Side-by-side Chinese-English


邓燕飞1 董丰2 徐迎风3 冯文伟4


【摘要】本文采用Chang等 (2015) 研究和处理过的中国宏观数据, 沿用Dupor等 (2010) 一文使用的两步法, 估计了中国市场环境中企业部门的粘性特征, 发现: (1) 粘性信息和粘性价格都有充分体现; (2) 通过参数估计及脉冲响应分析, 发现双粘性模型有别于混合新凯恩斯模型; (3) 在双粘性模型下, 企业调价频率平均为5个季度, 基于最新信息最优定价的频率平均7.7个季度。在混合新凯恩斯模型中, 企业前瞻理性预期的比重是72%, 后顾适应性预期占比28%; (4) 虽然双粘性和混合新凯恩斯模型的拟合优度难分伯仲, 但数据更倾向匹配后者, 这意味着在分析诸如中国的最优货币政策等问题时, 仍应选择混合新凯恩斯。

【关键词】 粘性信息;粘性价格;双粘性;混合新凯恩斯;异质性预期;


Price rigidity, heterogeneous expectations and the dynamics of inflation

DENG Yanfei1 DONG Feng2 XU Yingfeng3 FENG Wenwei4

(1.School of Economics, East China Normal University)
(2.Antai College of Economics and Management, Shanghai Jiao Tong University)
(3.Department of Economics, Faculty of Arts, University of Alberta)
(4.School of Economics at, Faculty of Economics and Management, East China Normal University)

【Abstract】Using the Chinese macro data that have been studied and processed by Chang et al. (2015) and following the method used by Dupor et al.(2010), we estimate the degree of stickiness and analyze the sticky characteristic of the business sector in China. The findings are as follows: (1) Both sticky information and sticky price are present in Chinese data; (2) dual stickiness models can be distinguished from hybrid New Keynesian models; (3) under the dual stickiness model, the firm adjust prices every five quarters and use the latest information to determine prices every 7.7 quarters on average, and under the hybrid models, 72 percent of the firms are forward-looking while 28 percent are backward-looking; and (4) the data prefers the hybrid New Keynesian model over the dual stickiness model although the models’ goodness of fit are almost the same, which imply that we should still use the hybrid New Keynesian model when we study the monetary policy in China.

【Keywords】 sticky information; sticky prices; dual stickiness; hybrid New Keynesian models; heterogeneous expectations;


Download this article

    [1]. ① The other three are respectively: basic characteristics in line with the DSGE framework, monopolistic competition, and short-term non-neutrality of monetary policy. [^Back]

    [2]. ② There is also salary rigidity. Price rigidity and salary rigidity have the same mechanism in the traditional sticky price theory, but their sources are different. In addition, Mankiw and Reis (2006), the founders of the sticky information theory, proposed that information stickiness, which causes that prices and wages cannot be adjusted in time, commonly exist. These studies focus on nominal rigidity. [^Back]

    [3]. ③ See Blanchard and Kiyotaki (1987) for the microscopic basis of the equation. The equation implies the mechanism of pro-cyclical inflation, namely that during the period of economic expansion, output demand rises, supply increases, the marginal cost of companies goes up, and the price of monopolistic competitive companies surges. However, whether inflation is pro-cyclical depends on the proportion of the companies adjusting their prices. [^Back]

    [4]. ④ The original code was provided by Associate Professor Tomiyuki Kitamura, one of the builders of the dual stickiness model, and the authors adjusted it slightly according to actual needs. [^Back]

    [5]. ⑤ With the addition of the MR model to the NK model, the variance of the gap between the theoretical inflation and the actual inflation decreased by 15.57%; when the NK model is added to the MR model, the variance decreased by 36.81%. This explains from another perspective that with China’s data, the sticky price model works better, consistent with the conclusion based on the US data. [^Back]

    [6]. ⑥ According to Footnote 13 of Dupor et al. (2010), Galí and Gertler (1999) and Galí et al. (2005) emphasized that the key parameters for assessing the relative importance of forward-looking and backward-looking behaviors are γfand γb, which are functions of γ and ω. When discount factor is 1, γf = γ/(γ + ω),γb = ω/(γ + ω) [^Back]

    [7]. ⑦ In this regard, the authors have something more for the discussion. Both technical methods can obtain the estimate of the output gap, but there is only one real output gap. If the model is correct, the obtained output gap estimate should be close to the potentially unobservable one, and then the parameter estimate is more accurate. If the output gaps obtained by these two methods are not consistent with the real output gap, but they are very close to each other, they are not necessarily accurate (in consistence with the objective), although the parameter estimate does not change much, that is, the result is robust. Therefore, the robustness test in this step is just one of the reference options. It is precisely because of this that Table 2 has previously listed the estimation results with certain differences of both models. As for which one to choose, although the study has referred to the research by Zheng Tingguo and other scholars, both conditions are still listed here. [^Back]

    [8]. ⑧ According to Dupor et al. (2010), Galí et al. (2001) and Walsh (2003) discussed a production function with a diminishing labor income, Yit= Nitα, where α < 1. In this case, the optimal pricing equation with complete information of companies has an additional coefficient, λ, in front of the marginal cost compared with the former forward-looking optimal pricing equation. In λ = α/[1 + (1 −α)(ν − 1)], ν is the alternative elasticity between different products. [^Back]

    [9]. ⑨ It is stated on page 129 in Mankiw and Reis (2002 that to some extent, the dynamic response of the sticky information model is similar to the Phillips curve with backward-looking adaptive expectations. It is also pointed out that the former with rational expectations and the latter with irrational expectations will produce very different results in terms of disclosing policy information beforehand and in time. [^Back]


    (1) Peng, X. Economic Research Journal (经济研究), (12) (2011).

    (2) Wang, L., Zhang, L. & Liu, W. Economic Research Journal (经济研究), (10) (2012).

    (3) Wang, J. Management World (管理世界), (8) (2009).

    (4) Xu, Z., Fan, H. & Xue, H. China Economic Quarterly (经济学(季刊)), (4) (2015).

    (5) Zhang, W. Economic Research Journal (经济研究), (3) (2008).

    (6) Zheng, T. & Wang, X. Economic Research Journal (经济研究), (10) (2010).

    (7) Ball, L., 1994, “Credible Disinflation with Staggered Price Setting”, American Economic Review, Vol. 84 No. 1, pp. 282–89.

    (8) Blanchard, O. J. and C. M., Kahn, 1980, “The Solution of Linear Difference Models Under Rational Expectations, Econometrica”, Journal of the Econometric Society, pp. 1305–1311.

    (9) Blanchard, O. J. and N. Kiyotaki, 1987, “Monopolistic Competition and the Effects of Aggregate Demand”, The American Economic Review, pp. 647–666.

    (10) Branch, W. A. and B. Mc Gough, 2009, “A New Keynesian Model with Heterogeneous Expectations”, Journal of Economic Dynamics and Control, Vol. 33 No. 5, pp. 1036–1051.

    (11) Calvo, G. A., 1983, “Staggered Prices in a Utility-Maximizing Framework”, Journal of Monetary Economics, Vol. 12 No. 3, pp. 383–398.

    (12) Chang, C., K. Chen, D. F. Waggoner and T. Zha, 2015, “Trends and Cycles in China’s Macroeconomy”, National Bureau of Economic Research, No. w21244.

    (13) Christiano, L. J., M. Eichenbaum and C. L. Evans, 2005, “Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy”, Journal of Political Economy, Vol. 113 No. 1, pp. 1–45.

    (14) Clarida, R., J. Gali and M. Gertler, 1999, “The Science of Monetary Policy: A New Keynesian Perspective”, National Bureau of Economic Research, No. w7147.

    (15) Dupor, B., T. Kitamura and T. Tsuruga, 2010, “Integrating Sticky Prices and Sticky Information”, The Review of Economics and Statistics, Vol. 92 No. 3, pp. 657–669.

    (16) Fischer, S., 1977, “Long-Term Contracts, Rational Expectations and the Optimal Money Supply Rule”, Journal of Political Economy, Vol. 85 No. 1, pp. 191–205.

    (17) Fuhrer, J. and G. Moore, 1995, “Inflation Persistence”, Quarterly Journal of Economics, Vol. 110, No. 1, pp. 127–159.

    (18) Friedman, M., 1968, “The Role of Monetary Policy”, American Economic Review, Vol. 58, pp. 1–17.

    (19) Galí, J. and M. Gertler, 1999, “Inflation Dynamics: A Structural Econometric Analysis”, Journal of monetary Economics, Vol. 44 No. 2, pp. 195–222.

    (20) GalíJ., M. Gertler and J. D. Lopez-Salido, 2001, “European Inflation Dynamics”, European Economic Review, Vol. 45, pp. 1237–1270.

    (21) Galí, J., M. Gertler and J. D. Lopez-Salido, 2005, “Robustness of the Estimates of the Hybrid New Keynesian Phillips Curve”, Journal of Monetary Economics, Vol. 52 No. 6, pp. 1107–1118.

    (22) Lucas, R. E., Jr., 1972, “Econometric Testing of the Natural Rate Hypothesis”, in O. Eckstein, ed., The Econometrics of Price Determination, Board of Governors of the Federal Reserve System.

    (23) Mankiw, N. G., 2001, “The Inexorable and Mysterious Tradeoff between Inflation and Unemployment”, The Economic Journal, Vol. 111, pp. 45–61.

    (24) Mankiw, N. G. and R. Reis, 2002, “Sticky Information Versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve”, Quarterly Journal of Economics, Vol. 117, No. 4, pp. 1295–1328.

    (25) Mankiw, N. G. and R. Reis, 2006, “Pervasive Stickiness”, American Economic Review, Vol. 96 No. 2, pp. 164–169.

    (26) Mankiw, N. G. and R. Reis, 2007, “Sticky Information in General Equilibrium”, Journal of the European Economic Association, Vol. 2, pp. 603–613.

    (27) Mccallum, B. T., 1997, “An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy: Comment”, National Bureau of Economic Research, Macroeconomics Annual, Vol. 12, pp. 355–359.

    (28) Mc Callum, B., 1998, “Stickiness: A Comment”, Carnegie-Rochester Conference Series on Public Policy, Vol. 49, pp. 357–363.

    (29) Meyer-Gohde, A., 2010, “Linear Rational-Expectations Models with Lagged Expectations: A Synthetic Method”, Journal of Economic Dynamics& Control, Vol. 34 No. 5, pp. 984–1002.

    (30) Phelps, E., 1968, “Money-Wage Dynamics and Labor Market Equilibrium”, Journal of Political Economy, Vol. 76, pp. 678–711.

    (31) Reis, R., 2003, “Where is the Natural Rate? Rational Policy Mistakes and Persistent Deviations of Inflation from Target”, Advances in Macroeconomics, Vol. 3 No. 1, pp. 1–38.

    (32) Reis, R., 2006a, “Inattentive Consumers”, Journal of Monetary Economics, Vol. 53 No. 8, pp. 1761–1800.

    (33) Reis, R., 2006b, “Inattentive Producers”, Review of Economic Studies, Vol. 73 No. 3, pp. 793–821.

    (34) Reis, R., 2009, “A Sticky-Information General-Equilibrium Model for Policy Analysis”, Monetary Policy under Uncertainty and Learning, pp. 227–284.

    (35) Rotemberg, J. J. and M. Woodford, 1997, “An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy”, National Bureau of Economic Research, Macroeconomics Annual, Vol. 12 No. 12, pp. 297–361.

    (36) Rotemberg, J. J., 1982, “Monopolistic Price Adjustment and Aggregate Output”, Review of Economic Studies, Vol. 49 No. 4, pp. 517–531.

    (37) Taylor, J. B., 1980, “Aggregate Dynamics and Staggered Contracts”, Journal of Political Economy, Vol. 88 No. 1, pp. 1–23.

    (38) Taylor, J. B., 1993, “Discretion Versus Policy Rules in Practice”, Carnegie-Rochester Conference Series on Public Policy, Vol. 39, pp. 195–214.

    (39) Trabandt, M., 2009, “Sticky Information vs. Sticky Prices: A Horse Race in a DSGE Framework”, Sveriges Riksbank Working Paper No. 209.

    (40) Walsh, C. E., 2003, Monetary Theory and Policy, MIT Press, 2nd edition.

    (41) Woodford, M., 2003, Interest and Prices: Foundations of a Theory of Monetary Policy, Princeton University Press.

This Article


CN: 11-1235/F

Vol , No. 09, Pages 17-26+187

September 2017


Article Outline


  • 1 Introduction
  • 2 Review and comparison of the models
  • 3 Chinese sticky characteristics under estimation of the models
  • 4 Dual stickiness model or hybrid New Keynesian model
  • 5 Summary
  • Appendix: Screening of data
  • Footnote