扩张型货币政策能刺激就业吗_刚性工资模型下的劳动力市场动态分析

27620106StatisticalResearchVol.27No.6Jun.2010———、。、。、。、、。C812A1002－4565201006－0007－10CanExpansionaryMonetaryPolicyStimulateEmployment———LaborMarketDynamicsAnalysiswithWageRigidityModelWangJunbin＆XueHexiangAbstractThepaperprovidesempiricalevidencesoftheresponsesofemploymentoutputandinflationtomoneysupplyshockbasedonChinamacroeconomicdatausingVARmethod.Severaltypicalfactsreachaexpansionarymonetaryshockleadstohump-shapedbehaviorofemploymentwhichreachesitspeakafterthreequartersandremainhighvalueforanotherthreequartersafterthenemploymentdecreasesmildlyoverfutureperiods.Employmentshowsstrongpersistence.bExpansionarymonetaryshockleadstothehump-shapedbehaviorofinflationwhichreachesitspeakaftersixquarters.Positivemonetaryshockleadstopersistenceincreaseofinflation.Inflationdisplaysstronginertiaontheimpactofmonetaryshocks.cExpansionarymonetaryshockleadstomildincreaseofoutputmovinginthewayofhump-shapedlastingaboutfor20quartersandthenreturnestotheoriginallevel.Welayoutadynamicstochasticgeneralequilibriummodelincorporatedwithmonopolisticcompetitionandwagerigiditydemonstrateinwhatextensionofhowsuchtypeofmodeleconomycalibratedcanexplainthetypicalfactspresentedbytheempiricalevidenceaforementioned.KeywordsEmploymentStaggeredwagemodelInflationinertiaMonetarysupplyshock、。。——SVAR·8·20106、。。、、。。Taylor1999。Erceg1997。Ercegetal.2000、。HuangLiu2002。。。。。。Taylor1999。2002、。4。、。LiuPhaneuf2007。Semmler2003RBC20082006。SVAR。。。、。。。。、。。276·9·。。、。SVAR、。。。。。、SVAR。SVAR①②—。、SVAR。——————、SVAR。Christianoetal.1998①。。②。。Wold。OutputCt、πtM1Gt。1992120074。OutputCtOLSGDP。Outputt=α0+α1t+α2SD1+α3SD2+α4SD3+α5Dt+OutputCt①SD1SD2SD3Dt=0tTB1tT{BTB=2005Q1②。CPIM1πt=logCPIt－logCPIt－1M1Gt=logM1t－logM1t－1。VAR③VARVAROutputCtπtM1Gt′VAR④。1、。0Bootstrap200095%。1216。8。261520。。①②③④、。。Dt。。。·10·20106——SVAR。Labort。LabortLaborCt。Labort=α0+α1t+α2SD1+α3SD2+α4SD3+ftθγ+LaborCtSD。ftθ=0tTB1－exp－θt－TB+1t≥T{B①TB=19984γ。—M1②M1D_Mt=logM1t－logM1t－1M1Ct。D_Mt=β0+β1t+β2SD1+β3SD2+β4SD3+gtθχ+M1CtSDgtθ=0tTB1t≥T{BTB=19933。M1CtLaborCt′VAR。2①3。②32。812。SVAR①。②。③。1、、、CogleyNason1995Christianoetal.2005。。、、。。。01。h①②ftθ。SVAR。。SVARM1。276·11·2、maxE0Σ∞t=0β[tCth1－γ1－γ+a1－γmMthPt1－γm－ν1+γnNth1+γ]nS.T.Cth+MthPt+1RntPntBthPt+QthKth=WthPtNth+ZthKt－1h+1－δZKth×Kt－1h+TRth+Πth+Mt－1hPt+Bt－1hPt1t1－θw。。Bt－1h、Mt－1h、TRth、∏th、WthZCthBthRntMthKth。1.。。ηwNth=WthWt－ηwNt2Wt=∫10Wth1－ηwdh11－ηw2.。。h2。Calvo1－θw。h。maxWthEtΣ∞i=0βθw[i－ν1+γnWthW()t+i－ηwN()t+i1+γn+λt+iWthPt+iWthW()t+i－ηwN]t+iWthW*t。W*t=νηwηw－1EtΣ∞i=0βθwiNt+iγn+1Wt+iηwγn+ηwEtΣ∞i=0βθwiλt+iNt+iWt+iηwPt+i1ηwγn+131.。YjtDixitStiglitz1977Yt=∫10Ytjη－1ηdjηη－1Ytj=PtjPt－ηYt4Pt=∫10Ptj1－ηdj11－η。2.。η。jYtj=Kt－1jαNtj1－α4。·12·20106。MCt=α－α1－α－1－αZαtWtPt1－αPt=ηη－1MCnt。3.。ZKtKt－1ItKtQt。maxQtItKt－1Kt－1－It－ZKt1－δKt－1·′·0″·0φIK=1－δ+IKφ′IK=1IK。TRt+Mt－1Pt=MtPtlngt+1=1－ρmlng+ρmlngt+εmt+15gt=MtMt－1εmt0。hCth、Mth、Bth、KthWthh∈01jYtj、NtjPtjj∈01Rt、Pt、Wt1.2.3.4.。Ct=CthMt=MthBt=BthKt=KthYt=YtjPt=Ptj。、1。1β=0.98γ=1.0γm=1.0γn=1α=0.12ν=0.877α=0.5δ=0.025N=0.6ηw=2θw=0.75Q=1.0Z=1.053ZK=1.0κ=0.3ρA=0.95ρm=0.42α0.982%。γ=1γm=1RBC。1γnγn0.561γn0.162Zhang2008GMMγn=6.16GMMγn=1。a=0.12。α0.5ChowLi20021952－19980.5520000.5。δ0.02510%2004。Zhang2008η6ηw2θw0.75。N①N=0.602005。Q=1。K0.3。ρm=119921200745ρm=0.420.057。MarimonScott1999、。3－61%。3、①1992Q12007Q4。276·13·3、、4、5620、。。415。。520。610。、、、、。1.、。、。。。。。。。·14·20106。。。。Calvoθw0.75454%。2.。πwt=βEtπwt+1+λwMR^St－W^t+P^tπwt=λwEtΣ∞τ=0βτMR^St+τ－W^t+τ+P^t+τMR^St－W^t+P^t0。。3.。6。－0.99。。、。。13。HuangLiu2002。14。16。SVAR1。。120。。。。2552028。。。。212。。①。200899%。10①20081120。276·15·8%。。84200835.5%3。。2009。。200912008452%11%。。。2009。。200921.078273。。。。。、。200792008912.15%①CPI4.6%。BernankeCarey19961930。2008。。。。、。。。、a0.08、0.150.3Griffin1992260.50.75νκ0.1、0.20.3。。、。、。①“-”。·16·20106。。。。、、。。1、、.RBCJ20044.2、WilliSemmler.J200322.3.———RBCJ20066.4、.J20023.5、.———J2008.6、.2000.7.VAR20086.8BernankeB.S.andK.Carey《NominalWageStickinessandAggregateSupplyintheGreatDepression》JTheQuarterlyJournalofEconomics1996Vol.111No.3Aug.1996853－883.9ChristianoL.J.M.EichenbaumandC.L.Evans.《NominalRigiditiesandtheDynamicEffectofaShocktoMonetaryPolicy》JJournalofPoliticalEconomy2005Vol.113no.1.10ErcegC.J.《NominalWageRigidityandthePropagationofMonetaryDisturbances》J1997unpublishedpaperFederalReserveBoard.11ErcegC.J.D.W.HendersonandA.T.Levin.《OptimalMonetaryPolicywithStaggeredWageandPriceContracts》JJournalofMonetaryEconomics.462000281－313.12GriffinP.《TheImpactofAffirmativeActiononLaborDemandATestofSomeImplicationsoftheLeChatelierPrinciple》JReviewofEconomicsandStatisticsMay1992742251－60.13HuangK.X.D.andZ.Liu.《StaggeredPrice-SettingStaggeredWage-SettingandBusinessCyclePersistence》JJournalofMonetaryEconomics200249March405－33.14LiuZ.andL.Phaneuf.《TechnologyShocksandLaborMarketDynamicsSomeEvidenceandTheory》JJournalofMonetaryEconomics.5420072534－2553.15MarimonR.Scott.A.《ComputationalMethodfortheStudyofDynamicEconomics》OxfordUniversityPress2002NewYork.16TaylorJ.B.《StaggeredPriceandWageSettinginMacroeconomics》JinJohnB.TaylorandMichaelWoodfordeds.HandbookofmacroeconomicsVol.IB.AmsterdamNorth-Holland19991009－50.17ZhangW.《China'smonetarypo