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SVARMA模型的设定、方差分解分析和应用

白仲林等   

  • 出版日期:2014-05-15 发布日期:2014-05-12

The Assumptions, Variance Decomposition Analysis and Application in SVARMA Model

Zhonglin Bai et al.   

  • Online:2014-05-15 Published:2014-05-12

摘要: 本文首先研究了传统凯恩斯主义IS-LM-PC模型的SVARMA模型表示,为宏观经济计量分析建立SVARMA模型提供了模型设定依据;其次,建立了VARMA/SVARMA模型方差分解分析方法;另外,基于SVARMA模型对中国宏观经济政策的动态效应进行了实证分析,实证分析发现(1)SVARMA模型与SVAR模型的分析结果存在重要的区别;(2)在政策实施6-7期前后,财政政策和货币政策对抑制通货膨胀的效果发生逆转;(3)宏观经济的价格水平存在粘性;(4)货币供给冲击对通货膨胀率的变化具有滞后的正向影响,对实际产出的影响不明显等。

关键词: SVARMA模型, 方差分解, 宏观经济政策, 动态效应

Abstract: This paper studies SVARMA model representation from the traditional Keynesian IS-LM-PC model firstly, which provides the basis on the establishment of SVARMA model for macro-econometric analysis. Then, this paper establishes variance decomposition analysis method of VARMA/SVARMA models. In addition, we do empirical analysis about the dynamic effects of China’ macroeconomic policies based on SVARMA model and obtain the following conclusions: (1) There are differences between results of SVARMA model and SVAR model; (2) Fiscal policy and monetary policy on inflation reversed after 6-7th quarter; (3) Price level of macroeconomic exists stickiness; (4) Money supply shocks bring lagged positive effects to changes in the rate of inflation, insignificant effect on real output and so on.

Key words: SVARMA Model, Variance Decomposition, Macroeconomic Policy, Dynamic Effects