消费习惯形成、货币政策与中国经济波动——MIU模型与校准分析

Monetary Policy and Chinese Economic Periodic Fluctuation——Money-in-the-Utility Model with Habit Formation and Calibration Analysis

金融创新和货币政策因素对实体经济的影响越来越突出,经济现实需要我们构建包含货币政策的宏观经济波动模型。在中国的养老保险制度、社会保障制度和各项保险事业真正完善之前,根植于传统文化习俗和制度安排的消费习惯一时间很难改变,因此,本文建立了引入消费习惯形成因素的内含货币效用模型。经过校准分析和计量实证,本文认为,我国居民消费具有明显的习惯形成特征,引入消费习惯形成的MIU模型对中国现实经济有较好的拟合效果,能够解释产出波动的98%,与未引入消费习惯形成的基本RBC模型相比,对消费波动的解释能力显著提高。货币冲击对名义利率和通货膨胀率影响较大,可以解释其11.36%和10.27%的波动。货币冲击的初始影响小于技术冲击且持续时间较短。

In this paper, the author uses macroeconomic fluctuation model with monetary policy to analyze the impacts of financial innovation and monetary policy on the real econ- omy. Before the establishment of pension insurance system, social security system and other insurances, China＇s consumption habits rooted in traditional customs and institutional arrangement are hard to change, so we will introduce the habit formation into Money-in- the-Utility model. Based on calibration analysis and empirical evidences, we find that the behaviors of China＇s consumers show a strong habit formation and the model can explain about 98% of real fluctuation in output and perform better than basic RBC model in explain- ing the fluctuation in consumption. Furthermore, monetary shock can explain 11.36% and 10.27% of fluctuations in nominal interest rate and inflation rate respectively. The initial impacts of monetary shock are less than those of technology shock and last a shorter time.