价格刚性、异质性预期和通货膨胀动态

Price Rigidity,Heterogeneous Expectations and the Dynamics of Inflation

本文采用Chang等(2015)研究和处理过的中国宏观数据,沿用Dupor等(2010)一文使用的两步法,估计了中国市场环境中企业部门的粘性特征,发现:(1)粘性信息和粘性价格都有充分体现;(2)通过参数估计及脉冲响应分析,发现双粘性模型有别于混合新凯恩斯模型;(3)在双粘性模型下,企业调价频率平均为5个季度,基于最新信息最优定价的频率平均7.7个季度。在混合新凯恩斯模型中,企业前瞻理性预期的比重是72%,后顾适应性预期占比28%;(4)虽然双粘性和混合新凯恩斯模型的拟合优度难分伯仲,但数据更倾向匹配后者,这意味着在分析诸如中国的最优货币政策等问题时,仍应选择混合新凯恩斯。

Using the Chinese macro data which have been studied and processed by Chang et al.(2015)and following the method used by Dupor et al.(2010), we estimate the degree of stickiness and analyze the sticky characteristic of the firm sector in China. We found that:(1)Both sticky information and sticky price are present in Chinese data;(2)Dual stickiness models can be distinguished from hybrid New Keynesian models;(3)Under the dual stickiness model, the firm adjust prices every 5 quarters and use the latest information to determine prices every 7.7 quarters on average and under the hybrid models, 72 percent of the firms are forward-looking while 28 percent are backward-looking;(4)The data prefers the hybrid New Keynesian model over the dual stickiness model although the models 'goodness of fit are almost the same, which imply that we should still use the hybrid New Keynesian model when we study the monetary policy in China.