金融摩擦、粘性价格模型与产出波动——基于中国季度数据的实证分析

Financial Frictions,Sticky Price Model and Output Fluctuation——Empirical Analysis of China's Quarterly Data

国内外学者在分析金融摩擦问题时,大多将粘性价格作为一个隐含条件,或者侧重粘性价格与金融摩擦的某些方面或特征来分析金融摩擦对经济的影响,因此得出的结论往往有失偏颇。文章认为,粘性价格理论作为新凯恩斯主义分析理论的基础,在分析金融摩擦对经济的影响时,需要考虑粘性价格问题。从这样的角度出发,将粘性价格模型与金融摩擦结合起来,构建了一个包含金融摩擦与粘性价格的扩展DSGE模型,在粘性价格的条件下,分析金融摩擦对实体经济主要经济变量的影响渠道及效果。通过分析发现:粘性价格对金融摩擦的作用渠道与效果影响巨大。当经济中存在价格粘性时,经济变量特别是产出水平受金融摩擦的冲击比较大,产出水平的周期性波动也比较明显,周期性波动持续的时间也比较长;当经济中不存在粘性价格时,产出水平受冲击较小,产出水平周期性波动不明显。

Most domestic and overseas scholars take sticky price as an implied condition or focus on some features of sticky price and financial frictions to analyze the impact of financial frictions on economy when they analyze financial frictions,so their conclusion is often biased.This paper believes that if the sticky price theory,the basic of the New Keynes Doctrine theory,is used to analyze the impact of financial frictions on economy,the sticky price problem has to be taken into account.Thus,this paper considers both sticky price model and financial frictions,builds an expanded DSGE model that covers financial frictions and sticky price,analyses the impact of financial frictions on the main economic variables of the real economy in the context of sticky price.The results show that sticky price has a strong impact on the channels and effect of financial frictions.When there is price stickiness in the economy,economic variables,the output level in particular,are subject to a strong impact from financial frictions,and periodical fluctuations in output level are obvious and last long;When the sticky price does not exist in the economy,the shock of output level is smaller and the periodic output fluctuations would not be obvious.