劳动生产率冲击、工资粘性与中国实际经济周期
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摘要
中国劳动力市场正处于转型期,由劳动力市场因素引起的宏观经济波动日益凸显,对新时期劳动生产率冲击和工资粘性影响经济周期波动问题的研究能够为中国减轻劳动生产率冲击和促进经济持续健康发展提供学理支撑。本文通过在新凯恩斯DSGE模型中引入劳动生产率冲击与工资交错议价过程,对劳动生产率冲击和工资粘性影响中国经济周期波动的作用特征、传导机制及其模拟效果进行了深入分析。研究发现:(1)中国劳动力市场存在明显的工资粘性现象和市场分离作用,且该作用主要来源于劳动生产率冲击;(2)劳动生产率冲击可以解释约15%的产出波动和50%以上的劳动力市场波动;(3)工资粘性条件下劳动生产率冲击对产出和就业的影响更大,对工资的影响更温和,工资粘性和劳动生产率冲击的同时存在能够加强外生冲击对宏观经济的影响;(4)市场中工资粘性程度越高,社会福利损失越大,而由劳动生产率冲击带来的间接福利损失远高于其带来的直接福利损失。本文从劳动力市场角度解释了中国经济周期波动现象,为设计相关的宏观经济稳定政策提供了重要的参考依据。
China's labour market is in the process of transition, the macroeconomic fluctuations caused by labour market factors is rising, studing the effects of labour productivity shock and wage stickiness on China's economic cycle fluctuation in the new period can provide theoretical support for China to reduce the effects of labor productivity shock and promote the sustainable and healthy economic development. By introducing labor productivity shock and wage staggered bargaining process in new Keynesian DSGE models, this paper studies the effects of both the labor productivity shock and wage stickiness on China's economic cycle fluctuation characteristics, transmission mechanism, and their impacts. Research finds: First, there is obvious wage stickiness and market separation in China's labor market, and the separation effect is mainly caused by labor productivity shock. Second, labor productivity shock can explain about 15 percent of output volatility and more than 50 percent of labour market volatility. Third, under the condition of wage stickiness, the impacts of labor productivity shock on output and employment is bigger, the influence of the impact on wage is softer, both wage stickiness and labor productivity shock exist simultaneously can strengthen the exogenous shock impact on the macro economy. Fourth,the higher the wage stickiness in the market, the greater the social welfare loss, and the indirect welfare loss caused by the labor productivity shock is much higher than the direct welfare loss. This paper explains China's economic cycle fluctuation from the perspective of the labor market, provides a important reference for the related macroeconomic stable policy design.
China's labour market is in the process of transition, the macroeconomic fluctuations caused by labour market factors is rising, studing the effects of labour productivity shock and wage stickiness on China's economic cycle fluctuation in the new period can provide theoretical support for China to reduce the effects of labor productivity shock and promote the sustainable and healthy economic development. By introducing labor productivity shock and wage staggered bargaining process in new Keynesian DSGE models, this paper studies the effects of both the labor productivity shock and wage stickiness on China's economic cycle fluctuation characteristics, transmission mechanism, and their impacts. Research finds: First, there is obvious wage stickiness and market separation in China's labor market, and the separation effect is mainly caused by labor productivity shock. Second, labor productivity shock can explain about 15 percent of output volatility and more than 50 percent of labour market volatility. Third, under the condition of wage stickiness, the impacts of labor productivity shock on output and employment is bigger, the influence of the impact on wage is softer, both wage stickiness and labor productivity shock exist simultaneously can strengthen the exogenous shock impact on the macro economy. Fourth,the higher the wage stickiness in the market, the greater the social welfare loss, and the indirect welfare loss caused by the labor productivity shock is much higher than the direct welfare loss. This paper explains China's economic cycle fluctuation from the perspective of the labor market, provides a important reference for the related macroeconomic stable policy design.
引文
[1]盖庆恩,朱喜,史清华.劳动力市场扭曲、结构转变和中国劳动生产率[J].经济研究, 2013,(5):87-97.
[2]郭豫媚,陈伟泽,陈彦斌.中国货币政策有效性下降与预期管理研究[J].经济研究, 2016,(1):28-41.
[3]李路路,朱斌,王煜.市场转型、劳动力市场分割与工作组织流动[J].中国社会科学, 2016,(9):126-145.
[4]李雪松,王秀丽.工资粘性、经济波动与货币政策模拟——基于DSGE模型的分析[J].数量经济技术经济研究,2011,(11):22-33.
[5]卢锋,刘晓光,姜志霄,张杰平.劳动力市场与中国宏观经济周期:兼谈奥肯定律在中国[J].中国社会科学,2015,(12):69-89.
[6]梅冬州,王子健,雷文妮.党代会召开、监察力度变化与中国经济波动[J].经济研究, 2014,(3):47-61.
[7]苏永照.产业转型升级背景下中国劳动力市场匹配效率提升研究[J].财贸研究, 2017,(6):17-27.
[8]王国静,田国强.政府支出乘数[J].经济研究, 2014,(9):4-19.
[9]王君斌,薛鹤翔.扩张型货币政策能刺激就业吗?——刚性工资模型下的劳动力市场动态分析[J].统计研究,2010,(6):7-16.
[10]王曦,王茜,陈中飞.货币政策预期与通货膨胀管理——基于消息冲击的DSGE分析[J].经济研究, 2016,(2):16-29.
[11]项后军,巫姣,谢杰.地方债务影响经济波动吗[J].中国工业经济, 2017,(1):43-61.
[12]徐建炜,纪洋,陈斌开.中国劳动力市场名义工资粘性程度的估算[J].经济研究, 2012,(4):64-76.
[13]薛鹤翔.中国的产出持续性——基于刚性价格和刚性工资模型的动态分析[J].经济学(季刊), 2010,(4):1359-1384.
[14]鄢莉莉,王一鸣.金融发展、金融市场冲击与经济波动——基于动态随机一般均衡模型的分析[J].金融研究,2012,(12):82-95.
[15]叶正茂,王仕进.劳动市场摩擦、工资刚性与中国的通货膨胀持续性——基于不同工资竞价模型的动态分析[J].财经研究, 2014,(10):32-45.
[16]张晓娣.公共部门就业对宏观经济稳定的影响——基于搜索匹配模型的DSGE模拟与预测[J].中国工业经济,2016,(4):39-56.
[17]朱军,许志伟.财政分权、地区间竞争与中国经济波动[J].经济研究, 2018,(1):21-34.
[18]庄子罐,贾红静,刘鼎铭.货币政策的宏观经济效应研究:预期与未预期冲击视角[J].中国工业经济, 2018,(7):80-97.
[19]Blanchard, O., and J. Galí. Labor Markets and Monetary Policy:A New Keynesian Model with Unemployment[J].American Economic Journal:Macroeconomics, 2010,2(2):1-30.
[20]Calvo, G. A. Staggered Prices in a Utility-Maximizing Framework[J]. Journal of Monetary Economics, 1983,12(3):383-398.
[21]Chang, C., K. Chen, D. F. Waggoner, and T. Zha. Trends and Cycles in China’s Macroeconomy[R]. NBER Working Paper, 2015.
[22]Christiano, L. J., M. Eichenbaum, and C. L. Evans. Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy[J]. Journal of Political Economy, 2005,113(1):1-45.
[23]Christiano,L. J., M. Eichenbaum, and M. Trabandt. Unemployment and Business Cycles[J]. Econometrica,2016,84(4):1523-1569.
[24]den Haan, W. J., G. Ramey, and J. Watson. Job Destruction and Propagation of Shocks[J]. American Economic Review, 2000,90(3):482-498.
[25]Diamond, P. A. Wage Determination and Efficiency in Search Equilibrium[J]. Review of Economic Studies,1982,49(2):217-227.
[26]Feng, S., and Y. Hu. Misclassification Errors and the Underestimation of the U.S. Unemployment Rate[J].American Economic Review, 2013,103(2):1054-1070.
[27]Flinn, C. J. Minimum Wage Effects on Labor Market Outcomes under Search, Matching, and Endogenous Contact Rates[J]. Econometrica, 2006,74(4):1013-1062.
[28]Fung, M. K. Y., W. M. Ho, and L. Zhu. The Impact of Credit Control and Interest Rate Regulation on the Transforming Chinese Economy:An Analysis of Long-Run Effects[J]. Journal of Comparative Economics, 2000,28(2):293-320.
[29]Gertler, M., and A. Trigari. Unemployment Fluctuations with Staggered Nash Wage Bargaining[J]. Journal of Political Economy, 2009,117(1):38-86.
[30]Gertler, M., L. Sala, and A. Trigari. An Estimated Monetary DSGE Model with Unemployment and Staggered Nominal Wage Bargaining[J]. Journal of Money Credit and Banking, 2008,40(8):1713-1764.
[31]Hall, R. E. Employment Fluctuations with Equilibrium Wage Stickiness[J]. American Economic Review, 2005,95(1):50-65.
[32]Higgins, P., and T. Zha. China’s Macroeconomic Time Series:Methods and Implications[R]. Unpublished Manuscript, Federal Reserve Bank of Atlanta, 2015.
[33]Kennan, J. Private Information, Wage Bargaining and Employment Fluctuations[J]. Review of Economic Studies, 2010,77(2):633-664.
[34]Leduc. S., and Z. Liu. Uncertainty Shocks are Aggregate Demand Shocks[J]. Journal of Monetary Economics,2016,(82):20-35.
[35]Mortensen, D. T. Property Rights and Efficiency in Mating, Racing, and Related Games[J]. American Economic Review, 1982,72(5):968-979.
[36]Mortensen, D. T., and C. A. Pissarides. Job Creation and Job Destruction in the Theory of Unemployment[J].Review of Economic Studies, 1994,61(3):397-415.
[37]Pissarides, C. A. Short-Run Equilibrium Dynamics of Unemployment, Vacancies, and Real Wages[J].American Economic Review, 1985,75(4):676-690.
[38]Rawski, T. G. Will Investment Behavior Constrain China’s Growth[J]. China Economic Review, 2002,13(4):361-372.
[39]Shimer, R. The Cyclical Behavior of Equilibrium Unemployment and Vacancies[J]. American Economic Review,2005,95(1):25-49.
[40]Smets, F., and R. Wouters. Shocks and Frictions in U.S. Business Cycles:A Bayesian DSGE Approach[J].American Economic Review, 2007,97(3):586-606.
[41]Trigari, A. Equilibrium Unemployment, Job Flows, and Inflation Dynamics[J]. Journal of Money Credit and Banking, 2009,41(1):1-33.
[42]Walsh, C. E. Labor Market Search, Sticky Prices, and Interest Rate Policies[J]. Review of Economic Dynamics, 2005,8(4):829-849.
[43]Woodford, M. Interest and Prices:Foundations of a Theory of Monetary Policy[M]. Princeton University Press,2003.
(1)关于信贷周期和投资周期对中国经济周期的影响可参见Fung et al.(2000)和Rawski(2002)的研究;对于财政分权和地方债务影响经济波动可参见朱军和许志伟(2018)、项后军等(2017)的研究;关于党代会和监察力度对中国经济波动的影响可参见梅冬州等(2014)的研究;对于金融市场冲击和预期冲击对中国经济周期波动的影响可参见鄢莉莉和王一鸣(2012)、庄子罐等(2018)的研究。
(1)具体推导参见Gertler et al.(2008)。
(2)对于厂商雇佣成本的设定主要有下面几种:一种假定雇佣成本恒定不变,如Hall(2005)和Leduc and Liu(2016)等;另一种假定雇佣成本随时间变化,其中,Blanchard and Galí(2010)将其设定为劳动力市场强度的函数,即Gt=AtBxαt,α≥0,而Gertler and Trigari(2009)将其设定厂商雇佣率的二次函数形式,即文中所示。
(1)Walsh(2005)和Trigari(2009)将稳态的外生分离率分别设定为0.068和0.054,本文取0.060。
(2)对于中国的失业率数据,Feng and Hu(2013)等不少学者指出其存在较大测量问题,由于该变量的季度数据统计不全,其频率可能也不适合用于模型的参数估计。基于此,本文尝试借鉴Feng and Hu(2013)的方法和利用已有数据进行贝叶斯估计,发现前者由于自身受中国数据的约束而无法进行,而后者的估计结果与本文校准值相差无几,因而可以认为本文对模型中均衡失业率的校准值是可信的。
(3)待估参数的具体设定详见《中国工业经济》网站(http://www.ciejournal.org)公开附件。
(4)本文还绘制了参数的先验分布与后验分布图,其结果也说明了本文贝叶斯估计是可靠的。文中未报告参数的先验与后验分布图,具体可见《中国工业经济》网站(http://www.ciejournal.org)公开附件。
(5)稳态时,内生分离率=(δ-δo)/(1-δo)。值得注意的是,den Haan et al.(2000)、Walsh(2005)等人估计美国的内生分离率在0.03左右,远低于本文的估计结果。
(1)通货膨胀方差无法匹配的可能原因在于,本文对基本模型中通货膨胀方程的相关设定,方程中工资加成条件无法满足。事实上,本文尝试将工资加成条件纳入基本模型,利用贝叶斯估计发现多数参数的估计值与已有研究的结果相去甚远,故本文放弃了工资加成条件,由此导致模型中通货膨胀方差无法较好匹配现实数据。
(2)关于Shimer Puzzle问题,可参见Hall(2005)、Shimer(2005)等人的研究。
(1)事实上,本文还尝试借鉴Walsh(2005)的做法,直接在生产函数中引入劳动生产率冲击,但发现结果与本文相差无几。因此,可以认为本文脉冲响应结果的持续性问题是模型中劳动生产率冲击作用和纳什均衡议价过程共同作用的结果。此外,本文还考察了劳动生产率冲击和技术冲击是否可分开识别以及在可分开识别的基础上它们对于工资和就业的不同影响,具体可详见《中国工业经济》网站(http://www.ciejournal.org)公开附件。
(2)本文还分析了货币政策冲击下主要经济变量的脉冲响应结果,有兴趣的读者可参见《中国工业经济》网站(http://www.ciejournal.org)公开附件。
(1)本文未报告稳健性分析中的脉冲响应图和参数的贝叶斯估计结果,有兴趣的读者可参见《中国工业经济》网站(http://www.ciejournal.org)公开附件。
[2]郭豫媚,陈伟泽,陈彦斌.中国货币政策有效性下降与预期管理研究[J].经济研究, 2016,(1):28-41.
[3]李路路,朱斌,王煜.市场转型、劳动力市场分割与工作组织流动[J].中国社会科学, 2016,(9):126-145.
[4]李雪松,王秀丽.工资粘性、经济波动与货币政策模拟——基于DSGE模型的分析[J].数量经济技术经济研究,2011,(11):22-33.
[5]卢锋,刘晓光,姜志霄,张杰平.劳动力市场与中国宏观经济周期:兼谈奥肯定律在中国[J].中国社会科学,2015,(12):69-89.
[6]梅冬州,王子健,雷文妮.党代会召开、监察力度变化与中国经济波动[J].经济研究, 2014,(3):47-61.
[7]苏永照.产业转型升级背景下中国劳动力市场匹配效率提升研究[J].财贸研究, 2017,(6):17-27.
[8]王国静,田国强.政府支出乘数[J].经济研究, 2014,(9):4-19.
[9]王君斌,薛鹤翔.扩张型货币政策能刺激就业吗?——刚性工资模型下的劳动力市场动态分析[J].统计研究,2010,(6):7-16.
[10]王曦,王茜,陈中飞.货币政策预期与通货膨胀管理——基于消息冲击的DSGE分析[J].经济研究, 2016,(2):16-29.
[11]项后军,巫姣,谢杰.地方债务影响经济波动吗[J].中国工业经济, 2017,(1):43-61.
[12]徐建炜,纪洋,陈斌开.中国劳动力市场名义工资粘性程度的估算[J].经济研究, 2012,(4):64-76.
[13]薛鹤翔.中国的产出持续性——基于刚性价格和刚性工资模型的动态分析[J].经济学(季刊), 2010,(4):1359-1384.
[14]鄢莉莉,王一鸣.金融发展、金融市场冲击与经济波动——基于动态随机一般均衡模型的分析[J].金融研究,2012,(12):82-95.
[15]叶正茂,王仕进.劳动市场摩擦、工资刚性与中国的通货膨胀持续性——基于不同工资竞价模型的动态分析[J].财经研究, 2014,(10):32-45.
[16]张晓娣.公共部门就业对宏观经济稳定的影响——基于搜索匹配模型的DSGE模拟与预测[J].中国工业经济,2016,(4):39-56.
[17]朱军,许志伟.财政分权、地区间竞争与中国经济波动[J].经济研究, 2018,(1):21-34.
[18]庄子罐,贾红静,刘鼎铭.货币政策的宏观经济效应研究:预期与未预期冲击视角[J].中国工业经济, 2018,(7):80-97.
[19]Blanchard, O., and J. Galí. Labor Markets and Monetary Policy:A New Keynesian Model with Unemployment[J].American Economic Journal:Macroeconomics, 2010,2(2):1-30.
[20]Calvo, G. A. Staggered Prices in a Utility-Maximizing Framework[J]. Journal of Monetary Economics, 1983,12(3):383-398.
[21]Chang, C., K. Chen, D. F. Waggoner, and T. Zha. Trends and Cycles in China’s Macroeconomy[R]. NBER Working Paper, 2015.
[22]Christiano, L. J., M. Eichenbaum, and C. L. Evans. Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy[J]. Journal of Political Economy, 2005,113(1):1-45.
[23]Christiano,L. J., M. Eichenbaum, and M. Trabandt. Unemployment and Business Cycles[J]. Econometrica,2016,84(4):1523-1569.
[24]den Haan, W. J., G. Ramey, and J. Watson. Job Destruction and Propagation of Shocks[J]. American Economic Review, 2000,90(3):482-498.
[25]Diamond, P. A. Wage Determination and Efficiency in Search Equilibrium[J]. Review of Economic Studies,1982,49(2):217-227.
[26]Feng, S., and Y. Hu. Misclassification Errors and the Underestimation of the U.S. Unemployment Rate[J].American Economic Review, 2013,103(2):1054-1070.
[27]Flinn, C. J. Minimum Wage Effects on Labor Market Outcomes under Search, Matching, and Endogenous Contact Rates[J]. Econometrica, 2006,74(4):1013-1062.
[28]Fung, M. K. Y., W. M. Ho, and L. Zhu. The Impact of Credit Control and Interest Rate Regulation on the Transforming Chinese Economy:An Analysis of Long-Run Effects[J]. Journal of Comparative Economics, 2000,28(2):293-320.
[29]Gertler, M., and A. Trigari. Unemployment Fluctuations with Staggered Nash Wage Bargaining[J]. Journal of Political Economy, 2009,117(1):38-86.
[30]Gertler, M., L. Sala, and A. Trigari. An Estimated Monetary DSGE Model with Unemployment and Staggered Nominal Wage Bargaining[J]. Journal of Money Credit and Banking, 2008,40(8):1713-1764.
[31]Hall, R. E. Employment Fluctuations with Equilibrium Wage Stickiness[J]. American Economic Review, 2005,95(1):50-65.
[32]Higgins, P., and T. Zha. China’s Macroeconomic Time Series:Methods and Implications[R]. Unpublished Manuscript, Federal Reserve Bank of Atlanta, 2015.
[33]Kennan, J. Private Information, Wage Bargaining and Employment Fluctuations[J]. Review of Economic Studies, 2010,77(2):633-664.
[34]Leduc. S., and Z. Liu. Uncertainty Shocks are Aggregate Demand Shocks[J]. Journal of Monetary Economics,2016,(82):20-35.
[35]Mortensen, D. T. Property Rights and Efficiency in Mating, Racing, and Related Games[J]. American Economic Review, 1982,72(5):968-979.
[36]Mortensen, D. T., and C. A. Pissarides. Job Creation and Job Destruction in the Theory of Unemployment[J].Review of Economic Studies, 1994,61(3):397-415.
[37]Pissarides, C. A. Short-Run Equilibrium Dynamics of Unemployment, Vacancies, and Real Wages[J].American Economic Review, 1985,75(4):676-690.
[38]Rawski, T. G. Will Investment Behavior Constrain China’s Growth[J]. China Economic Review, 2002,13(4):361-372.
[39]Shimer, R. The Cyclical Behavior of Equilibrium Unemployment and Vacancies[J]. American Economic Review,2005,95(1):25-49.
[40]Smets, F., and R. Wouters. Shocks and Frictions in U.S. Business Cycles:A Bayesian DSGE Approach[J].American Economic Review, 2007,97(3):586-606.
[41]Trigari, A. Equilibrium Unemployment, Job Flows, and Inflation Dynamics[J]. Journal of Money Credit and Banking, 2009,41(1):1-33.
[42]Walsh, C. E. Labor Market Search, Sticky Prices, and Interest Rate Policies[J]. Review of Economic Dynamics, 2005,8(4):829-849.
[43]Woodford, M. Interest and Prices:Foundations of a Theory of Monetary Policy[M]. Princeton University Press,2003.
(1)关于信贷周期和投资周期对中国经济周期的影响可参见Fung et al.(2000)和Rawski(2002)的研究;对于财政分权和地方债务影响经济波动可参见朱军和许志伟(2018)、项后军等(2017)的研究;关于党代会和监察力度对中国经济波动的影响可参见梅冬州等(2014)的研究;对于金融市场冲击和预期冲击对中国经济周期波动的影响可参见鄢莉莉和王一鸣(2012)、庄子罐等(2018)的研究。
(1)具体推导参见Gertler et al.(2008)。
(2)对于厂商雇佣成本的设定主要有下面几种:一种假定雇佣成本恒定不变,如Hall(2005)和Leduc and Liu(2016)等;另一种假定雇佣成本随时间变化,其中,Blanchard and Galí(2010)将其设定为劳动力市场强度的函数,即Gt=AtBxαt,α≥0,而Gertler and Trigari(2009)将其设定厂商雇佣率的二次函数形式,即文中所示。
(1)Walsh(2005)和Trigari(2009)将稳态的外生分离率分别设定为0.068和0.054,本文取0.060。
(2)对于中国的失业率数据,Feng and Hu(2013)等不少学者指出其存在较大测量问题,由于该变量的季度数据统计不全,其频率可能也不适合用于模型的参数估计。基于此,本文尝试借鉴Feng and Hu(2013)的方法和利用已有数据进行贝叶斯估计,发现前者由于自身受中国数据的约束而无法进行,而后者的估计结果与本文校准值相差无几,因而可以认为本文对模型中均衡失业率的校准值是可信的。
(3)待估参数的具体设定详见《中国工业经济》网站(http://www.ciejournal.org)公开附件。
(4)本文还绘制了参数的先验分布与后验分布图,其结果也说明了本文贝叶斯估计是可靠的。文中未报告参数的先验与后验分布图,具体可见《中国工业经济》网站(http://www.ciejournal.org)公开附件。
(5)稳态时,内生分离率=(δ-δo)/(1-δo)。值得注意的是,den Haan et al.(2000)、Walsh(2005)等人估计美国的内生分离率在0.03左右,远低于本文的估计结果。
(1)通货膨胀方差无法匹配的可能原因在于,本文对基本模型中通货膨胀方程的相关设定,方程中工资加成条件无法满足。事实上,本文尝试将工资加成条件纳入基本模型,利用贝叶斯估计发现多数参数的估计值与已有研究的结果相去甚远,故本文放弃了工资加成条件,由此导致模型中通货膨胀方差无法较好匹配现实数据。
(2)关于Shimer Puzzle问题,可参见Hall(2005)、Shimer(2005)等人的研究。
(1)事实上,本文还尝试借鉴Walsh(2005)的做法,直接在生产函数中引入劳动生产率冲击,但发现结果与本文相差无几。因此,可以认为本文脉冲响应结果的持续性问题是模型中劳动生产率冲击作用和纳什均衡议价过程共同作用的结果。此外,本文还考察了劳动生产率冲击和技术冲击是否可分开识别以及在可分开识别的基础上它们对于工资和就业的不同影响,具体可详见《中国工业经济》网站(http://www.ciejournal.org)公开附件。
(2)本文还分析了货币政策冲击下主要经济变量的脉冲响应结果,有兴趣的读者可参见《中国工业经济》网站(http://www.ciejournal.org)公开附件。
(1)本文未报告稳健性分析中的脉冲响应图和参数的贝叶斯估计结果,有兴趣的读者可参见《中国工业经济》网站(http://www.ciejournal.org)公开附件。