对我国治理通货膨胀成本的再估计——基于三种SVAR模型的比较分析

The re-estimation of the cost about managing inflation in our country——A relative analysis based on three kinds of SVAR model

为了准确估计我国治理通胀过程中付出的成本—牺牲率,在理性预期的假设下,首先将凯恩斯主义之IS-LM-PC模型的增长率形式表示成一种特殊的SVAR模型,并根据中国1993年第三季度到2011年第四季度的数据,分别基于Shapiro&Watson(1988)、Cecchetti(2001)和本文构建的三种SVAR模型得到牺牲率的点估计和区间估计。实证分析发现,利用季度数据和Cecchetti模型所得到的牺牲率点估计结果与前人研究结论基本一致。同时,本文使用自举方法模拟了牺牲率的经验分布,得到了牺牲率的区间估计。在90%的置信水平下,我国通货膨胀率降低一个百分点,实际产出的损失不超过3.86%.与前人的研究结果相比较,近年来中国经济的牺牲率明显扩大。

The objective of our country＇s economic policy has become to take precautions against inflation since 2008. It takes more than four years to implement the tight monetary policy, After May 2012 we realize this goal and make price to be stable. However, our economy suffered serious recession during this period. In order to estimate the cost that disinflation brings, that is sacrifice, this article, firstly, in the hypothesis of rational expectations, finds that Keynesian IS--LM--Phil- lips curve Model is a special SVAR model, which provides a theoretical basis for setting the SVAR model. Secondly, we derive point estimates of the sacrifice ratio and interval estimates of the sacri- fice ratio over the period 1993--2011, based on Shapiro g〉 Watson（1988）, Cecchetti（2001） and model built by this paper. We obtain point estimates of the sacrifice ratio that are consistent with results reported in earlier studies and interval estimates of the sacrifiee ratio by its empirical distri- bution, based on parametric bootstraps. We conduct a 90~ confidence interval, suggesting that somewhere less than 3.86~ of GDP must be sacrificed for inflation to fall one percentage point. Compared with results of previous studies, the sacrifice ratio is significantly expanded.