价格波动与资源配置效率研究

27620106StatisticalResearchVol.27No.6Jun.2010*。“”。。“”“”。1978－2007。C812A1002－4565201006－0022－07AnalysisonPriceFluctuationandResourceAllocationEfficiencyDingCongming＆ChenZhongchangAbstractThispaperstudiestherelationshipbetweenpricefluctuationandresourceallocationefficiencyfromthetheoreticalandempiricalperspectives.Theoreticalmodelshowsduetoadjustmentcostenterprisesinertlyconfrontsmallervolatilitywhichincreasestheirallocationinefficiency.Butgreatervolatilityincreasestheopportunitycostofconservativestrategyinordertoavoidthedisadvantageouseffectsfromgreatervolatilitymostoftheenterpriseswillchangetheirproductionplanandfactorinputratiopassively.Conservativestrategytoadjuststrategymeansthatpricefluctuationhasathresholdeffectonresourceallocationinefficiency.Usingstochasticfrontieranalysisandthepaneldatafrom1978to2007thisarticleconfirmsthatpricefluctuationhasanon-monotoniceffectonresourceallocationinefficiency.Wealsobelievethattraditionalanalysismayunderestimatethemalignantimpactofpricefluctuation.KeywordsPriceFluctuationAllocationEfficiencyThresholdEffectStochasticFrontierAnalysis*“”09YJC790277。、、、“”。NelsonPlosser1982Kydland＆Prescott1982Long＆Plossner1983。Ramey＆Ramey19951950－198592Ramey＆Ramey。“”Lucas1987。Ramey＆Ramey276·23·、。①。Canton2002Pindyck1991②Hnatkovska＆Loayza2003—、。Koseetal2006。Fata's＆Mihov2006。Hnatkovska＆Loayza2003Koseetal2006③Aghionetal2005。AhmetFaruk2007。Rafferty2004TFP。TechnologicalProgressAllocateEfficiencyFarrell1957Aigner＆Chu1968。①②Wang2002aSFA。、Mankiw1991Romer2006。。、。。。“”“”。。“”“”。pqp=a+b·qa0b0p0q0=p0－a/b。iFiii。i∈01Fi。。π=pq－cqcq。p0p1q1π1π1=p1p1－ab－∫p1－ab0()a+bqdq11p1q1=p1－a/b。q0=p0－a/bπ0=p1p0－ab－∫p0－ab0()a+bqdq2Δπ=π1－π0Δp=p1－p0Δπ=Δp2/2b。ΔπFiq0。ΔπFi·24·20106q1。iLi=Δp2/2bLi=Fi=f·i。iLi=Δp2/2bΔp2/2bFiFiΔp2/2b≥Fi{3FiFi～U0fiFi=f·iΔp2/2b≥fFi～U0fL=f/20≤Δp2/2bfΔp2/2bΔp2/2bf。ΔpΔp2/2bfΔp2/2bFi～U0Δp2/2b1－Δp2/2bfLi=Δp2/2bL=f2Δp22b≥fΔp22bfΔp24b+Δp22b1－Δp22()bf=Δp22b－Δp48b2f0≤Δp22bf44Δp2≤2bfΔp22bff/2。1。11。。。。。。。f/2。。、TFPFarrell1957AignerandChu1968TFPTechnicalprogressTPAllocativeefficiencyAE。。。Kumbhakaretal1991Huang＆Liu1994Battese＆Coelli1995uKGMHLBCCaudill＆Ford1993Caudilletal1995Hadri1999σ2uCFCFGH。Wang2002a2002blnyit=lny*it－uit5lny*it=X′itβ+vit6X′itβ=β0+Σkβklnxkit+12ΣkΣlβkllnxlitlnxkit7276·25·uit～hzit()δ·N+τσ28hzitδ=δ0expΔp21+expΔp2+δ1open+δ2human+δ3fegdp9vit～N0σ2v105uitlny*itlnyit6lny*itXvituitvit。σ2=σ2v+σ2uγ=σ2u/σ2v∈01γ=0vitγ1。78Tobitregressionuitzit、2006、。Δp2。9Logistic9Δp2uit①δ0Nτσ2。10vit。6－11、。5－101uituitzitδuit②。KGMHLBCCFCFGH2translogChristensenetal.1973Kim＆Young19923Logistic。《50》1999《》1985－2007301978GDP。ΔpΔp2。CPIPPI③GDPDPIGDPGDPGDP。2008。1978。2008。。①②③y=logisticxx0dy/dx0d2y/dx20x≥0dy/dx≥0d2y/dx2≤0Δp2≥010Δp2δ0Nτσ2。uituitzityituitxituituit2006。19921978－19912008。·26·20106。GDP。。。、15－10。1978－20072002b①。1。、、。、、。Ⅰ～ⅥⅠ～ⅡⅠⅡLogisticⅢ～ⅣⅢPPIⅣPPILogisticⅤ～ⅥGDPⅤⅥLogistic。11.Logistic。。LogisticLRLRLR。Ⅰ～ⅡLR175.35180.33Ⅲ～ⅣLR190.59192.36Ⅴ～ⅥLR192.11203.88LogisticLRGDPⅤ～Ⅵ。“”“GDP”。ⅥⅡ5%Ⅱ。2.、。1Ek=lny/lnk=0.5956－0.0572lnl+0.0832lnk－0.0075t0.578EL=lny/lnl=0.7025－0.0572lnk+0.0062t0.448Ek+El=1.026。EkEL0.00750.00622002。3.。Ⅱ。－4.42。1%①stata10http//homepage.ntu.edu.tw/～wangh/。276·27·11978－2007GDPⅠⅡⅢⅣⅤⅥ0.63126.380.59565.970.42014.460.40794.330.42924.570.46815.010.68153.690.70253.820.74044.420.75684.540.74014.430.75054.55×－0.0596－4.44－0.0572－4.28－0.0498－3.85－0.0481－3.72－0.0508－3.94－0.0547－4.300.041221.650.041622.010.042222.780.042222.840.042022.670.041522.630.00060.04－0.00085－0.050.00350.220.00190.120.00320.210.00240.16×－0.0081－5.49－0.0075－5.02－0.0022－1.62－0.0023*－1.68－0.0023*－1.68－0.0029－2.11×0.00703.680.00623.220.00010.05－0.0002－0.090.00050.320.00181.04－0.0372－2.61－0.0357－2.480.0201*1.710.02291.930.01851.580.01090.910.00145.910.00135.75－0.0000－0.32－0.0001－0.40－0.0000－0.430.00000.08－1.4022－2.84－1.3537－2.75－1.4322－3.27－1.470－3.36－1.4364－3.28－1.4858－3.43Logistic0.51783.510.24712.480.57105.062.67292.160.6754*1.864.36082.55－4.8047－7.46－4.4200－7.13－3.2697－6.90－3.2822－6.83－3.4400－7.00－3.2853－6.83－0.0424－2.06－0.0530－2.48－0.2704－5.50－0.2566－5.38－0.2518－5.14－0.2093－4.820.43762.430.51122.840.10810.610.11640.670.15840.900.55703.01175.35180.33190.59192.36192.11203.88733733862862862862①*10%5%1%②lnyituit③z。。、5%。Ⅰ～ⅡGDP。Ⅲ～Ⅴ。。、。。。“”·28·20106。。。“”“”。1978－2007。。。Lucas1987。①。TFP。1AizenmanJ.MarionN.VolatilityandInvestmentInterpretingEvidencefromDevelopingCountriesJ.Economica199966157－79.2Aghion.PAngeletos.GMBanerjee.AManova.K.VolatilityandGrowthCreditConstraintsandProductivity-EnhancingInvestmentJ.Workingpaper2005.3Canton.E.Businesscyclesinatwo-sectormodelofendogenousgrowthJ.EconomicTheory2002193477－492.4ImbsJ.“Growthandvolatility.”J.JournalofMonetaryEconomics20075418481862.5Koseetal.HowdotradeandfinancialintegrationaffecttherelationshipbetweengrowthandvolatilityJ.JournalofInternationalEconomics200669176－202.6MobarakA.M.DemocracyVolatilityandDevelopmentJ.TheReviewofEconomics