萨金特理性预期理论的实证检验

以中国货币政策为例

Translated title of the contribution: The Empirical Analysis and Test of Sargent's Rational Expectations Theory: Discussion on the Monetary Policy of China

刘 伟

Research output: Contribution to journalArticle

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Abstract

Base on commenting and testing the theory of rational expectations on Sagent, this paper thinks the one-way change about the economic policy and macroeconomic variables of Sargent's is under the premise of rational expectations. Under the adaptive expectation, the relationships between the economic policy and the macroeconomic variables are two-way causal relationship. Using Chinese data, The results show that, in the short term, whether the anticipated money supply or unanticipated monetary supply have effect on output,, and the effect of unanticipated monetary policy on output is greater than anticipated, monetary policy on the output In the long term, the expected money supply has no effect on the actual output, the monetary policy is neutral, thus as ogle of the macro-control police, the monetary policy should not be changed for a long time.
Original languageChinese (Simplified)
Pages (from-to)137-147
Number of pages11
JournalJournal of Economics of Shanghai School
Volume11
Issue number3
Publication statusPublished - 2013
Externally publishedYes

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Rational expectations
Expectations theory
China
Empirical analysis
Monetary policy
Empirical test
Money supply
Economic policy
Macroeconomic variables
Adaptive expectations
Testing
Police

Keywords

  • Currency Policy
  • Macroeconomic Economy
  • Rational Expectation
  • Adaptive Expectation

Cite this

萨金特理性预期理论的实证检验 : 以中国货币政策为例. / 刘伟.

In: Journal of Economics of Shanghai School, Vol. 11, No. 3, 2013, p. 137-147.

Research output: Contribution to journalArticle

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title = "萨金特理性预期理论的实证检验: 以中国货币政策为例",
abstract = "萨金特基于其宏观经济模型认为,在理性预期的前提下,经济政策与宏观经济变量之间是一种单向的因果关系,导致货币政策无效。但在现实经济中,理性预期只是适应性预期的一种极端情况。如果将萨金特的理论前提从理性预期转换为适应性预期,则货币政策与宏观经济变量之间的关系只能是一种双向因果关系。利用中国的数据检验萨金特模型则不难看出,在短期内,不论是预期的还是未预期的货币政策均影响产出,只是后者对产出的影响大于前者;在长期内,预期到的货币政策对实际产出没有影响,即货币政策是中性的。因此,作为宏观调控手段之一的货币政策在中国不宜长期化。",
keywords = "Currency Policy, Macroeconomic Economy, Rational Expectation, Adaptive Expectation, 货币政策, 宏观经济, 理性预期, 适应预期",
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KW - Currency Policy

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