银行家有限理性预期与中国经济波动

本文选取《银行家调查问卷》中的银行家宏观经济信心指数衡量银行家预期，采用门限自回归模型和广义脉冲响应函数检验了银行家有限理性预期对经济波动的影响，得到的主要结论与启示有：（1）银行家预期对经济波动的影响具有非对称性，体现为与理性预期状态相比，在有限理性预期状态下，各类基本面冲击所引起的经济波动更大，持续期更长，且银行家悲观预期对经济衰退的恶化作用要远强于乐观预期对经济繁荣的推动作用；（2）与其他类型冲击不同，当银行家预期处于有限理性状态下，价格冲击对于经济波动的影响不仅在程度上被显著抑制，而且形成了影响方向相反的典型化事实；（3）银行家预期不仅应作为市场主体预期的重要度量指标，在宏观调控预期管理中加以运用，还应纳入到宏观审慎监管政策工具箱，以服务于系统性金融风险监测预警体系构建与逆周期风险防控。
In this paper，we select the Bankers Macroeconomic Confidence Index from The National BankersSurvey to measure bankers’boundedly rational expectations and use TVAR model and generalized impulseresponse function to verify the influence of bankers’ boundedly rational expectations on economic fluctuations.The main conclusions and enlightenments obtained are as follows.（ 1） The impact of bankers ’expectationson economic fluctuations has asymmetric effect，which is shown as compared with the rational expectationregime；under the regime of the boundedly rational expectation，the economic fluctuations caused by varioustypes of fundamental shocks are larger and the duration periods are longer. Moreover，the deteriorating effectof banker’s pessimistic expectations on the economic recession is much stronger than the promotion effect ofbanker’s optimistic expectations on economic prosperity.（ 2） Different from the other types of shocks，underthe regime of boundedly rational expectation，not only is the impact of price shock on economic fluctuationssuppressed to a great extent，but the opposite direction appears in the response of economic fluctuation aswell（. 3） Bankers ’expectations should not only be used as an important measurement of market participants ’expectations，but also be brought into macro-prudential regulatory policy toolbox to serve building the systemicfinancial risk monitoring and early warning system and the counter-cyclical risk control mechanism