关键词: 通货膨胀, 福利成本, 欧拉方程, 广义矩估计

Abstract: This paper empirically investigates the welfare cost of inflation in a money-in-utility function (MIU) model. In order to do this, as in modern monetary theory, dynamic optimizing framework of a representative agent is used. This optimizing process yields a system of stochastic nonlinear Euler equations that show the agent’s choices. The estimation procedure of inflation welfare cost is derived when Euler equations are in steady state. The empirical analysis employs the generalized method of moments (GMM) technique to estimate the parameters of the model by using monthly data for China, Jan.1995-Oct. 2012. Furthermore, the annual inflation welfare costs are estimated. We find that the inflation welfare cost is influenced by nominal interest rate more markedly than inflation rate, and for low rate of inflation welfare cost markedly increases with increase in inflation but this effect is diminished gradually. The estimation procedure derived in this paper is endowed some advantages that when one estimates inflation welfare cost, inflation rate and nominal interest rate could be employed simultaneously, but traditional approaches consider the latter only.

Key words: Inflation, Welfare Cost, Euler Equation, GMM