基于DSGE模型的信贷、货币供应量传导研究

Study on the Transmission of Credit and Money Supply with DSGE Model

本文通过构建一个包含金融市场的新凯恩斯动态随机一般均衡模型,考察了贷款、货币供应量冲击在我国经济中的传导。采用了贝叶斯方法估计DSGE模型的参数,并运用脉冲响应分析冲击的传导。研究发现,DSGE模型对我国的经济数据拟合较好,且动态地刻画了冲击的传导过程;贷款和货币供应量冲击主要通过投资影响产出,而消费对冲击的传导作用较小。

This paper studies the shocks from the uansmission of credit and money supply by consuucting a dynamic stochastic general eqillhrium model （DSGE）, which contains financial market based on the New Keynesian Theory. The Bayesian method is employed to esnate the parameters of DSGE model, also impulse resnse is employed to analyze the transmission of the shocks. The findings are as follow： This DSGE model perfectly simulates China＇s economy data and successfully depicts the transmiion of shocks; Investment plays the main role in the transmission of the two shocks, however, consumption plays a minor role in the transmission of the shocks than that of inveslment.