公众预期、货币政策与宏观经济波动——基于Agent新凯恩斯模型的经验研究

Pubic Expectation,Monetary Policy and Macroeconomic Fluctuations:An Empirical Study of Agent-based Neo-Keynesian Model

本文将ACE建模思想纳入到新凯恩斯理论框架,构建基于Agent的新凯恩斯模型,并利用拓展后的模型研究货币政策对宏观经济波动的影响。研究结果显示,我国经济中存在25%的家户是完全理性,存在73%的厂商是有限理性;产出与通货膨胀对货币政策冲击的反应较传统新凯恩模型平缓,并且持续时间更长;货币政策冲击是通货膨胀波动的主要来源,真实货币余额的偏好冲击可以解释大部分的产出波动。因此,在考虑了有限理性以及适应性预期后,经济的内在传导机制发生了变化,理解公众预期形式对分析宏观政策的经济影响至关重要。

The paper incorporates ACE theory into the framework of Neo-Keynesian DSGE model to construct Agent-based Neo-Keynesian model,and studies the impact of monetary policy on macroeconomic fluctuation by the new model.The result shows that 25% of the households in our economy are completely rational,and 73% of them are bounded rationality; the response of output and inflation to the impact of monetary policy is mild and lasts longer than the traditional Neo-Keynesian model; the impact of monetary policy is the main source of inflation fluctuations,and the preference shocks of real currency balances can explain most of the output fluctuations. Therefore,after considering the bounded rationality and adaptive expectation,the internal transmission mechanism of economy has changed,and understanding the public expectation form is of vital importance to the analysis of macroeconomic policy.