通货膨胀不确定性及其对宏观经济的影响论文.docVIP

通货膨胀不确定性及其对宏观经济的影响 马文涛 西安交通大学：马尔科夫范式转换模型方差不确定性和均值不确定性我国主要宏观经济变量（消费、投资及净出口）影响方差不确定性和均值不确定性分别导致了消费关键词通货膨胀不确定性马尔科夫范式转换宏观经济波动: 基金项目教育部应急课题“国际金融危机应对研究”(2009J YJ R058)Inflation Uncertainty and its Effects on Macroeconomy Ma Wentao (Xi’an Jiaotong University School of Economics and Finance, Shan’Xi Xi’an 710061) Abstract: Markov regime switching model is applied to analyze characteristic of inflation from January,1985 to July,2009, and its’ uncertainty ,which includes uncertainty related to inflation mean and uncertainty related to inflation variance, and the effect of uncertainty on macro variables, such as consumption, investment and trade surplus. The results shows that inflation uncertainty make an impact on fluctuation of consumption and has no influence on the fluctuation of investment and trade surplus. Specifically, uncertainty related to inflation variance leads to larger fluctuation of consumption, uncertainty related to inflation mean leads to smaller fluctuation of consumption. Inflation uncertainty highlights important role of macroscopic adjustment and control, active policy with efficiency and transparency can decrease uncertainty associated with consumption, establish consumption stability and sustainable growth, contribute to domestic demand and promote economic growth. Keywords: Inflation；uncertainty；Markov Regime Switching； Macroeconomic fluctuation 作者：马文涛。 地址：陕西省西安市咸宁西路28号西安交通大学东校区东14舍123室。 邮政编码：710061。 电子信箱：Mauricema2008@。 手机 一、引言 过去的20年间，完全预期到的通货膨胀能从微观层面减少经济个体未来经济形势不确定性宏观层面降低经济运行成本，避免不必要的损失。Friedman指出通货膨胀不确定性会减少市场价格的信息内涵，使价格不能有效地发挥引导市场交易活动的功能，并引起产出的下降[3]；Cabellero等认为，通货膨胀不确定性的上升会提高投资的期权价值，降低公司的投资意愿，并抑制投资活动，导致总产出的减少[4]；Reagan和Stulz的研究表明，较高的通货膨胀不确定性会导致总成本变大，即通货膨胀不确定性的提高可能会降低实际产出[5]；实证方面，Byrne 和Davis揭示出通货膨胀不确定性对美国非住宅投资的负面影响[6]，Grier 和Grief等发现通货膨胀不确定性对美国和墨西哥的实际产出有显著的负面影响[7]。另有部分学者认为通货膨胀不确定性对宏观经济有正面效应，Abel等发现生产函数的凹性意味着通货膨胀不确定性能够改变产出价格与可变成本比率，使得公司有激励去扩大资本支出[8]；Dotsey 和Sarte采用现金现行模型(cash-in-advance model)的分析显示，通货膨胀不确定性会促使居民增加预防性储蓄，