预期与经济波动--预期冲击是驱动中国经济波动的主要力量吗？

Expectations and Business Cycle:Can News Shocks Be a Major Source of China's Economic Fluctuations?

随着经济社会的发展,经济主体面临的不确定性和决策风险在不断增加,预期冲击已经成为影响经济波动的重要因素。本文尝试将预期冲击与中国经济结合起来研究,在动态一般均衡框架内探讨其动态特征,并从数量上测度其重要性。文中首先建立一个包含预期冲击的小型DSGE模型,探讨预期冲击驱动经济波动的机制及其动态特征。然后在此模型基础上,利用贝叶斯方法估计预期冲击解释改革开放以后中国经济周期波动的重要性。估计结果表明:预期冲击是改革开放以后中国经济周期波动最主要的驱动力,预期冲击可以解释超过三分之二的经济总量的波动。最后,本文在小型DSGE模型的基础上构建了一个包含更多冲击的大型DSGE模型,以考察上述结论是否稳健。结果表明,是稳健的。

In this paper, we formulate a simple DSGE model driven by news shocks. We introduce two types of real frictions （i. e. , consumption habits and investment adjustment costs） in this simple model, because the frictions are the important factors which can generate aggregate comovement. Then, based on this model, we use Bayesian methods to estimate the role of news shocks in driving China＇ s business cycles since China＇ s reform and opening up. We find that news shocks are the most important driving force of China＇ s business cycle and account for more than two thirds of predicted aggregate fluctuations. Finally, we built a large-scale DSGE model without nominal frictions in order to examine whether the conclusion of the simple model is robust. Our analysis proves that.