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生产要素使用效率不仅在微观层面上对企业成长有重要意义,而且在宏观层面上也具有特殊的理论意义,中国政府正在提倡的"转方式"以及建立"资源节约型社会"便与此密切相关。本文将要素使用效率以内生的方式引入动态一般均衡模型,利用贝叶斯极大似然方法估计了模型的结构参数,基于贝叶斯估计的后验让步比率显示,实际经济更倾向于选择具有要素使用效率动态的模型,说明它更好地解释了中国数据。进一步的实证研究也表明要素使用效率机制对于正确理解中国宏观经济动态是不可或缺的。
Abstract：The efficiency of factor utilization( EFU) not only has important significance for the enterprise growth from microeconomic perspective,but also has special theoretical significance from macroeconomic perspective. This paper introduces the efficiency of factor utilization into a DSGE model. The EFU not only enters the aggregate production function,but also can be endogenously chosen by rational agents. We estimated the structural parameters with Bayesian MLE method. The marginal data density shows that the real economy prefers to choose the model embedded the efficiency of factor utilization,which reflects relatively better explanation power of china data. Further research shows as following:( 1)EFU mechanism increases the magnitude and persistence of output effect of neutral technology shocks;( 2) The adjustment of labor utilization efficiency is more difficult than that of capital utilization,but labor utilization is much less volatile than capital utilization;( 3) Without EFU,the volatility of TFP shocks will be highly over-stated,and TFP itself will be incorrectly over-stated by forty-five percent;( 4) According to the historical simulations,we identify that the endogenous factors of efficiency has strong explanatory power on output wave,especially contributed to output in"the eleventh five-year plan"period. These results show that EFU mechanism is a non-negligible factor to correctly understand china economy dynamics.
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①这里的调整成本凸性设定来自于Christiano,Eichenbaum,and Evans(2005)。
①投资冲击的思想来源于凯恩斯,即经济中存在对投资的边际效率的冲击。
②出于篇幅原因,对数线性化的技术细节以及整个线性模型在此不再给出,有需要者可与作者联系。
③引入贝叶斯方法并为参数设定先验分布,这不仅可以利用先验信息提高参数估计的效率,也可以避免一般的极大似然方法得到不合实际的估计值。
④这里贝叶斯极大似然估计值是通过估计后验分布得到的mode,因为这已经是在最大后验密度处取值。当然,也可以进一步采取Metropolis-Hastings数值方法获得参数的后验均值,但这会提高估计的成本,相对于我们的研究重心,其意义并不是很大。
⑤由于文中共引入了三种外生冲击,为了避免出现随机奇异性问题,我们引入三个观测变量。
①我们对两类模型并不进行先验的歧视,因此先验模型比率设定为1。
②在标准RBC模型中没有要素使用效率的机制,将资本视同有效资本,因此技术冲击下的当期资本存量不会产生反应,而在考虑要素使用效率的模型中,资本效率的内生提高使得有效资本在当期也可以获得提高。
③实际上,其他冲击也有类似效应。然而我们这里主要关注技术冲击,因为后文也将指出,要素使用效率和技术冲击有着非常紧密的联系。
④文中带帽的变量都是变量对稳态的偏离率,比如,a^lnA t-lnA。
⑤a^u表示使用效率模型中的技术冲击,a^nu表示忽略使用效率模型中的技术冲击。
基本信息:
DOI：10.19343/j.cnki.11-1302/c.2013.12.006
中图分类号:F124.8
引用信息:
[1]刘宗明.生产要素使用效率与中国宏观经济波动[J].统计研究,2013,30(12):48-55.DOI:10.19343/j.cnki.11-1302/c.2013.12.006.
2013-12-15
2013-12-15