金融发展、金融市场冲击与经济波动--基于动态随机一般均衡模型的分析

Financial Development,Financial Market Shocks and Economic Fluctuations;Analysis Based on DSGE Model

本文运用一个包含三种金融市场冲击的DSGE模型研究随着金融市场的发展,金融市场冲击对中国经济波动的影响以及这种影响的变化。贝叶斯估计结果显示:(1)中国产出波动的1/4由金融市场冲击导致,该比例随着金融市场的发展而上升;(2)企业直接融资和间接融资的替代弹性较小;(3)金融市场的发展将降低贷款冲击和融资效率冲击对宏观经济的影响,提高直接投资津贴冲击的影响;(4)金融市场的发展有助于减少社会福利损失。

This paper uses a dynamic stochastic general equilibrium model including three kinds of financial sector shocks to study the effect of financial market shocks on the economic fluctuation and the change of such effect under different degrees of financial friction. The Bayesian estimation shows that： （ 1 ） financial market shocks explain 25 % of output volatility, and the percent will increase with the development of financial market. （2） the elasticity of substitution of direct financing and indirect financing in China is low. （3） the development of financial market will reduce the impacts of credit shock and financing efficiency shock on macroeconomic fluctuations and enhance the impacts of direct investment premium shock. （4） the development of financial mar- ket will help to reduce social welfare loss.