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本文基于中国宏观季度数据,运用SVAR方法,得出了我国利率冲击对消费、产出和通货膨胀的经验事实:下调利率的扩张性货币政策引起消费和产出都呈驼峰型的持续增长,通胀率先以倒驼峰快速下降然后正驼峰上升,惯性回复至稳态。同时,为进一步从经济理论上解析利率冲击对消费、产出和通胀的传导机制,模拟了一个融入“深度”习惯的动态新凯恩斯主义模型,并运用贝叶斯方法估计模型结构参数,发现其较好地拟合了上述三个经验事实。
Based on China’s macro-quarterly data and SVAR method, this paper draws empirical facts about the impact of interest rate shocks on consumption, output and inflation in China. Expansionary monetary policy that reduces interest rates has resulted in the sustained growth of both consumption and output in the form of a hump-shaped inflation. Take the lead in falling hump rapid decline and then positive hump rise, the inertia returned to steady state. At the same time, in order to further analyze the transmission mechanism of the impact of the interest rate on consumption, output and inflation from the economic theory, we simulate a dynamic New Keynesian model which incorporates “depth ” habit and use Bayesian method to estimate the structural parameters of the model, Found that it better fit the above three empirical facts.