jīng)濟(jì)擴(kuò)張期和經(jīng)濟(jì)收縮期進(jìn)行劃分,將得到的表示不同經(jīng)濟(jì)波動階段的虛擬變量加入到之前的GARCH(1,1)-M模型中進(jìn)行實(shí)證分析。實(shí)證結(jié)果表明,經(jīng)濟(jì)波動率在不同經(jīng)濟(jì)波動階段對經(jīng)濟(jì)增長率的影響呈現(xiàn)出非對稱性的特征。也就是說,在經(jīng)濟(jì)擴(kuò)張期和經(jīng)濟(jì)收縮期,經(jīng)濟(jì)波動率對經(jīng)濟(jì)增長率的影響顯著不同而且方向是相反的。在經(jīng)濟(jì)擴(kuò)張期經(jīng)濟(jì)波動率對經(jīng)濟(jì)增長率產(chǎn)生的是顯著的正向影響效應(yīng),在經(jīng)濟(jì)收縮期經(jīng)濟(jì)波動率對經(jīng)濟(jì)增長率產(chǎn)生的是顯著的負(fù)向影響效應(yīng),而這種負(fù)向影響程度要大于正向影響程度。(3)在前面研究經(jīng)濟(jì)波動率對實(shí)際經(jīng)濟(jì)增長率影響的基礎(chǔ)上,進(jìn)一步研究經(jīng)濟(jì)波動率對潛在產(chǎn)出增長率的影響情況。具體地,首先利用一個狀態(tài)空間模型估算出樣本內(nèi)的潛在產(chǎn)出增長率數(shù)據(jù)序列并對估算結(jié)果進(jìn)行簡單評價。其次利用包含經(jīng)濟(jì)波動率、固定資產(chǎn)投資趨勢增長率、外國直接投資趨勢增長率以及潛在產(chǎn)出增長率四變量的時變參數(shù)向量自回歸(TVP-VAR)模型從時間維度和時點(diǎn)維度具體分析模型中三個主要變量對潛在產(chǎn)出增長率的動態(tài)影響。實(shí)證結(jié)果表明,經(jīng)濟(jì)波動率沖擊對潛在產(chǎn)出增長率的影響初始是正向的,隨后幾期影響轉(zhuǎn)為負(fù)向,最后逐漸恢復(fù)到零線附近,同時這種影響的時變效應(yīng)也是明顯的。經(jīng)濟(jì)波動率沖擊對固定資產(chǎn)投資趨勢增長率和外國直接投資趨勢增長率的影響都是負(fù)向的,經(jīng)濟(jì)波動率沖擊對二者的影響在不同樣本點(diǎn)的變化是明顯的。固定資產(chǎn)投資趨勢增長率沖擊對潛在產(chǎn)出增長率的影響初始是負(fù)向的,隨后幾期這種負(fù)向影響逐漸加大,在達(dá)到最低點(diǎn)后逐漸上升最后恢復(fù)到零線附近,這種影響的時變效應(yīng)也是明顯的。外國直接投資趨勢增長率沖擊對潛在產(chǎn)出增長率的影響初始是正向的,并且在隨后幾期逐漸升高,當(dāng)達(dá)到最高點(diǎn)以后逐漸降低最后恢復(fù)到零線。與之前脈沖響應(yīng)函數(shù)動態(tài)影響明顯的時變效應(yīng)不同,外國直接投資趨勢增長率沖擊對潛在產(chǎn)出增長率的動態(tài)影響的時變效應(yīng)并不明顯。(4)在前面研究總體經(jīng)濟(jì)波動率對經(jīng)濟(jì)增長率影響的基礎(chǔ)上,進(jìn)一步研究分析造成經(jīng)濟(jì)波動的不同沖擊來源對經(jīng)濟(jì)系統(tǒng)主要變量的影響。具體地,從包含銀行部門的DSGE模型出發(fā),分別用貝葉斯估計和參數(shù)校準(zhǔn)的方式估計了模型中一些特殊參數(shù)和確定了模型中常見的一些參數(shù)值。最后通過脈沖響應(yīng)函數(shù)具體分析了模型中不同5個不同隨機(jī)沖擊對模型中主要變量動態(tài)影響。脈沖響應(yīng)函數(shù)的結(jié)果表明,技術(shù)沖擊對產(chǎn)出、投資、資本品相對價格、銀行和企業(yè)凈資產(chǎn)以及銀行總貸款產(chǎn)生的是正向影響,而對銀行資本充足率、通貨膨脹率以及利率產(chǎn)生的則是負(fù)向影響。利率沖擊對銀行資本充足率產(chǎn)生的是正向影響,而對產(chǎn)出、投資、資本品相對價格、銀行和企業(yè)凈資產(chǎn)、銀行總貸款以及通貨膨脹率產(chǎn)生的是負(fù)向影響。銀行凈資產(chǎn)負(fù)向沖擊對資本品相對價格和通貨膨脹率產(chǎn)生的是正向影響,而對產(chǎn)出、投資、銀行資本充足率、銀行和企業(yè)凈資產(chǎn)、銀行總貸款以及利率產(chǎn)生的則是負(fù)向影響�？缙谄脹_擊對產(chǎn)生、總消費(fèi)和銀行資本充足率產(chǎn)生的是正向影響,而對投資、資本存量、銀行和企業(yè)凈資產(chǎn)、銀行總貸款以及通貨膨脹率產(chǎn)生的是負(fù)向影響。政府購買沖擊對產(chǎn)出和銀行資本充足率產(chǎn)生的是正向影響,而對投資、總消費(fèi)、銀行和企業(yè)凈資產(chǎn)、銀行總貸款、投資項(xiàng)目杠桿倍數(shù)以及通貨膨脹率產(chǎn)生的是負(fù)向影響。這些沖擊標(biāo)準(zhǔn)差的設(shè)定都是常數(shù),后面的研究將考察沖擊的時變標(biāo)準(zhǔn)差對產(chǎn)出增長率的影響。(5)上面涉及到的沖擊標(biāo)準(zhǔn)差都是非時變的,此處進(jìn)一步研究分別對應(yīng)貨幣主義經(jīng)濟(jì)波動理論和真實(shí)經(jīng)濟(jì)周期理論的名義貨幣沖擊和實(shí)際供給沖擊的時變標(biāo)準(zhǔn)差對產(chǎn)出增長率的影響情況。先從一個具有一般均衡分析框架的數(shù)理模型中先得出實(shí)際供給沖擊和名義貨幣沖擊的方差變化對產(chǎn)出增長率的影響方向。然后通過對模型的參數(shù)估計和校準(zhǔn)給出我國兩種沖擊波動率對產(chǎn)出增長率的影響情況。在數(shù)理分析的基礎(chǔ)上,利用VAR模型符號約束識別和GARCH類模型等計量方法實(shí)證檢驗(yàn)上面數(shù)理模型的結(jié)論,并根據(jù)得到的最終結(jié)論展開分析。實(shí)證檢驗(yàn)的結(jié)果表明,名義貨幣沖擊波動率對經(jīng)濟(jì)增長率產(chǎn)生的是負(fù)向影響;而實(shí)際供給沖擊波動率對經(jīng)濟(jì)增長率產(chǎn)生的是正向影響,這與之前數(shù)理模型所預(yù)言的結(jié)果是相符的。
[Abstract]:Economic growth and economic fluctuation is the two core content of macro economics research, and develop their relative part into several theoretical system. Since reform and opening in China, has experienced serious inflation in 1994, the Asian financial crisis in 1998 2008, the global financial crisis and other major economic fluctuation period. Currently, I our economy is in a critical period of transition, economic growth is facing greater volatility in the test, contact and by analyzing the interaction between the two, can provide a reference for policy makers. The short-term economic fluctuation and economic fluctuation in different stages for long-term economic growth impact of research for scientific and reasonable formulation has important significance both the short-term and long-term economic policy. Based on the systematic summary of economic fluctuation and economic growth theory, combined with the mathematical model With the empirical test from the perspective of the economic fluctuation on economic growth rate. The main research contents and innovation are as follows: (1) from the point of view of economic fluctuations in the "opportunity cost" and "clear effect" theory, by using the provincial data and panel threshold regression model to represent the amplitude of economic fluctuation the output gap and the potential economic growth rate and the next three years the average real economic growth rate of return, and through the analysis of empirical results of economic fluctuations and the economic fluctuations of the two different stages. The results show that the economic fluctuations of the output gap representative of the potential output growth rate and the average growth rate of the next three years the effect is negative and significant, but the effect has significant effect on nonlinear threshold. Among them, the severe recession when the economy is in the output gap of two. The degree of influence is the biggest. The difference is that when the economy is in the stage of prosperity, the output gap is not significant influence on the growth of potential output, and for three years the average growth rate of the future is to minimize the negative effects. In addition, the influence of population growth rate and market the process of the difference is positive and negative; the rate of investment and the opening degree of the potential output growth rate will have significant negative effects, and the impact on the next three years the average growth rate is not significant. (2) starting from a mathematical model, the conclusions of the parameters the calibration and combining the model initially given China's economic fluctuation rate on economic growth rate. Then the use of GARCH (1,1) -M model to analyze the economic volatility influence the economic growth rate, and on the basis of a step. On the different stages of the economic fluctuation of economic volatility impact on economic growth rate is markedly different. Specifically, the transfer system of Markov zone two to divide the period of economic expansion and economic contraction model, the representation of virtual variable in different stages of economic fluctuation before adding to the GARCH (1,1) empirical analysis for the -M model. The empirical results show that economic volatility in different stages of economic fluctuations on economic growth rate showed a characteristic of non symmetry. That is to say, in the period of economic expansion and economic contraction, economic volatility impact on economic growth rate is significantly different but the direction is opposite. In the economic fluctuation the period of economic expansion rate on economic growth rate is a significant positive impact on the economy, systolic economy fluctuation rate on economic growth rate is significantly negative effects, and this The negative impact is greater than the positive impact. (3) in front of research on economic fluctuation rate of real economic growth rate on the impact of further research on economic fluctuation rate of potential output growth rate. Specifically, the first estimate of potential output growth rate in the sample data sequence and a simple evaluation of estimate the use of a state space model. Secondly using the included economic volatility, fixed asset investment growth rate trend, the trend of foreign direct investment growth rate and the potential output growth rate of four variable time-varying parameter vector autoregressive (TVP-VAR) model from the time dimension and time dimension of concrete analysis of dynamic effects of three main variables in the model of potential the rate of output growth. The empirical results show that the effect of initial economic volatility impact on potential output growth rate is positive, then a few effects turned negative, at last Gradually return to zero near the line, while the impact of the time-varying effect is obvious. Effects of economic volatility impact on fixed assets investment trend growth rate and foreign direct investment trend growth rate has negative impacts on the economy, the volatility of the two is the obvious change in different fixed sample points. Asset investment trend growth rate influence the initial impact on potential output growth rate is negative, then gradually increase to several such negative effects, in the rose gradually after reaching its lowest point at last return to zero near the line, the impact of the time-varying effect is obvious. The trend of foreign direct investment growth rate of the potential impact on the effect of initial the rate of output growth is positive, and in the ensuing period increased gradually, reached the highest point after gradually reduce and finally return to the zero line. And before the impulse response function obvious time-varying dynamic effects The effect of different trends of foreign direct investment growth rate impact on the dynamic effect of the potential output growth rate of the time-varying effect is not obvious. (4) in front of the overall economic volatility on the basis of economic growth rate, further study the impact of economic fluctuations caused by different sources of the main variables. The influence of specific economic system starting from the DSGE model, including the banking sector, respectively with Bias parameter estimation and calibration method to estimate some parameters in the model and identifies some common parameter values in the model. Finally, the impulse response function through a concrete analysis of the effects of different models of 5 different random shocks on the dynamics of the main variables in the model impulse response. The results show that the function of technology shocks on output, investment, and capital goods relative price, the bank and the enterprise net assets and total bank loans has the positive influence, The bank's capital adequacy ratio, inflation rate and interest rates is a negative impact. The interest rate impact on the capital adequacy ratio of banks is a positive impact, and on output, investment, capital goods relative price, the net assets of banks and enterprises, total bank loans and the rate of inflation has negative influence. The bank's net assets negative impact on capital relative prices and inflation is a positive impact, and on output, investment, capital adequacy ratio, net assets of banks and enterprises, total bank loans and interest rates are negative effects. The impact on the intertemporal preference, capital adequacy ratio and total consumption the bank is a positive impact, while the stock of capital investment, the net assets of banks and enterprises, total bank loans and inflation is negative effect. The capital adequacy ratio of bank output and government purchase shocks is Positive impact on investment, consumption, net assets of banks and enterprises, total bank loans, investment leverage and inflation rate have negative influence. These shock standard deviations are constant, the study will examine the impact of time-varying standard deviation effect on output growth rate (5. The impact on the standards related to) the difference is not time-varying, the further study of corresponding monetary economic fluctuation theory and real business cycle theory and the actual impact of nominal money supply shock variable standard deviation effect on output growth rate. The first is from a general equilibrium analysis of the influence of the direction of mathematical variance in the first model to draw the actual supply shocks and nominal monetary shocks on output growth. Then by means of parameter estimation and calibration of the model are two kinds of shocks on output rate fluctuation in China Effect of growth rate. On the basis of mathematical analysis, using the empirical measurement method of VAR model and GARCH model identification symbol constrained test above the conclusions of mathematical model, and analyze according to the final conclusions. The empirical results show that the nominal currency volatility impact on economic growth rate is negative influence while the actual supply shocks; the volatility of economic growth rate is positive effect, and the results before the mathematical model predicted is consistent.

【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2016
【分類號】：F224;F124
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本文編號：1458433