金融脱媒、资产价格与经济波动：基于DNK-DSGE模型分析

Financial Disintermediation,Asset Prices and Economic Fluctuations:An Analysis Based on the Multi-Sector DNK-DSGE Model

本文在考虑金融摩擦和价格黏性的基础上,将流动性冲击、金融脱媒冲击和资产价格冲击引入到多部门DNK-DSGE模型,探究这三种因素对实际经济变量和金融变量的动态影响及其作用机制,并利用贝叶斯方法估计模型的结构参数。方差分解结果表明,金融脱媒和资产价格波动是引致中国经济周期波动的重要因素,能够解释产出增长、投资增长、信贷增长和通货膨胀等变量近30%的波动,但流动性冲击的作用较弱,最高仅有2%。脉冲响应分析发现,正向的金融脱媒冲击和资产价格冲击能够使产出、投资、信贷、劳动和融资杠杆率等出现较大提高,而正向的流动性冲击能够刺激产出、投资和劳动的小幅增加,却引起了消费、信贷和融资杠杆率的局部下滑。

Based on financial frictions and price stickiness, this paper introduces liquidity shocks, fi- nancial disintermediation shocks and asset price shocks into the multi-sector DNK-DSGE model to explore the dynamic effects and the mechanism of these three shocks on real economic and financial variables. The paper also structurally estimates the parameters via Bayesian methods. Variance decomposition analysis shows that financial disintermediation and asset price fluctuations are the main driving forces of China＇s eco- nomic fluctuations and could explain about 30% of variation of output growth, investment growth, credit growth and inflation, while liquidity shocks have relatively weak effect and consist of less than 2% of the variation. The impulse response functions of the model suggest that positive financial disintermediation shocks and asset price shocks can largely boost the output, investment, credit, labor and funding leverage ratio. Positive liquidity shocks, although modestly increase output, investment and labor, induce a partial decline in consumption, credit and funding leverage ratio.