金融冲击、企业生存状况与中国经济波动——基于动态随机一般均衡模型的考察

Financial Shocks,Firm Dynamics and the Fluctuations of China's Economy-Analysis Based on a Dynamic Stochastic General Equilibrium Model

已有的NKMP-DSGE模型将企业数量看做固定的常数,这与现实经济中企业进入和退出不断发生的事实不符。本文基于包含企业进入和退出的金融冲击NKMP-DSGE模型考察了金融冲击对于中国经济波动的影响。金融冲击的贝叶斯脉冲响应函数显著支持了金融危机期间中国政府采用非常规货币政策刺激经济的做法;模型比较的结果表明,未包含企业动态的模型在低估正向的金融冲击对于中国经济复苏作用的同时,还夸大了其对于通胀上升的效应。贝叶斯冲击分解的结果表明,货币政策冲击是中国产出波动的最主要推动力,金融冲击则次之,但在金融危机期间,逆向的总需求冲击是导致中国产出下行的主要因素。在此基础上,贝叶斯模型选择检验的结果表明,包含企业动态的模型相对较好地刻画了中国经济的现实。

This article considers a financial shocks NKMP - DSGE model with firm dynamics and investigates the effect of financial shocks on the fluctuations of China＇ s economy. The Bayesian impulse response functions of financial shocks support the unconventional monetary policy during the financial crisis. The results of model comparison argues that the model with firm dynamics may under - estimate the effect of financial shocks on the on the survival of China＇ s economy, and over- estimate its effect on inflation. Further, the result of Bayesian shocks decomposition shows that, monetary policy shocks is the most important factor in the fluctuations of China＇ s output, financial shocks is the secondary. But during the financial crisis, the aggregate demand shocks plays the most important role in the downward of output. Then, Bayesian model comparison testing shows that the model with firm dynamics fit the actual data better.