城镇居民非参数消费敏感度模型及应用——基于局部线性工具变量估计方法
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引用本文:张五六.城镇居民非参数消费敏感度模型及应用——基于局部线性工具变量估计方法[J].经济数学,2012,(2):87-91
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张五六 (华侨大学 数量经济研究院,福建 厦门361021) 
中文摘要:建立了城镇居民非参数消费敏感度模型,该模型不需做任何形式假设,避免了线性及非线性模型的误设.采用局部线性工具变量方法对其进行估计,结果表明城镇居民消费敏感度是时变的,和居民收入变动保持同步,支持流动性约束假说.另外高通货膨胀时的负实际利率变动比低利率、温和通胀时造成的负实际利率变动对消费支出的冲击要大得多.因此在增加城镇居民收入,突破流动性约束瓶颈的同时,高度关注通货膨胀,使得其消费水平得到真实提高.
中文关键词:城镇居民消费  非参数消费敏感度模型  局部线性工具变量估计  流动性约束假说
 
Nonparametric Sensitivity Model of Urban Household Consumption and Its Application——Based on Local Linear Instrumental Variables Estimation
Abstract:This paper established a nonparametric sensitivity model of urban household consumption, which does not need any form of assumptions, thus avoiding the misspecification of linear and nonlinear models. The local linear instrumental variable method was applied to estimate it, and the results show that the sensitivity of urban household consumption is time-varying, and keeps pace with income changes, which supports the hypothesis of liquidity constraints. And the author also finds that the changes of negative real interest rate coming from high inflation will cause much greater impact on the urban household consumption than the changes of negative real interest rate coming from the low interest rates and moderate inflation. Therefore, we should be highly concerned about inflation when we increase the income of urban household and break the bottleneck of liquidity constraints.
keywords:urban household consumption  nonparametric sensitivity model of consumption  local linear instrumental variables estimation  hypothesis of liquidity constraints
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