中央银行应当关注相对价格的变化吗_

91200910()ChinaEconomicQuarterlyVol19,No11October,2009?32:,,,:,2,,,,:!,3,;,:,99,200444;:13524023799;E2mail:[e-mail],;,?:(1)(non2trivial)?(2)?(3),,,,?(positive),:!(negative),©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.()92,,,:2;,,??,2,?,,(i2dentified)2:,,;,,,,,Bernankeetal.(2004),:,,,,,,:,2,,2,,,©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(2000)(),,GanleyandSalmon(1997)HayoandUhlenbrock(1999)GertlerandGilchrist(1994)GeorgopoulosandHejazi(2009)22,(2005)(2008),2(,),22,21DedolaandLippi(2000)197519975OECD21,:,(cross2indus2trydistributionofpolicyeffects),:,;,PeersmanandSmets(2005)PeersmanandSmets(2001),19781998()711:,;,2Ded2olaandLippi(2000),:,2;,2,(coverageratio,),,BarthIIIandRamey(2000)195919962,2,:,()2()©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.()9,(costchannel)(commoditypriceindex),;BalkeandWynne(2003)19592001PPI(8616),:(),,2;,,22BarthIIIandRamey(2000)BalkeandWynne(2003)DavisandHaltiwanger(2001),3,2,,,12,;,,Bilsetal.(2003)BilsandKlenow(2002),CPI350(priceduration)2,2,,8,,;,1,VAR,,2,:,;3©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.:,2,,,2090,VAR,,199620072002(2002),,,4Epanechnikov(leastsquarescrossvalidation)2,(skewness)(kurtosis),,4,1()()();,,,,,:,,(),:,,,,,,?,©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.()91()()()2,(,)(,),©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.()()()()(balancedpaneldata),,,,,,,,,200220035,(2008),,:(relativepricedispersion);,(Yun,2005),5,??,22,?,,,©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.()92()()(),()(),,©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.()()()(),,:,,?©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.()9,,,,,,,26,6,7,,,,2,,p,SUR(seeminglyunrelatedregressionmodel),VAR,,BarthIIIandRamey(2000)BalkeandWynne(2003):(identified),Bilsetal.(2003)PeersmanandSmets(2005),OLS;,,yi,t=0+i,1yi,t-1++i,pyi,t-p+impt-1+i,t,i,ti.i.d.N(0,2i),(1):yi,t2i,mpt,VAR,,,{i,t},Eti,t-kj,t-s=0,ijorks,;,:(1)mpt,()i,t,p=2,OLS(1)7,^i,^i,1,,^i,p©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(),4,,,(13),,1,,20,,34,:,,,23(),,:,:,2,2,,4:,,,,,BarthIIIandRamey(2000)BalkeandWynne(2003),2©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.()932()()©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.()2()()©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.()942()()©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.()2()()©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.()9,,,,,(homogenous):2;,(,PPI),,,,??,FAVAR,:?,:;,,,,,?8,Boivinetal.(2006)Mumtazetal.(2009)Altissimoetal.(2007),,,,,,,,BernankeandBoivin(2003)Bernankeetal.(2004),2,(outputcomponentpuzzle,Angelonietal.,2003)(Sims,1991)BernankeandBoivin(2003)Bernankeetal.(2004)StockandWatson(1999,2002),VAR(FAVAR,factor2augmentedVAR)8:,,,©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(1995);Angelonietal.(2003)ErcegandLevin(2006),VAR(p):VAR()22PPICPI7:;()2(),;910,,,2;,,,,,11VAR,Leeperetal.(1996)Zha(1997)BernankeandMihov(1998)Christianoetal.(1996,1998),Rudebusch(1998)VAR,1999:,(8.93%);,2.45%,(1996Q12007Q4)VAR,,p=19,,102,VARFAVAR,,VAR11,,VAR(instantaneousimpact)Chol2esky,(1)mpt©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.()95(VAR)51;210%90%(©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.),,2:5,(-0.1%);,1,2(0.05%);0,2;,(0.2%)1212Angelonietal.(2003),2,;,13Lin(2003)(long2runhomogeneity)142,,:13,PPICPI0.05%0103%;,PPI,PPICPIPPI/CPI,,-0.01%,1,,352,,2,VAR,2,;,,VAR,,213,2;:,2142,BarthIIIandRamey(2000),ChristianoandEichenbaum(1992);Chari,ChristianoandEichenbaum(1995)Christiano,EichenbaumandEvans(1997),(©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.()9),:(),,2:,()2(),BalkeandWynne(2003):,,Henzeletal.(2007)2DSGE,,;Rabanal(2007)Bayesian,,,,VAR,1515,,,FAVAR,,Bernankeetal.(2004);,BernankeandBoivin(2003)StockandWat2son(2002)YtM2;FtK2,Ft(Ft,Yt)FtYt=(L)Ft-1Yt-1+vt,(2):(L)d,vt02Q,YtVAR(2):,(L)YtFt-10Ft,N2XtYt:'1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.=fFt+yYt+et,(3):fyNKNM;et(N2)0(weaklycorrelated),(3)YtFtXt:Yt,XtFt(noisymeasure),(two2stepprincipalcomponentap2proach)(2)(3),:XtK+M(commoncomponent)Ct;^Ft^CtYt(co