我国DSGE模型的开发及在货币政策分析中的应用被引量：331

Development and Application of the DSGE Model for Monetary Policy Analysis in China

导出

摘要 DSGE模型是近年来宏观经济及货币政策分析方面关注的一个重要研究方向,也是中央银行在经济建模方面的一个新视角,该模型的显性建模框架、理论一致性、微观和宏观分析的完美结合、长短期分析的有机整合等独特性日益受到中央银行的青睐。本文结合我国的实际情况,建立了一个带有"金融加速器"的开放经济DSGE模型,基于我国的数据,采用Bayes技术估计了我国的DSGE模型,并利用该模型进行了政策分析。 DSGE model is one of the important aspects of central bank＇s recent research on c and monetary policy analysis, and it provides central banks a new perspective in economic modeling. Many central banks are attracted by the unique characteristics of the model, such as explicit modeling framework, theoretical consistence,, perfect combination of micro and macro economic analysis, and the integration of short and longrun analysis. In this paper, the author builds up an open-economy DSGE model with financial-accelerator for monetary policy analysis and applies the Bayesian technique to estimate the model based on the actual data of China. The complexity of model design and the large scale of parameters by Bayesian estimation have never been seen in China.

作者刘斌

机构地区中国人民银行研究局

出处《金融研究》 CSSCI 北大核心 2008年第10期1-21,共21页 Journal of Financial Research

关键词 DSGE模型货币政策分析 BAYES估计 DSGE model monetary policy analysis Bayesian estimation

分类号 F822.0 [经济管理—财政学] F224 [经济管理—国民经济]

引文网络
相关文献

参考文献22

1Adolfson, M. , S. Laseen, J. Linde and M. Villani, 2005, “Bayesian Estimation of an Open Economy DSGE model with Incomplete Passthrough”, Sveriges Riksbank Working Paper 179.
2Bayoumi, T. , 2004, “GEM : A New International Macroeconomic Model”, IMF Occasional Paper Series, NO. 239.
3Benes, J. , T. Hledik, M. Kumhof and D. Vavra, 2005, “An Economy in Transition and DSGE : What the Czech National Bank's New Projection Model Needs”, CNB Working Paper Series, 12/2005.
4Bernanke, B. , M. Gertler and S. Gilchrist, 1999, “The Financial Accelerator in a Quantitative Business Cycle Framework”, Handbook of Macroeconomics, edited by J. Taylor and M. Woodford, Elsevier Science, North-Holland, 1341 - 1393.
5Christiano, L , R. Motto and M. Rostagno, 2002, “Banking and Financial Frictions in a Dynamic General Equilibrium Model”, Manuscript, Northwestern University.
6Christiano, L. , M. Eichenbaum, and C. Evans, 2005, “Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy”, Journal of Political Economy, 133( 1 ), 1 -45.
7Cristadoro, R. , A. Gerali, S. Neri and M. Pisani, 2006, “Estimating Open-Economy DSGE Models”, Presentation at the workshop “Practical Issues in DSGE Modelling” held by Bank of Finland, June 2006.
8Edge, R. , M. Kiley and J. Laforte, 2005, “An Estimated DSGE Model of the US Economy”, Manuscript, Board of Governors of the Federal Reserve System.
9Erceg, C. , L Guerrieri and C. Gust, 2005, “SIGMA: A New Open Economy Model for Policy Analysis”, International Finance Discussion Papers, No. 835, Board of Governors of the Federal Reserve System.
10Fujiwara I. , N. Hara, Y. Hirose and Y. Teranishi, 2004, “The Japanese Economic Model: JEM”, Bank of Japan Working Paper Series, No. 04 - E - 3.