金融冲击和中国经济波动

Financial Shocks and Chinese Business Cycles

最近的金融危机及其引发的经济危机突出了金融部门和实体经济之间存在着某种联系。而这也让学者清楚地意识到在对宏观经济建模时不能忽视源自于金融市场的摩擦和冲击。本文尝试将金融冲击引入到动态随机一般均衡模型,以此来解释金融冲击对实际经济变量和金融变量的动态影响,探讨金融冲击的重要性及其作用机制,并通过贝叶斯方法估计模型的结构参数。结果发现:金融冲击是驱动中国经济周期波动的最主要力量,它在解释产出增长、投资增长、债务增长、工资增长和就业的波动方面体现出非常重要的作用。即使存在其它多个冲击,金融冲击仍然能够解释近80%的产出增长波动。进行脉冲反应分析时发现,金融冲击会使产出、消费、投资和就业等出现大幅下降。

The recent financial crisis and the resulting economic crisis highlighted the links between financial factors and the real economy. These events have made it clear that macroeconomic models need to allocate a nonnegligible role to financial frictions and financial shocks. We then develop a dynamic stochastic general equilibrium model to explore how the dynamics of real and financial variables are affected by financial shocks and discuss the importance of financial shocks. And we estimate the structure parameters of the model by using Bayesian methods. We find that financial shocks are the most important driving force of China＇s business cycle and they play an important role in explaining the volatility of the growth rate of output, investment, debt, wages and labor, they can explain about 80% of the variances of output growth even with other shocks. And we find that a negative financial shock produces a large drop in output, consumption, investment and labor.