生产率冲击、随机趋势与经济波动

Productivity Shocks, Stochastic Trends and Economic Fluctuations

文章在新古典随机增长模型的框架下,扩展并简化了KPSW的计量经济学方法,并用它识别和测量了具有持久效应的生产率冲击对我国经济波动的影响。我们发现具有持久效应的生产率冲击不仅引起了这些变量长期趋势的随机变化,而且导致了投资和产出偏离随机趋势的短期波动。不过,生产率冲击的短期波动效应可能并不具有实际上的重要性。

Under the theoretical framework of neoclassical stochastic model, this paper develops and simplifies KPSW' econometric procedure. The new procedure is used to measure the effects of permanent productivity shocks on economic fluctuations. We find that permanent productivity shocks induce the stochastic trends of consumption and its transient fluctuations,which are of no practical importance.