美元定价约束下通货膨胀目标冲击的国际传导与福利效应

摘要/Abstract

摘要： 本文通过将贸易品美元定价约束纳入新开放经济宏观经济学（NOEM）理论框架，利用中美季度数据对不同资本市场结构下的两国模型进行参数估计，分析了模型的矩拟合能力与通货膨胀目标冲击的国际传导和福利效应。结果表明，包含噪声预期时的模型参数估计最理想，取消结构参数的对称设定并引入不对称贸易品定价约束，将显著改善模型的矩匹配效果。方差分解表明，通货膨胀目标是影响中美经济波动的重要外部冲击。借助脉冲响应冲击的研究显示，提高目标通货膨胀率虽有利于政策实施国的经济扩张，但导致贸易伙伴产出与消费同时下降，是典型的"以邻为壑"政策。福利分析发现，贸易开放度越高，外汇市场越偏离理性预期，通货膨胀目标冲击导致的福利损失就越大。

关键词: 噪声交易, 通货膨胀目标冲击, 福利损失, NOEM模型

Abstract: By further improving the NOEM model, we empirically estimate the two-country model under various capital market structures with quarterly data of China and U.S. We test moment match ability of the model and study the international transmission of inflation target shock in details. The paper reveals estimation of the model with noise exchange rate expectations is better than others. Relaxations of the symmetric structural parameters and introducing tradable goods pricing constraints significantly improve the model's moment match effect. Using variance decomposition we find inflation target shock is a key source of economic fluctuations of both countries. Further research with IRF analysis shows adjustment of inflation target benefits domestic economy but leads to obvious shrinking of trade partners' output and consumption, which is a typical beggar-thy-neighbor monetary policy. Welfare analysis proves that higher trade openness and more deviation from rational expectation of foreign exchange market result in larger welfare loss of inflation target shock.

Key words: noise trading, inflation target shock, welfare loss, NOEM model

中图分类号:

范爱军, 卞学字. 美元定价约束下通货膨胀目标冲击的国际传导与福利效应[J]. 世界经济, 2018, 41(2): 45-70.

Fan Aijun, Bian Xuezi. International Transmission and Welfare Effects of Inflation Target Shock under USD Pricing Constraint[J]. , 2018, 41(2): 45-70.

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