内生性时变参数消费敏感度模型及应用——以天津市城镇居民消费为例

Endogenous Time-Varying Parameter Model of Consumer Sensitivity and Its Application —A Case Study of Urban Household Consumption in Tianjin City

近些年来时变参数消费敏感度模型得到广泛应用,但其时变参数形式设置过于随意,内生性结构也没有得到足够的关注。本文建立了一个具有一般性的内生性时变参数消费敏感度模型,并构建了一个对两步卡尔曼滤波过程都适用的滤波理论方法,以处理模型的内生性结构。实证分析了天津市城镇居民的长期消费,该模型有效的处理了其内生性问题,且拟合效果很好,发现其消费敏感度是时变的,且经历了三个不同形成机理的规律性阶段.现阶段只有提高天津市城镇居民可支配收入,才能突破流动性约束的瓶颈,提高其消费需求。

In recent years, time-varying parameter model of consumer sensitivity is used widely, but the forms of time-varying parameter settings are too casual, the endogenous structures are not getting enough attention. This paper establish a general endogenous time-varying parameter model of consumer sensitivity, and construct a theoretical method of Kalman filter, which can be applied to two-step filtering process to deal with endogenous structure of the model. Empirical analysis for a long-term consumption of urban household in Tianjin, the model deals with the endogenous problem effectively, and the fitting results works well. The result shows that the sensitivity of consumption is time-varying, and has gone through three different stages regularity, corresponding to three different formation mechanisms. At this stage, only increase the disposable income of urban household in Tianjin in order to break through its bottleneck of liquidity constraints, improve its consumer demand.