本文選題：非線性調(diào)整機(jī)制 + 通脹粘性預(yù)期��； 參考：《廣東商學(xué)院》2013年碩士論文

【摘要】：通脹預(yù)期一直以來(lái)都是貨幣金融學(xué)研究的熱點(diǎn)問(wèn)題。關(guān)于通脹預(yù)期的測(cè)度和形成機(jī)制研究，學(xué)者們?nèi)〉昧撕芏嘀匾某晒�，例如現(xiàn)有測(cè)度通脹預(yù)期的調(diào)查統(tǒng)計(jì)法、金融市場(chǎng)提取法和計(jì)量模型法，同時(shí)適應(yīng)性預(yù)期和理性預(yù)期等預(yù)期理論的提出有助于我們更好地認(rèn)識(shí)通脹預(yù)期的形成機(jī)制。然而，現(xiàn)有測(cè)度方法都只從局部均衡的視角出發(fā)，始終存在宏微觀割裂的問(wèn)題。適應(yīng)性預(yù)期和理性預(yù)期雖然體系成熟且易于實(shí)證，但卻無(wú)法對(duì)現(xiàn)實(shí)經(jīng)濟(jì)中預(yù)期存在的非線性特征進(jìn)行解釋。 在通脹預(yù)期的測(cè)度上，本文運(yùn)用一般均衡條件下家庭、企業(yè)、政府和中央銀行組成的經(jīng)濟(jì)系統(tǒng)進(jìn)行全局性的DSGE模型分析，克服了傳統(tǒng)通脹預(yù)期測(cè)度的局部分析方法，并首次將適應(yīng)性學(xué)習(xí)行為引入到公眾的通脹預(yù)期形成機(jī)制中，從而將通脹預(yù)期作為一個(gè)單獨(dú)內(nèi)生變量納入模型，再將調(diào)查統(tǒng)計(jì)法得到通脹預(yù)期值作為模型求解的觀測(cè)變量，使得DSGE模型系統(tǒng)融入了微觀個(gè)體最直接的信息，實(shí)現(xiàn)了兩種測(cè)度方法的結(jié)合。計(jì)算結(jié)果顯示：第一， DSGE模型計(jì)算的通脹預(yù)期較好地吸收了調(diào)查統(tǒng)計(jì)的信息。第二，與時(shí)變C-P概率法相比，忽略外生沖擊影響一方面降低了DSGE模型預(yù)測(cè)通脹的準(zhǔn)確性，另一方面恰恰體現(xiàn)了DSGE模型對(duì)現(xiàn)實(shí)通脹預(yù)期形成的真實(shí)反映。 為對(duì)預(yù)期的非線性特征進(jìn)行分析，根據(jù)“弱版本”理性預(yù)期的設(shè)定，以非線性的STECM模型為研究工具，以DSGE模型的求解通脹預(yù)期數(shù)據(jù)作為樣本數(shù)據(jù)，對(duì)我國(guó)通脹預(yù)期非線性的調(diào)整機(jī)制進(jìn)行了研究。研究表明，我國(guó)通脹預(yù)期調(diào)整機(jī)制的非線性特征源于預(yù)期偏差對(duì)預(yù)期的非對(duì)稱調(diào)整作用，進(jìn)而導(dǎo)致預(yù)期粘性調(diào)整和突變調(diào)整的交替出現(xiàn)。預(yù)期調(diào)整從粘性到突變的過(guò)程會(huì)引起居民消費(fèi)、投資和儲(chǔ)蓄等行為的不穩(wěn)定，嚴(yán)重?fù)p害經(jīng)濟(jì)運(yùn)行的效率，相反，居民通脹預(yù)期越準(zhǔn)確，越能保證預(yù)期調(diào)整機(jī)制的穩(wěn)定性，所以央行有必要采取措施使居民的通脹預(yù)期盡可能接近實(shí)際通脹。 最后在借鑒國(guó)外通脹預(yù)期管理先進(jìn)經(jīng)驗(yàn)的基礎(chǔ)上，結(jié)合前文實(shí)證分析結(jié)論，對(duì)我國(guó)通脹預(yù)期的管理提出一些政策建議。
[Abstract]:Inflation expectation has always been a hot issue in the research of monetary finance. On the measurement and formation mechanism of inflation expectations, scholars have made many important achievements, such as the existing survey statistics, financial market extraction and measurement model, and the expectation theory of adaptive expectation and rational expectation. However, the existing measurement methods are always from the perspective of local equilibrium, and there is always a problem of macro and micro separation. Although the adaptive expectation and rational expectation are mature and easy to demonstrate, they can not explain the expected nonlinear characteristics in the real economy.
On the measure of inflation expectation, this paper makes a global DSGE model analysis of the economic system composed of family, enterprise, government and central bank under general equilibrium, overcoming the local analysis method of the traditional inflation expectation measure, and introducing the adaptive learning behavior into the public inflation expectation formation mechanism for the first time. The inflation expectation is taken as a single endogenous variable into the model, and then the survey statistics are obtained as the observation variable of the model, which makes the DSGE model system integrate the most direct information of the microindividual and realizes the combination of the two measures. The results show that the inflation expectation of the DSGE model is better. Second, compared with the time-varying C-P probability method, ignoring the impact of exogenous shock on one side reduces the accuracy of the DSGE model to predict inflation, on the other hand, it precisely reflects the real reflection of the DSGE model on the formation of real inflation expectations.
In order to analyze the expected nonlinear characteristics, according to the set of "weak version" rational expectation, the nonlinear STECM model is used as the research tool and the DSGE model is used to solve the inflation expected data as sample data, and the adjustment mechanism of inflation expectation nonlinearity in China is studied. The linear feature is derived from the expected unsymmetrical adjustment of expected deviation, which leads to the alternation of expected viscosity adjustment and mutation adjustment. The expected adjustment from stickiness to catastrophe will cause the instability of consumption, investment and savings, and seriously damage the efficiency of economic operation. On the contrary, the more accurate, the more accurate the inflation expectation is, the more effective it will be. To ensure the stability of the expected adjustment mechanism, it is necessary for the central bank to take measures to make residents' inflation expectations as close as possible to actual inflation.
Finally, on the basis of foreign advanced experience of inflation expectation management, combined with the conclusions of previous empirical analysis, we put forward some policy recommendations on the management of inflation expectations in China.
【學(xué)位授予單位】：廣東商學(xué)院
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F822.5;F224

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