摘要
我们使用带有随机波动的时变参数向量自回归(TVP-VAR)模型考察经济产出和劳动就业的波动性、相关性及两者间的协同共动性特征,探讨了经济产出和劳动就业在供给冲击、需求冲击和货币政策冲击下的时变脉冲响应,并进一步通过构建新凯恩斯动态随机一般均衡(NK-DSGE)模型寻求经验事实的理论解释,理论模型的动态分析很好地匹配了经验证据。据此我们发现:经济产出和劳动就业间的协同共动性特征在金融危机后发生了明显的结构性转变。供给冲击和需求冲击的迅速下降是金融危机后产出和就业衰退的主要原因,也是两者联合动态结构性转变的重要驱动因素,同时经济结构转变和系统性经济政策的实施减缓了产出和就业的波动。模型中名义粘性的设定对冲击的扩散机制具有非常重要的作用,且不同的名义粘性对产出和就业波动的影响不同。
We use a time-varying parametric regression(TVP-VAR)model with random fluctuations to investigate the volatility,correlation and co-movement characteristics of economic output and labor employment,and discuss the time-varying impulse response of economic output and labor employment under supply shock,demand shock and monetary policy shock.Further,we construct the new keynes dynamic stochastic general equilibrium(NK-DSGE)model to seek theoretical explanations of empirical facts,and the model of dynamic analysis is good enough to match the empirical evidence.Based on this,we found that the co-movement between output and employment has undergone a significant structural shift since the financial crisis.The decline of supply shock and demand shock is the main reason for the decline of output and employment.Structural changes and the implementation of systematic economic policies have reduced fluctuations in output and employment.At the same time,both are important drivers of the combined dynamic structural changes between output and employment.Structural changes in the economy and the implementation of systematic economic policies are important factors for stabilizing output and employment fluctuations.Setting of nominal stickiness in the model plays an important role in the transmission mechanism of impact,and different nominal stickiness has different effects on output and employment fluctuations.
出处
《中央财经大学学报》
CSSCI
北大核心
2020年第3期78-100,共23页
Journal of Central University of Finance & Economics
关键词
产出波动
劳动就业
时变参数
货币政策
Output fluctuation
Labor employment
Time-varying parameter
Monetary policy
