两类DSGE模型的动态因子模型表示

Dynamic Factor Models Representations of Two Types of DSGE Models

为了识别动态因子模型(DFM)中不可观测动态因子并解读其经济学意义,为DSGE模型提供一种新的估计途径,研究了新凯恩斯DSGE模型和具有Markov体制转换过程的DSGE(MS-DSGE)模型的DFM表示。结果表明,DSGE模型和MS-DSGE模型的动态行为均由共同因子和外生冲击的合并效应所决定;当外生冲击为相互独立的白噪声过程时,两类DSGE模型分别可以表示为标准的DFM和具有Markov体制转换过程的DFM。

In order to identify unobservable dynamic factors in dynamic factor models, interpret the economic implications, and provide a new approach to estimate the DSGE models, this paper studies the DFM representation of New Keynesian DSGE models and MS-DSGE models. We find the dynamic behavior of DSGE model and MS-DSGE model are all decided by the combination effect of common factors and exogenous shocks; two types of DSGE model can be expressed respectively as standard DFM and DFM with Markov switching process when exogenous shocks are mutual independence white-noise process.