货币政策不确定性、金融摩擦与经济紧缩效应——基于BGG-DSGE模型的分析

Monetary Policy Uncertainty,Financial Friction,and Economic Austerity Effect——Based on BGG-DSGE Model

本文首先使用GMM方法识别了我国的货币政策冲击,在此基础上采用粒子滤波算法测度了我国货币政策的不确定性。随后,构建了一个包含金融加速器机制的BGG-DSGE模型,系统考察了金融摩擦背景下货币政策不确定性的经济紧缩效应及其多样化传导机制。研究表明,我国货币政策不确定性具有较强的时变特性,其平均水平约为0.37%。不确定性对宏观经济具有明显的紧缩效应,这种紧缩效应会通过预防性储蓄、粘性价格和内生边际成本加成等传统渠道抑制消费、投资和劳动力雇佣。进一步研究发现,在金融摩擦情形下,不确定性冲击引起了价格水平(通胀)上升,从资本收益率和实际债务两方面改善了企业的资产负债表状况,降低了企业的外部融资溢价,一定程度上促进了投资,削弱了不确定性的紧缩效应。

This paper uses the GMM method to estimate the central bank’s Taylor rule and identify the shock of China’s monetary policy.Based on this,the particle filter method is used to measure the uncertainty of China’s monetary policy.Subsequently,a dynamic stochastic general equilibrium model(BGG-DSGE)including a financial accelerator is constructed to examine the austerity effect of monetary policy uncertainty and its diversified transmission mechanism in the context of financial friction.The results show that China’s monetary policy uncertainty has a strong time-varying characteristic,and its average level is about 0.37%.Uncertainty has a significant austerity effect on the macroeconomy which can curb consumption,investment and labor employment through traditional channels such as preventive savings,sticky price,and endogenous cost markup.Further research finds that in the context of financial friction,the uncertainty shock causes an increase in commodity price levels,increases the return on capital of enterprises in the short term,reduces the actual debt of enterprises,and improves the balance sheet situation.As a result,the external financing premium of the company is reduced,investment is promoted,and the austerity effect of uncertainty is weakened to a certain extent.