多部门动态随机一般均衡模型的中国应用
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摘要
国民经济由多个部门构成，部门之间存在着密切的投入产出联系，而经济所受到的冲击大多数并不是同时均匀的作用于各个部门，而是首先作用于某个或某几个部门，再通过投入产出关系逐渐传导到国民经济的各个部门，并最终影响总产出。因此研究不同部门受到冲击时对其他部门产出和总产出的影响有什么不同，对更准确预测经济从而为经济政策的制定提供依据有着重要的现实意义。
本文在Long和Plosser建立的仅有中间投入和劳动投入作为生产投入的多部门RBC模型基础上，进一步引入资本建立了7部门DSGE模型，并利用中国投入产出数据所校准的参数进行了数值模拟，通过对模拟结果的观察发现，外生冲击沿部门传导是通过推动作用、拉动作用和替代作用三种作用机制共同作用于实际经济，推动作用和拉动作用是一个部门产出上升后带动其他部门产出上升的作用机制，而替代作用则可能导致其他部门产出下降。一个部门受到外生冲击对各部门产出的影响是推动作用、拉动作用和替代作用三种机制共同作用的结果。传统的投入产出分析由于只考虑了部门间的推动和拉动作用而有一定的局限性。而只有引入了微观经济主体一生效用最大化的DSGE模型分析框架才能够较好的刻画替代作用机制。
文章进一步建立了引入制造业资本与建筑业和房地产业资本不可替代、劳动投入不完全替代、并同时包含了部门冲击和整体冲击的7部门DSGE模型，这一模型更好的模拟了现实经济，为模拟冲击对经济的影响提供了一个实验平台。通过对比部门冲击和整体冲击对各部门产出的影响，发现经济波动中观察到的各部门产出呈现出共动性特点的一个主要原因是整体冲击的作用。
本文得到的政策建议主要包括，在制定产业刺激政策，或者预测某个部门冲击的经济影响时，需要考虑到替代作用机制；部门冲击与整体冲击对各部门产出的经济影响不同，进行经济预测时需要准确判断外生冲击的性质；此外，制造业受到1单位外生冲击时，对各部门产出和总产出的影响最大，在一定程度上说明了在经济萧条时期，政府通过刺激制造业的经济刺激政策会对整体经济有较大的拉动作用。
The economy is consistent of multiple sectors, and these sectors are connected byinput-output relationships. Shocks are usually the cause of business cycles, which inmany cases are sectoral shocks, not the aggregate shock. So study the effects of thesectoral shocks on sectoral output and overall output are very important to understandthe business cycle, and make economic policies.
This paper have introduced Long and Plosser’s model as a basic model, and thenintroduced capital into the basic model. Then the paper do some simulations usingChinese parameters calibrated from the Chinese input-output table. The simulationresults indicate that there are three transmission mechanisms of sectoral shock: pushingeffect, pulling effect and substituting effect. The first two effects will increase theoutput of each sector under positive sectoral shock, but the last effect may not. Thesuperiority of the DSGE model is that this model can reveal the substituting effect butothers cannot.
This paper have further established several7-sector DSGE models with theconstruction’s capital and manufacturing’s capital have constant input ratio, sectors’labor inputs have imperfect substitution, and introduced aggregate shock. Simulationresults show that the comovement in the business cycle is probably the result of theaggregate shock. These models better reflex the real economy, and offer a platform todo further economic experiments.
From the simulation results, we conclude that when making industrial policies, thepolicy makers should consider not only pushing effect and pulling effect, but alsoconsider substituting effect. Furthermore, the policy makers should distinguish sectoralshock from aggregate shock as the effects is different. We can also see thatmanufacturing sector’s positive exogenous shock will stimulate the economy most.
本文在Long和Plosser建立的仅有中间投入和劳动投入作为生产投入的多部门RBC模型基础上，进一步引入资本建立了7部门DSGE模型，并利用中国投入产出数据所校准的参数进行了数值模拟，通过对模拟结果的观察发现，外生冲击沿部门传导是通过推动作用、拉动作用和替代作用三种作用机制共同作用于实际经济，推动作用和拉动作用是一个部门产出上升后带动其他部门产出上升的作用机制，而替代作用则可能导致其他部门产出下降。一个部门受到外生冲击对各部门产出的影响是推动作用、拉动作用和替代作用三种机制共同作用的结果。传统的投入产出分析由于只考虑了部门间的推动和拉动作用而有一定的局限性。而只有引入了微观经济主体一生效用最大化的DSGE模型分析框架才能够较好的刻画替代作用机制。
文章进一步建立了引入制造业资本与建筑业和房地产业资本不可替代、劳动投入不完全替代、并同时包含了部门冲击和整体冲击的7部门DSGE模型，这一模型更好的模拟了现实经济，为模拟冲击对经济的影响提供了一个实验平台。通过对比部门冲击和整体冲击对各部门产出的影响，发现经济波动中观察到的各部门产出呈现出共动性特点的一个主要原因是整体冲击的作用。
本文得到的政策建议主要包括，在制定产业刺激政策，或者预测某个部门冲击的经济影响时，需要考虑到替代作用机制；部门冲击与整体冲击对各部门产出的经济影响不同，进行经济预测时需要准确判断外生冲击的性质；此外，制造业受到1单位外生冲击时，对各部门产出和总产出的影响最大，在一定程度上说明了在经济萧条时期，政府通过刺激制造业的经济刺激政策会对整体经济有较大的拉动作用。
The economy is consistent of multiple sectors, and these sectors are connected byinput-output relationships. Shocks are usually the cause of business cycles, which inmany cases are sectoral shocks, not the aggregate shock. So study the effects of thesectoral shocks on sectoral output and overall output are very important to understandthe business cycle, and make economic policies.
This paper have introduced Long and Plosser’s model as a basic model, and thenintroduced capital into the basic model. Then the paper do some simulations usingChinese parameters calibrated from the Chinese input-output table. The simulationresults indicate that there are three transmission mechanisms of sectoral shock: pushingeffect, pulling effect and substituting effect. The first two effects will increase theoutput of each sector under positive sectoral shock, but the last effect may not. Thesuperiority of the DSGE model is that this model can reveal the substituting effect butothers cannot.
This paper have further established several7-sector DSGE models with theconstruction’s capital and manufacturing’s capital have constant input ratio, sectors’labor inputs have imperfect substitution, and introduced aggregate shock. Simulationresults show that the comovement in the business cycle is probably the result of theaggregate shock. These models better reflex the real economy, and offer a platform todo further economic experiments.
From the simulation results, we conclude that when making industrial policies, thepolicy makers should consider not only pushing effect and pulling effect, but alsoconsider substituting effect. Furthermore, the policy makers should distinguish sectoralshock from aggregate shock as the effects is different. We can also see thatmanufacturing sector’s positive exogenous shock will stimulate the economy most.
引文
Ambler, Cardia, Zimmermann. International transmission of the business cycle in a multi-sectormodel. European Economic Review,2002,46:273-300
Bill Dupor. Aggregation and irrelevance in multi-sector models. Journal of Monetary Economics,1999,43:391-409
Blanchard, Kahn. The Solutions of Linear Difference models under Rational Expectations.Econometrica,1980,48(5):1305-1311
Bouakez, Cardia, Ruge-Murcia. The transmission of monetary policy in a multi-sector economy.Working Paper (the Center for Interuniversity Research in Quantitative Economics), No.20,2005
Christiano, Eichenbaum. Current Real Business Cycles Theories and Aggregate Labor MarketFluctuation. American Economic Review,1992,82:430-450
Cogley Timothy, Nason James M. Output Dynamics in Real-Business Cycle Models. AmericanEconomic Review,1995,85:492-511
Dupor B. Aggregation and Irrelevance in Multi-Sector Models. Journal of Monetary Economics,1999,43:391-409
Finn E Kydland, Edward C Prescott.Time to build and aggregate fluctuations. Econometrica,1982,50(6):1345-1370
Gi Choon Kanga, Peter F Orazem. The relative importance of aggregate and disaggregate shocks inKorean business cycles. Journal of Asian Economics,2003,14:419–434
Gregory Huffman, Mark Wynne. The role of intratemporal adjustment costs in a multi-sectoreconomy. Federal Reserve Bank of Dallas Working Paper No.08,1995
Hornstein, Praschnik. Intermediate Inputs and Sectoral Comovement in the Business Cycle. Journalof monetary economics,1997,40:573-593
Horvath. Cyclicality and Sectoral Linkages: Aggregate Fluctuations from Independent SectoralShocks. Review of Economic Dynamics,1998,1:781-808
Horvath. Sectoral Shocks and Aggregate Fluctuations. Journal of Monetary Economics,2000,45:69-106
Ireland Peter N. A Method for Taking Models to the Data. Journal of Economic Dynamics andControl,2004,24:1205-1226
Jess Benhabib, Roberto Perli. Persistence of Business Cycles in Multisector RBC Models. WorkingPapers from C.V. Starr Center for Applied Economics, New York University,2005
Jovanovic, Boyan. Micro Shocks and Aggregate Risk. Quarterly Journal of Economics,1987,102:395-410
King, Plosser, Rebelo. Production, Growth and Business Cycle: Technical Appendix. ComputationalEconomics,2002,20:87-116
Long, Plosser. Real Business Cycle. Journal of Political Economy,1983,9:39-69
Long,Plosser. Sectoral vs. Aggregate Shocks In The Business Cycle. The American EconomicReview,1987,77:333-336
Norrbin, Stefan C, Don E Schlagenhauf. An Inquiry into the Sources of MacroeconomicFluctuations. Journal of Monetary Economics,1988,22:43-70
Norrbin, Stefan C, Don E Schlagenhauf. Sources of Output Fluctuations in the United States duringthe Inter-War and Post-War Years. Journal of Economic Dynamics and Control,1990,14:523-551
Norrbin, Stefan C, Don E Schlagenhauf. The Importance of Sectoral and Aggregate Shocks inBusiness Cycles. Economic Inquiry,1991, XXIX:317-335
Olivier jean Blanchard, charles M Kahn. The solution of linear difference models under rationalexpectations. Econometrica,1980,48(5):1305-1311
Ryo Kato. A User Guide for Matlab Code for an RBC Model Solution and Simulation.2002,http://dge.repec.org/codes/kato/guide.pdf
Salem, Jacques. Contribution of aggregate and sectoral shocks to the dynamics of inventories: Anempirical study with French and American data. International Journal of production economics,1999,59:33-42
Uhlig H. A Toolkit for Analyzing Nonlinear Dynamic Stochastic Models Easily.1999,http://www2.wiwi.hu-berlin.de/institute/wpol/html/toolkit/toolkit.pdf
Shea J. Complementarities and Comovements. Journal of Money, Credit and Banking,2002,34(2):412-433
Vasco Carvalho. Aggregate Fluctuations and the Network Structure of Intersectoral Trade. WorkingPapers (Universitat Pompeu Fabra. Departamento de Economía y Empresa), No.1206,2009
陈昆亭,龚六堂,邹恒甫.基本RBC方法模拟中国经济的数值试验.世界经济文汇,2004,(2)：41-52
陈昆亭,龚六堂.现代均衡经济周期理论综述，中国经济周期研究报告.北京：社会科学文献出版社，2006
陈昆亭,龚六堂.粘滞价格模型以及对中国经济的数值模拟.数量经济技术经济研究,2006,(08)：106-117
杜清源,龚六堂.带“金融加速器”的RBC模型.金融研究,2005,(4)：16-30
段志刚，李善同，王其文.中国投入产出表中投入系数变化的分析.中国软科学，2006，（8）：58-64
耿鹏,赵昕东.基于GVAR模型的产业内生联系与外生冲击分析.数量经济技术经济研究,2009,(12)：32-45
何练.传统投入产出分析法改进研究[博士学位论文].长春：吉林大学，2010
黄赜琳.中国经济周期特征与财政政策效应——一个基于三部门RBC模型的实证分析.经济研究,2005,(6)：27-39
刘起运.宏观经济数量分析方法与模型.北京：高等教育出版社，2002
刘斌.动态随机一般均衡模型及其应用.北京：中国金融出版社，2010
孟彦菊.投入产出模型扩展研究[博士学位论文].成都：西南财经大学，2009
秦学志,张康,孙晓琳.产业关联视角下的政府投资拉动效应研究.数量经济技术经济研究,2010,(9)：3-17
孙广生.经济波动与产业波动（1986-2003）——相关性、特征及推动因素的初步研究.中国社会科学,2006,(3)：62-73
王嘉谟.实用非线性动态投入产出模型.北京：国防工业出版社，2003
王乃静.非线性动态投入产出模型与最大均衡增长率.系统工程，1990，（3）：22-25
王宪勇. DSGE框架下的中国经济波动研究[博士学位论文].大连：东北财经大学，2009
王岳平,葛岳静.我国产业结构的投入产出关联特征分析.管理世界，2007,(2)：61-68
徐高.基于动态随机一般均衡模型的中国经济波动数量分析[博士学位论文].北京：北京大学，2008
许伟,陈斌开.银行信贷与中国经济波动：1993-2005.经济学（季刊）,2009,(3)：970-994
张金水,成涛.中国六部门可计算非线性动态投入产出模型与参数设定.系统工程理论与实践,2000,(10)：49-52
张金水.中国六部门可计算非线性动态投入产出模型的平衡增长解.系统工程理论与实践，2000，（9）：35-40
张金水.数理经济学.北京：高等教育出版社，2008
Bill Dupor. Aggregation and irrelevance in multi-sector models. Journal of Monetary Economics,1999,43:391-409
Blanchard, Kahn. The Solutions of Linear Difference models under Rational Expectations.Econometrica,1980,48(5):1305-1311
Bouakez, Cardia, Ruge-Murcia. The transmission of monetary policy in a multi-sector economy.Working Paper (the Center for Interuniversity Research in Quantitative Economics), No.20,2005
Christiano, Eichenbaum. Current Real Business Cycles Theories and Aggregate Labor MarketFluctuation. American Economic Review,1992,82:430-450
Cogley Timothy, Nason James M. Output Dynamics in Real-Business Cycle Models. AmericanEconomic Review,1995,85:492-511
Dupor B. Aggregation and Irrelevance in Multi-Sector Models. Journal of Monetary Economics,1999,43:391-409
Finn E Kydland, Edward C Prescott.Time to build and aggregate fluctuations. Econometrica,1982,50(6):1345-1370
Gi Choon Kanga, Peter F Orazem. The relative importance of aggregate and disaggregate shocks inKorean business cycles. Journal of Asian Economics,2003,14:419–434
Gregory Huffman, Mark Wynne. The role of intratemporal adjustment costs in a multi-sectoreconomy. Federal Reserve Bank of Dallas Working Paper No.08,1995
Hornstein, Praschnik. Intermediate Inputs and Sectoral Comovement in the Business Cycle. Journalof monetary economics,1997,40:573-593
Horvath. Cyclicality and Sectoral Linkages: Aggregate Fluctuations from Independent SectoralShocks. Review of Economic Dynamics,1998,1:781-808
Horvath. Sectoral Shocks and Aggregate Fluctuations. Journal of Monetary Economics,2000,45:69-106
Ireland Peter N. A Method for Taking Models to the Data. Journal of Economic Dynamics andControl,2004,24:1205-1226
Jess Benhabib, Roberto Perli. Persistence of Business Cycles in Multisector RBC Models. WorkingPapers from C.V. Starr Center for Applied Economics, New York University,2005
Jovanovic, Boyan. Micro Shocks and Aggregate Risk. Quarterly Journal of Economics,1987,102:395-410
King, Plosser, Rebelo. Production, Growth and Business Cycle: Technical Appendix. ComputationalEconomics,2002,20:87-116
Long, Plosser. Real Business Cycle. Journal of Political Economy,1983,9:39-69
Long,Plosser. Sectoral vs. Aggregate Shocks In The Business Cycle. The American EconomicReview,1987,77:333-336
Norrbin, Stefan C, Don E Schlagenhauf. An Inquiry into the Sources of MacroeconomicFluctuations. Journal of Monetary Economics,1988,22:43-70
Norrbin, Stefan C, Don E Schlagenhauf. Sources of Output Fluctuations in the United States duringthe Inter-War and Post-War Years. Journal of Economic Dynamics and Control,1990,14:523-551
Norrbin, Stefan C, Don E Schlagenhauf. The Importance of Sectoral and Aggregate Shocks inBusiness Cycles. Economic Inquiry,1991, XXIX:317-335
Olivier jean Blanchard, charles M Kahn. The solution of linear difference models under rationalexpectations. Econometrica,1980,48(5):1305-1311
Ryo Kato. A User Guide for Matlab Code for an RBC Model Solution and Simulation.2002,http://dge.repec.org/codes/kato/guide.pdf
Salem, Jacques. Contribution of aggregate and sectoral shocks to the dynamics of inventories: Anempirical study with French and American data. International Journal of production economics,1999,59:33-42
Uhlig H. A Toolkit for Analyzing Nonlinear Dynamic Stochastic Models Easily.1999,http://www2.wiwi.hu-berlin.de/institute/wpol/html/toolkit/toolkit.pdf
Shea J. Complementarities and Comovements. Journal of Money, Credit and Banking,2002,34(2):412-433
Vasco Carvalho. Aggregate Fluctuations and the Network Structure of Intersectoral Trade. WorkingPapers (Universitat Pompeu Fabra. Departamento de Economía y Empresa), No.1206,2009
陈昆亭,龚六堂,邹恒甫.基本RBC方法模拟中国经济的数值试验.世界经济文汇,2004,(2)：41-52
陈昆亭,龚六堂.现代均衡经济周期理论综述，中国经济周期研究报告.北京：社会科学文献出版社，2006
陈昆亭,龚六堂.粘滞价格模型以及对中国经济的数值模拟.数量经济技术经济研究,2006,(08)：106-117
杜清源,龚六堂.带“金融加速器”的RBC模型.金融研究,2005,(4)：16-30
段志刚，李善同，王其文.中国投入产出表中投入系数变化的分析.中国软科学，2006，（8）：58-64
耿鹏,赵昕东.基于GVAR模型的产业内生联系与外生冲击分析.数量经济技术经济研究,2009,(12)：32-45
何练.传统投入产出分析法改进研究[博士学位论文].长春：吉林大学，2010
黄赜琳.中国经济周期特征与财政政策效应——一个基于三部门RBC模型的实证分析.经济研究,2005,(6)：27-39
刘起运.宏观经济数量分析方法与模型.北京：高等教育出版社，2002
刘斌.动态随机一般均衡模型及其应用.北京：中国金融出版社，2010
孟彦菊.投入产出模型扩展研究[博士学位论文].成都：西南财经大学，2009
秦学志,张康,孙晓琳.产业关联视角下的政府投资拉动效应研究.数量经济技术经济研究,2010,(9)：3-17
孙广生.经济波动与产业波动（1986-2003）——相关性、特征及推动因素的初步研究.中国社会科学,2006,(3)：62-73
王嘉谟.实用非线性动态投入产出模型.北京：国防工业出版社，2003
王乃静.非线性动态投入产出模型与最大均衡增长率.系统工程，1990，（3）：22-25
王宪勇. DSGE框架下的中国经济波动研究[博士学位论文].大连：东北财经大学，2009
王岳平,葛岳静.我国产业结构的投入产出关联特征分析.管理世界，2007,(2)：61-68
徐高.基于动态随机一般均衡模型的中国经济波动数量分析[博士学位论文].北京：北京大学，2008
许伟,陈斌开.银行信贷与中国经济波动：1993-2005.经济学（季刊）,2009,(3)：970-994
张金水,成涛.中国六部门可计算非线性动态投入产出模型与参数设定.系统工程理论与实践,2000,(10)：49-52
张金水.中国六部门可计算非线性动态投入产出模型的平衡增长解.系统工程理论与实践，2000，（9）：35-40
张金水.数理经济学.北京：高等教育出版社，2008