基于可变参数状态空间模型的中国总需求动态冲击因素分析

Based on the Variable Parameters of the State Space Model of China's Total Demand for Dynamic Impact Factor Analysis

本文基于可变参数状态空间模型,采用2002年第1季度到2011年第4季度的数据,考察了国外产出缺口、人民币名义汇率、生产者价格指数、国内固定资产投资总规模、国际大宗商品价格、职工工资总水平、资本市场和国外直接投资等变量对我国总需求的影响轨迹。结果表明:职工工资总水平对总需求的正向影响最强,其次是国外直接投资、国外产出缺口和固定资产投资,资本市场的正向影响微弱,人民币汇率、生产者价格指数和国际大宗商品价格与我国的总需求存在长期的负向关系。从当前的现实看,减少出口的政策会必然带来经济萎缩,应加大民生工程的投资,大力发展资本市场,增加居民的资本性收入,提升和满足国内的需求。

Based on the Variable parameters of the state-space model, using the first quarter 2002 to fourth quarter 2011 data, examines the foreign output gap, nominal exchange rate of RMB, the producer price index, the total size of domestic fixed asset investment, international commodity prices, workers the general level of wages, capital markets and foreign direct in- vestment and other variables on the impact of China＇s total demand trajectories. The results showed that： the overall level of wages positive effect on aggregate demand of the strongest, followed by foreign direct investment, foreign output gap and fixed asset investment, the posi- tive impact of weak capital markets, the RMB exchange rate, producer price index and the International Bulk commodity prices and China＇s total demand for long-term negative relationship exists. From the current reality, the policy will reduce exports will inevitably bring about eco- nomic decline, the investment should increase people＇s livelihood projects, vigorously develop the capital market and increase residents＇ capital income, to meet and enhance the level of domestic demand.