美国经济冲击的来源与识别

The Sources of US Economic Shocks and Identification

基于美国1971—2012年间166个季度经济数据,研究了美国经济冲击的来源,从中识别出美国结构冲击。美国经济冲击主要包括供给冲击、需求冲击和货币冲击。供给冲击对通胀率的解释力最大,能解释通胀率预测误差方差的91%,而需求冲击是解释产出及利率变动的主要因素,分别能解释其预测误差方差的85%和47%,货币冲击则可以解释利率方差的43%。从模型中进一步识别出美国三种结构冲击的具体时间路径,能很好地对美国经济的历史数据进行解释。

Based on 166 quarters of the United States during 1971--2012,we study the source of the US economic shocks, and identify the US structural shocks. US economic shocks mainly include supply shocks, demand shocks and monetary shocks. Supply shocks which have the greatest explanatory power for inflation, can explain the inflation forecast error variance 91%. Demand shocks are the main factors of the changes in output and interest rates, explaining the two prediction error variance 85% and 47%. Monetary shocks can explain 43% of the interest rate variance. We further identify the specific time path of three structural shocks from the model, which can explain US historical data well.