| 我国潜在产出、自然利率与均衡汇率的联合估计及其应用 |
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| 引用本文： | 邓创,吴泰岳,石柱鲜.我国潜在产出、自然利率与均衡汇率的联合估计及其应用[J].数理统计与管理,2012,31(3):398-408. |
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| 作者姓名： | 邓创 吴泰岳 石柱鲜 |
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| 作者单位： | 1. 吉林大学数量经济研究中心商学院,长春,130012
2. 北京联合大学旅游学院,北京,100101 |
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| 基金项目： | 国家社科青年基金项目(11CJL012);教育部人文社科青年基金项目(08JC790044);中国博士后科学基金面上资助项目(20080440144);中国博士后科学基金特别资助项目(200902490);吉林大学杰出青年基金B类项目(2011QG028) |
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| 摘 要： | 本文以开放经济下的新凯恩斯宏观经济动态模型为理论依据,基于状态空间模型方法对我国潜在产出、自然利率以及均衡汇率在统一的框架下进行了定量估计,并进一步计算出相应的产出缺口、实际利率缺口与实际汇率缺口,以此作为参照指标对我国宏观经济波动态势、名义利率调整行为以及人民币汇率水平的合理性进行系列分析。分析表明,本文所得到的估计结果不仅是合理、可靠的,而且可以作为我国宏观经济波动态势判断、货币政策制定和效果评价的有用参考。
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| 关 键 词： | 潜在产出 自然利率 均衡汇率 状态空间模型 |
Joint Estimation of Potential Output,Natural Rate of Interest and Equilibrium Exchange Rate in China |
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| DENG Chuang,WU Tai-yue,SHI Zhu-xian.Joint Estimation of Potential Output,Natural Rate of Interest and Equilibrium Exchange Rate in China[J].Application of Statistics and Management,2012,31(3):398-408. |
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| Authors: | DENG Chuang WU Tai-yue SHI Zhu-xian |
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| Affiliation: | 1 (1.Centre of Quantitative Economics,Business School of Jilin University,Changchun 130012,China; 2.Tourism College of Beijing Union University,Beijing 100101,China) |
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| Abstract: | This paper employed the state-space model to jointly estimate the potential output,natural rate of interest and equilibrium exchange rate in China.Based on output gap,gap of real interest rate and gap of real exchange rate calculated from this paper,we analyzed the business cycle,adjustment of interest rate and rationality of exchange rate in China.These analysis indicate that our estimation is not only rational and reliable,but also can be an useful reference for understanding of the business cycle and monetary policy formulation and evaluation in China. |
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| Keywords: | potential output natural rate of interest equilibrium exchange rate state-space model |
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