中国新凯恩斯菲利普斯曲线的拓展及检验
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摘要
新凯恩斯菲利普斯曲线是当前研究通货膨胀形成机制的主流模型，通过构建具有中国经济特征的新凯恩斯菲利普斯曲线，有助于克服传统通货膨胀理论的不足，以一般性的分析框架来分析中国通货膨胀形成机制。
经典新凯恩斯菲利普斯曲线通过对理性预期和经济结构的假定，设立了家庭和厂商两个部门的经济体，从厂商在理性预期下的最优定价和产出完全用于家庭的消费出发，在经济主体动态最优决策和一般均衡基础上推导出各经济总量之间的行为关系。从模型中可以发现，理性预期和消费需求是影响通货膨胀的关键因素。因此，构建具有中国通胀预期和经济结构特征的新凯恩斯菲利普斯曲线有助于解释中国的通货膨胀问题。
在中国的通胀预期特征方面，本文根据中国公众的调查数据特征，改进了Carlson-Parkin概率法，从而完成了通胀预期定性调查数据的定量化工作，得到的通胀预期数据和实际通货膨胀的拟合情况优于传统的Carlson-Parkin概率法。通过适应性预期检验和无偏性、有效性、正交性等理性预期检验，本文发现中国公众的通胀预期为不完全理性预期，但仍然表现出一定的理性。在不完全理性预期下，通胀持久性会对通货膨胀产生影响，因此，本文进一步检验了中国通胀持久性的特征。通过累计脉冲响应函数检验、最大自回归特征根检验和半衰期检验等单变量检验发现，中国的通胀持久性具有较高水平，在样本区间内明显表现出先升后降的倒U型变化趋势。对通胀持久性的内生突变检验发现，中国的通胀持久性水平在1998年的第一季度发生结构性下降。
在中国经济结构的特征方面，本文认为，与国外的消费需求拉动不同，中国的经济结构特征表现为投资需求拉动，并且在地方政府和国有企业的投资冲动下，投资需求对价格的敏感度很低，因而对通货膨胀具有较强的拉动作用。
基于上述的特征分析，本文将需求区分为投资需求和消费需求，并结合李拉亚的粘性预期理论和新凯恩斯主义的粘性价格理论，在经典理论模型的基础上纳入了不完全理性预期下的通胀持久性和经济结构中的投资需求这两个主要因素，从而构建了具有双粘性质的中国新凯恩斯菲利普斯曲线。从理论模型中可以得出以下结论：通胀持久性是影响中国通货膨胀的重要因素，并且如果前向定价的厂家越少，通胀持久性对通货膨胀的影响将越高；投资需求同样是影响通货膨胀的重要因素，在投资需求的价格弹性小于消费需求的假定下，投资需求对通货膨胀的影响高于消费需求。
对中国新凯恩斯菲利普斯曲线的实证结果表明，考虑了通胀持久性和中国经济结构的新凯恩斯菲利普斯曲线更能解释中国的通货膨胀形成机制。通胀持久性对通货膨胀的影响显著，仅次于通胀预期的影响。上世纪90年代中期，中国货币政策的制度性改革促使厂商逐步转向前向定价模式，因而通胀持久性对通货膨胀的影响也显著下降。投资需求对通货膨胀具有显著影响，且高于消费需求的影响，表明以地方政府和国有企业为主体的投资冲动确实对通货膨胀具有较强的推动作用。
本文结论的政策性启示是，治理中国的通货膨胀应当破解投资需求的软约束问题，通过改革地方政府的政绩考核以及深化国有企业体制改革，来降低通货膨胀的内在经济结构压力；更为重要的是要完善货币政策体系，通过合理引导通胀预期和降低通胀持久性水平达到有效调控通货膨胀的目的。
The New Keynesian Phillips Curve (NKPC) is currently the most widely acceptedtheory of inflation dynamics in modern macroeconomics. The construction of China'seconomic performance characteristics of the New Keynesian Phillips curve model will helpto discard the traditional inflation theory and build a general analytical framework tounderstand the formation mechanism of inflation in China.
In the assumption of rational expectations and the economic structure, the classic NewKeynesian Phillips curve has established two departments of the economy which includefamily and manufacturers. In this model, manufacturers make optimal pricing decisionsunder rational expectations and the household consumption is exactly equal to the output ofmanufacturers when in the equilibrium which means rational expectations and consumerdemand are the key factors of inflation. Therefore, building New Keynesian Phillips Curvein China which contains the characteristics of economic structure and inflation expectationsin China would help to explain China's inflation.
In the study of inflation expectations, according to the characteristics of the Chinesepublic survey data, we improved Carlson-Parkin’s probability method, and quantified theinflation expectations qualitative survey data. Compared to the traditional Carlson-Parkin’sprobability method, this method has the smaller error between the inflation expectation andactual inflation. Through adaptive expectations test and rational expectations test such asbias, validity and orthogonality tests, results show that the inflation expectation of ourpublic is irrational expectations and possess a certain degree of rationality. Under irrationalexpectations, inflation persistence will have an impact on inflation. Therefore, we examinethe characteristics of China's inflation persistence by Largest Autoregressive Root (LAR),Cumulative Impulse Response Function (CIRF) and Half-Life (HL) tests. The resultsindicate that during the first quarter of1990to fourth quarter of2010, China's inflationpersistence is at a high level and shows inverted u-shaped trends. Endogenous mutation teston inflation persistence finds that inflation persistence occurred structural break in the firstquarter of1998.
In terms of characteristics of China's economic structure, unlike developed countries,China's economic growth was mainly driven by investment. Local governments andstate-owned enterprises have the impulse to invest, thus the sensitivity of the investmentcost is very low, which means investment has a strong pull for inflation.
Based on the above characteristics analysis, we divide demand into investment andconsumption from the microscopic point of view, and then combined the sticky expectationand sticky prices to form a double-stick model of New Keynesian Phillips Curve in China.This model based on classical theoretical models includes inflation persistence andinvestment. The model implies that the effect of investment on inflation will be higher thanthe consumption under the assumption that the price elasticity of demand for investment isless than consumption. The model also means that inflation persistence is an importantfactor affecting China's inflation, and the impact of inflation persistence on inflation will behigher as manufacturers less prefer forward price-making.
The empirical results show that the New Keynesian Phillips Curve in China, takinginto account inflation persistence and the economic structure model, can explain China'sinflation formation mechanism better than classical model. Inflation persistence significantimpacts inflation, after inflation expectations. As the monetary policy regime changed, theimpact of inflation persistence to inflation dropped significantly. The results also confirmthat the impulse of investment by local governments and state-owned enterprises has astrong effect on inflation.
The conclusions indicate how to resolve the problem of inflation in China. First,through the reform of promotion system in local government and deepening reform thestate-owned enterprise, we could crack the soft constraint problems of investment so as toreduce inflation pressure from the internal economic structure. Second, we should perfectmonetary policy system in order to reasonable guide inflation expectations and reduceinflation persistence level which would alleviate the internal pressure of inflation.
经典新凯恩斯菲利普斯曲线通过对理性预期和经济结构的假定，设立了家庭和厂商两个部门的经济体，从厂商在理性预期下的最优定价和产出完全用于家庭的消费出发，在经济主体动态最优决策和一般均衡基础上推导出各经济总量之间的行为关系。从模型中可以发现，理性预期和消费需求是影响通货膨胀的关键因素。因此，构建具有中国通胀预期和经济结构特征的新凯恩斯菲利普斯曲线有助于解释中国的通货膨胀问题。
在中国的通胀预期特征方面，本文根据中国公众的调查数据特征，改进了Carlson-Parkin概率法，从而完成了通胀预期定性调查数据的定量化工作，得到的通胀预期数据和实际通货膨胀的拟合情况优于传统的Carlson-Parkin概率法。通过适应性预期检验和无偏性、有效性、正交性等理性预期检验，本文发现中国公众的通胀预期为不完全理性预期，但仍然表现出一定的理性。在不完全理性预期下，通胀持久性会对通货膨胀产生影响，因此，本文进一步检验了中国通胀持久性的特征。通过累计脉冲响应函数检验、最大自回归特征根检验和半衰期检验等单变量检验发现，中国的通胀持久性具有较高水平，在样本区间内明显表现出先升后降的倒U型变化趋势。对通胀持久性的内生突变检验发现，中国的通胀持久性水平在1998年的第一季度发生结构性下降。
在中国经济结构的特征方面，本文认为，与国外的消费需求拉动不同，中国的经济结构特征表现为投资需求拉动，并且在地方政府和国有企业的投资冲动下，投资需求对价格的敏感度很低，因而对通货膨胀具有较强的拉动作用。
基于上述的特征分析，本文将需求区分为投资需求和消费需求，并结合李拉亚的粘性预期理论和新凯恩斯主义的粘性价格理论，在经典理论模型的基础上纳入了不完全理性预期下的通胀持久性和经济结构中的投资需求这两个主要因素，从而构建了具有双粘性质的中国新凯恩斯菲利普斯曲线。从理论模型中可以得出以下结论：通胀持久性是影响中国通货膨胀的重要因素，并且如果前向定价的厂家越少，通胀持久性对通货膨胀的影响将越高；投资需求同样是影响通货膨胀的重要因素，在投资需求的价格弹性小于消费需求的假定下，投资需求对通货膨胀的影响高于消费需求。
对中国新凯恩斯菲利普斯曲线的实证结果表明，考虑了通胀持久性和中国经济结构的新凯恩斯菲利普斯曲线更能解释中国的通货膨胀形成机制。通胀持久性对通货膨胀的影响显著，仅次于通胀预期的影响。上世纪90年代中期，中国货币政策的制度性改革促使厂商逐步转向前向定价模式，因而通胀持久性对通货膨胀的影响也显著下降。投资需求对通货膨胀具有显著影响，且高于消费需求的影响，表明以地方政府和国有企业为主体的投资冲动确实对通货膨胀具有较强的推动作用。
本文结论的政策性启示是，治理中国的通货膨胀应当破解投资需求的软约束问题，通过改革地方政府的政绩考核以及深化国有企业体制改革，来降低通货膨胀的内在经济结构压力；更为重要的是要完善货币政策体系，通过合理引导通胀预期和降低通胀持久性水平达到有效调控通货膨胀的目的。
The New Keynesian Phillips Curve (NKPC) is currently the most widely acceptedtheory of inflation dynamics in modern macroeconomics. The construction of China'seconomic performance characteristics of the New Keynesian Phillips curve model will helpto discard the traditional inflation theory and build a general analytical framework tounderstand the formation mechanism of inflation in China.
In the assumption of rational expectations and the economic structure, the classic NewKeynesian Phillips curve has established two departments of the economy which includefamily and manufacturers. In this model, manufacturers make optimal pricing decisionsunder rational expectations and the household consumption is exactly equal to the output ofmanufacturers when in the equilibrium which means rational expectations and consumerdemand are the key factors of inflation. Therefore, building New Keynesian Phillips Curvein China which contains the characteristics of economic structure and inflation expectationsin China would help to explain China's inflation.
In the study of inflation expectations, according to the characteristics of the Chinesepublic survey data, we improved Carlson-Parkin’s probability method, and quantified theinflation expectations qualitative survey data. Compared to the traditional Carlson-Parkin’sprobability method, this method has the smaller error between the inflation expectation andactual inflation. Through adaptive expectations test and rational expectations test such asbias, validity and orthogonality tests, results show that the inflation expectation of ourpublic is irrational expectations and possess a certain degree of rationality. Under irrationalexpectations, inflation persistence will have an impact on inflation. Therefore, we examinethe characteristics of China's inflation persistence by Largest Autoregressive Root (LAR),Cumulative Impulse Response Function (CIRF) and Half-Life (HL) tests. The resultsindicate that during the first quarter of1990to fourth quarter of2010, China's inflationpersistence is at a high level and shows inverted u-shaped trends. Endogenous mutation teston inflation persistence finds that inflation persistence occurred structural break in the firstquarter of1998.
In terms of characteristics of China's economic structure, unlike developed countries,China's economic growth was mainly driven by investment. Local governments andstate-owned enterprises have the impulse to invest, thus the sensitivity of the investmentcost is very low, which means investment has a strong pull for inflation.
Based on the above characteristics analysis, we divide demand into investment andconsumption from the microscopic point of view, and then combined the sticky expectationand sticky prices to form a double-stick model of New Keynesian Phillips Curve in China.This model based on classical theoretical models includes inflation persistence andinvestment. The model implies that the effect of investment on inflation will be higher thanthe consumption under the assumption that the price elasticity of demand for investment isless than consumption. The model also means that inflation persistence is an importantfactor affecting China's inflation, and the impact of inflation persistence on inflation will behigher as manufacturers less prefer forward price-making.
The empirical results show that the New Keynesian Phillips Curve in China, takinginto account inflation persistence and the economic structure model, can explain China'sinflation formation mechanism better than classical model. Inflation persistence significantimpacts inflation, after inflation expectations. As the monetary policy regime changed, theimpact of inflation persistence to inflation dropped significantly. The results also confirmthat the impulse of investment by local governments and state-owned enterprises has astrong effect on inflation.
The conclusions indicate how to resolve the problem of inflation in China. First,through the reform of promotion system in local government and deepening reform thestate-owned enterprise, we could crack the soft constraint problems of investment so as toreduce inflation pressure from the internal economic structure. Second, we should perfectmonetary policy system in order to reasonable guide inflation expectations and reduceinflation persistence level which would alleviate the internal pressure of inflation.
引文
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