基于DSGE模型的中国资产价格波动与货币政策分析

Monetary Policy and Asset Price Volatility Based on New Keynesian DSGE Model

基于新凯恩斯主义分析框架,结合托宾Q假说,通过构建包含货币部门的动态随机一般均衡(DSGE)模型,分析了技术冲击、政府支出冲击等外生冲击作用下产出、消费、投资和资产价格的动态响应。研究表明:货币政策对资产价格波动作出反应后能有效降低产出和通货膨胀的波动,减少社会福利损失;同时,供给冲击的动态脉冲响应值小于需求冲击的动态脉冲响应值,中央银行的货币政策操作应对来自需求冲击的变量作出反应。

This paper constructs a new Keynesian dynamic stochastic general equilibrium model by incorporating the hypothesis of Tobin's Q and monetary authority,and analyzes the dynamics of output and consumption under various exogenous shocks,such as technology shock and government spending shock.The study shows that monetary policy responding to asset price volatility can effectively reduce the volatility rate of inflation and output and decrease the social welfare loss.In the meanwhile,the dynamic responses to supply shocks are lower than the responses to the demand shocks,so the monetary authority should pay more attention to the responses to demand shock.