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

商业研究

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

赵玮

（西北农林科技大学经济管理学院，陕西杨凌 712100）

收稿日期:2017-06-21 出版日期:2018-02-22
作者简介:赵玮（1988-），女，山东德州人，西北农林科技大学经济管理学院讲师，经济学博士，研究方向：宏观金融与农业经济学。
基金资助:
国家社科基金项目，项目编号：14BJY00。

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

ZHAO Wei

(College of Economics and Management，Northwest A&F University, Yangling 712100,China)

Received:2017-06-21 Online:2018-02-22

摘要/Abstract

摘要： 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。

关键词: 有限理性, 异质性宏观预期, ACE模型, 新凯恩斯模型

Abstract: 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.

Key words: bounded rationality, heterogeneous macro expectations, ACE model, Neo-Keynesian model

赵玮. 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[J]. 商业研究.

ZHAO Wei. Pubic Expectation, Monetary Policy and Macroeconomic Fluctuations: An Empirical Study of Agent-based Neo-Keynesian Model[J]. 商业研究.

参考文献

注释： ① 这里的模型已经做了恒定化处理，所以模型中各个变量的确切含义均是每“有效劳动”的量。〖ZK)〗参考文献：〖HT5"F〗［1］Calvo, G. A. Staggered Contracts in a Utility Maximizing Framework［J］．Journal of Monetary Economics, 1983,12:383-398. ［3］Smets, F., R. Wouters. An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area［J］．The European Economic Association, 2003,l(5):1123-1175. ［4］Smets, F., R. Wouters. Shocks and Frictions in US Business Cycle: a Bayesian DSGE Approach［J］．The American Economic Review, 2007,97(3):586-606. ［5］Carroll, C. D. Macroeconomic Expectation of Households and Professional Forecaster［J］．Quarterly Journal of Economics, 2003,118:269-298. ［6］William A. Branch, Bruce Mcgough.A New Keynesian Model with Heterogeneous Expectations［J］．Journal of Economic Dynamics and Control,2009,33(5):1036-1051. ［7］Stron R, Price K. Differential evolution a simple and efficient heuristic for global optimization over continuous spaces［J］．Journal of Global Optimization, 1997,11: 341-359. ［8］Stron R, Price K. Minimizing the real functions of the ICEC’ 96 contest by differential evolution［C］．IEEE Conference on Evolutionary Computation, Nagoya, 1996:842-844. ［9］Colander, D., Howitt, P., Kirman,A.,et al. Beyond DSGE-models: toward an empirically based macroeconomics. American Economic Review［J］．Papers and Proceedings, 2008(98): 236-240. ［10］Anufriev,M., Assenza, T., Hommes,C., et al. Interest Rate Rules and Macroeconomic Stability under Heterogeneous Expectations［J］．Macroeconomic Dynamics, 2013,17(8):1574-1604. ［11］DeGrauwe, P. Animal Spirits and Monetary Policy［J］．Economic Theory, 2011,47(23):423-457. ［12］Delli Gatti,D.,E. Gaffeo, M. Gallegati. Complex agent-based macroeconomics: a manifesto for a new paradigm［J］．Journal of Economic Interaction and Coordination, 2010,5(2):111-135. ［13］Ozge Dilaver, Robert Jump. Agent-based Macroeconomics and Dynamic Stochastic General Equilibrium Models: Where do we go from here?［R］．Working paper，2016. ［14］An, S.,F. Schorfheide, Bayesian Analysis of DSGE Models［J］．Econometric Reviews, 2007,26(2):113-172.