摘要
2008年金融危机的影响至今仍然在不断蔓延与深化，与此同时，主流宏观经济模型对金融危机的预测仍然有一定困难。与数十年来金融危机爆发越来越频繁的事实相矛盾，建立在传统理性预期理论上的宏观经济模型相对于现实过于抽象，分析过程也过于简化，忽略了经济运行中存在的不确定性，尤其是将行为人情绪因素的考量完全抛弃。在理性预期理论抛弃了可能引起经济偏离均衡状态的公众心理与情绪成分后，关于公众信心的研究也从经济学研究的领域中几乎销声匿迹。然而，受屡次金融危机预测失败的影响，经济学界对于理性预期理论过于理想化的质疑声不断出现，经济学家们再次将目光投向在此次全球性金融危机中起到关键作用的公众信心与公众情绪等因素上，将公众信心与公众情绪作为理解此次金融危机的一种新思路，让公众信心的概念及相关理论再次进入主流经济学研究的视野。鉴于上述背景，本文将致力于通过多种数理模型与计量手段，研究公众信心在我国宏观经济运行中的具体影响与作用机制。
本文研究的主要内容及创新点体现在如下五个方面：
1.本文首先对经济运行中的公众信心进行了具体的界定，从定义中可以看出，公众信心实际上是由对经济运行的基本反映与对未来经济的预期两种因素共同形成。通过对公众信心的作用机理进行简要介绍和基本分析，我们认为：公众信心的自我实现特征与宏观经济中的乘数效应相互配合，在长期中形成了公众信心对宏观经济运行的引致作用。而公众信心的自我实现特征得以产生和发展，并对宏观经济波动产生影响，需要依托一种传导机制作为中介，即公众信心的传导机制。公众信心的自我实现特征与信心传导机制共同形成了公众信心在宏观经济中的作用机制。
2.为了研究公众信心的具体形成原因，本文中首次通过附加长期约束的结构向量自回归模型，有效分解出了宏观经济中消费者信心和企业家信心的具体形成因素，并计算出各种因素的影响程度，这是本文的主要创新点之一。通过脉冲响应函数与方差分解的分析发现，在短期中，利率因素与信心冲击对消费者信心迅速产生影响，在消费者信心的变化中起到占绝大多数的作用，而在长期中，供给冲击和需求冲击对消费者信心的影响则逐渐上升。对企业家信心的分解中也发现了相似的结论，需求、贸易与利率等直接关系到企业利润与成本的因素会迅速影响到企业家信心的变化情况，而受技术进步水平制约的供给冲击对企业家信心的作用则存在较长的时滞，但影响程度较高。上述分析表明，消费者在短期中只能观察到对消费行为产生明显作用的经济变量，而对于企业家来说，他们更为关心市场中供给与需求变化，一些短期的政策调整或者突发性事件对于企业家信心的影响程度相对较小。
3.线性回归模型与格兰杰因果关系检验的结果表明，消费者信心变量对于宏观经济波动不存在显著的引致作用，而企业家信心变量对于宏观经济波动有显著影响。通过对企业家情绪的补充检验，确定了企业家信心本身确实能够有效地引致宏观经济波动，而并非是来自统计学意义上的巧合。为了分析企业家信心引致作用的非线性特征，本文中首次通过适用于非线性计量的TVAR模型进行实证研究，这是本文的主要创新点之二。根据TVAR模型的结果，企业家信心对宏观经济波动的引致作用在经济周期的不同阶段存在非线性特征。在经济繁荣时期，企业家信心冲击对宏观经济波动产生的影响比经济衰退阶段的影响高出一倍以上，造成这种现象的原因在于，企业家乐观情绪是在经济繁荣期间进一步推动经济增长的重要动力，但在衰退阶段却会对宏观经济造成负面影响。
4.为了分析公众信心对宏观经济的作用机理，本文在传统的DSGE模型中加入了公众信心作用机制，这是本文的主要创新点之三。估计结果显示，公众信心对投资决策行为具有显著影响，并且公众信心的变化也反映了宏观经济波动和投资收益率对其的作用。该结果进一步证实了在经济运行中公众信心作用机制的存在。脉冲响应函数的分析结果显示，当投资者在对未来充满信心时，投资的增加与产能的扩张也在一定程度上推动了宏观经济的繁荣，导致经济出现了产出、就业增加，但当投资者的投资热情消退时，产出将缓慢回归到新的经济均衡点。
5.经济政策的实施对于缓解公众信心冲击引起的宏观经济波动具有重要作用。为了检验宏观经济政策对于公众信心冲击的调控效果，本文通过经济模拟的方法，对包含公众信心调控政策的DSGE模型进行实证检验，这是本文的主要创新点之四。分析结果表明，对于公众信心冲击所引起的宏观经济波动，政府应当实施基于相机抉择原则的宏观经济调控政策，根据经济中具体的情绪冲击类型决定如何进行宏观调控。并且，政府应当直接针对投资者进行可置信威胁策略，以此有效地解决受公众信心作用的经济系统存在的过度投资问题以及所带来的对宏观经济的不良影响。
The impact of the financial crisis happened in2008continues to spread and deepen, at thesame time, the macroeconomic model developed for forecasting the financial crisis is stillhelpless.
In contradiction with the fact that the outbreak of the financial crisis happened more andmore frequently, macroeconomic model based on the traditional rational expectations theory is tooabstract and simple, which abandoned all the uncertainty in the economy and the behavior ofpeople's emotions completely. The study on public confidence almost disappeared from the fieldof economics research as the theory of rational expectations abandoned all the publicpsychological and emotional issues that may cause the market imbalances. However, affected byfrequently financial crisis prediction failure, the question of the rational expectations theory is tooidealistic arises. Economists have once again set their sights on public confidence and publicsentiment as a new way to study the financial crisis, hence the concept of public confidence isre-entering the field of economics research.
This paper consists of five parts as follows:
1. Firstly, we make a specific definition about public confidence in the economic. As thedefinition, we can find that public confidence is composed by two facts: the reflection ofeconomic and the expectation of future. The self-actualized characteristic of public confidence isable to affect the macroeconomic volatility via the transmission mechanism. The mechanism ofpublic confidence in the macroeconomic is consisting of self-actualized characteristic andconfidence conduction mechanisms.
2. By using the SVAR model, we decompose the consumer confidence and the entrepreneurconfidence into forming factors and calculate the degree of influence effectively. We find thatinterest rate and confidence shock impact on consumer confidence quickly in the short term, whilesupply shocks’ and demand shocks’ influences increase in the long term. Consumers can onlyobserve some economic variables which have a significant influence on consumer behavior in theshort term, and for entrepreneurs, they are more concerned about the supply and demand changes in the market, therefore the influence of some short-term policy changes or unexpected events forentrepreneurs’ confidence is relatively small.
3. The results show that consumer confidence has no significant effect on macroeconomicfluctuations, but macroeconomic fluctuations can be caused by the entrepreneur confidencevariables significantly. According to the TVAR model, the confidence of entrepreneurs hasnon-linear characteristics in different stages of the economic cycle. During the boom years, theimpact of public confidence on economic is double in quantity than the impact in the recessionphase, due to the fact that the optimism of entrepreneurs can promote the economic growth duringthe economic prosperity, yet it will have a negative impact in the recession phase.
4. DSGE model’s results show that public confidence has a significant impact on theinvestment decision-making behavior, and the change of public confidence is also influenced bymacroeconomic volatility and investment yield. The results confirm that the mechanism of publicconfidence in the economic exists actually. Impulse response function analysis shows thatinvestors will increase investment when they have confidence in the future, which will promotemacro-economic prosperity and cause an increase in output and employment. When the investors 'investment enthusiasm fade, the output will return to new economic equilibrium point.
5. We use the simulation method to analyze public confidence in DSGE model. The resultshows that government macro-economic policies should be implemented based on the principle ofdiscretionary choice, according to the type of emotional shock. In addition, the governmentshould implement credible threat strategies to investors to solve the problem of over-investmentand to reduce its bad influence.
引文
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