外债期限、生产结构与价格波动

External Debt Maturity,Production Structure and Price Volatility

本文首先通过构建一个包含家庭、企业、政府和外贸部门的四部门DsGE模型对长期与短期外债冲击影响微观主体行为(主要是企业和外贸部门)和价格波动的途径进行了对比分析,研究结果表明,不同外债冲击作用于生产结构和价格波动的机制存在差异,对于长期外债来说,全要素生产率的提高发挥着重要作用,而对于短期外债来说,进口成本优势则是影响企业生产决策行为的重要因素,相比而言,长期外债的增加更有利于在长期内实现国内中间品对进口中间品的逐步替代,并且对通货膨胀有一定的抑制作用。在理论分析基础上,本文以中国2003年6月至2012年6月的季度数据为样本进行FAVAR检验,贝叶斯估计结果与模型预测基本吻合。

This paper firstly proposes a four - sector DSGE model, including the household, the firm, the gov- ernment and the foreign trade sector, to compare the mechanisms through which long - term and short - term foreign debt impact the production structure and price volatility. For long - term debt, the enhancement of FTP plays an important role. For short - term debt, import - cost advantage is a significant consideration. Thus, an increase in foreign debt can do more favor to boost the gradual substitution of domestic intermediate goods for imported goods and curb the inflation. Based on theoretical analysis, we use the quarterly data of China between June 2003 and June 2012 to perform a FAVAR test. Bayesian estimation results are basically consistent with model predictions.