摘要
本文建立了一个能反映中国经济特征的两国DSGE模型,用1995～2011年中国和主要贸易对象国的宏观季度数据估计模型参数,研究了国际冲击对中国的传导机制。结果显示:(1)中国经济存在较高的价格粘性,且贸易和进口部门的价格粘性显著高于非贸易部门,这是汇率不完全传递的重要表现;(2)从估计结果看,我国当前的汇率制度更接近于附加较大持续性升值冲击的钉住汇率制,且国际利率冲击不会直接影响国内经济;(3)国际产出冲击主要通过国际风险分担机制传导;(4)国际价格冲击主要通过LOP缺口的调整机制传导;(5)国际冲击在我国的传导表现出了与汇率完全传递条件下完全不同的特征,不仅在量上,在影响的方向上都存在差异。
This paper investigates the transmission of international stock within a dynamic stochastic general equilibrium(DSGE) model for China economy.We fit our model to seasonal data between 1995-2011 of China and its trade partner,and find that:(1) Chinese economy has the higher price stickiness,and the price stickiness in trade and import sector are significantly higher than those in non-trade sector.it is the important manifestation of incomplete exchange rate pass-through.(2) China's current exchange rate system is closer to pegged exchange rate system with a large persistent appreciation shock,and the international interest rate shock does not directly affect the domestic economy.(3) The shock of international output conducts mainly through the international risk-sharing mechanism.(4) The international price shocks conduct mainly through the adjustment mechanism of LOP gap.(5) The conduction characteristics of international shocks in China are completely different,not only in quantity,but also in the impact direction,with that of complete exchange rate pass-through.
出处
《金融评论》
2012年第4期46-57,123,共12页
Chinese Review of Financial Studies
基金
"福建省高等学校新世纪优秀人才支持计划"(项目编号:JA10177S)资助成果之一
