通货膨胀不确定性及其对宏观经济的影响[J].doc

通货膨胀不确定性及其对宏观经济的影响
马文涛
(西安交通大学经济与金融学院,陕西西安 710061)
摘要:利用马尔科夫范式转换模型分析了1985年1月到2009年7月我国通货膨胀的状态转换特征,并考察了与之伴随的不确定性(方差不确定性和均值不确定性)及其对我国主要宏观经济变量(消费、投资及净出口)的影响,发现通货膨胀不确定性仅对消费波动有显著影响,对投资和净出口均无影响,且方差不确定性和均值不确定性分别导致了消费波动增大与减小。通货膨胀不确定性凸现了宏观调控的重要性,积极、有效、透明的政策能够减少消费所面临的不确定性,保证居民消费的稳定和可持续增长,将有助于扩大内需,促进我国经济增长。
关键词:通货膨胀;不确定性;马尔科夫范式转换;宏观经济波动
中图分类号: 文献标识码: A 文章编号:
基金项目:教育部应急课题“国际金融危机应对研究”(2009J YJ R058)
Inflation Uncertainty and its Effects on Macroeconomy
Ma Wentao
(Xi’an Jiaotong University School of Economics and Finance, Shan’Xi Xi’an 710061)
Abstract: Markov regime switching model is applied to analyze characteristic of inflation from January,1985 to July,2009, and its’ uncertainty ,which includes uncertainty related to inflation mean and uncertainty related to inflation variance, and the effect of uncertainty on macro variables, such as consumption, investment and trade surplus. The results shows that inflation uncertainty make an impact on fluctuation of consumption and has no influence on the fluctuation of investment and trade surplus. Specifically, uncertainty related to inflation variance leads to larger fluctuation of consumption, uncertainty related to inflation mean leads to smaller fluctuation of consumption. Inflation uncertainty highlights important role of macroscopic adjustment and control, active policy with efficiency and transparency can decrease uncertainty a