植入民间金融部门的DSGE模型与货币政策规则有效性分析

DSGE Model with Informal Finance and Effectiveness Analysis of Monetary Policy Rules

在DSGE框架下,通过植入包含民间金融部门的二元金融结构体系,系统考察了影响经济运行和金融稳定的因素。并且将正规金融和民间金融部门的信用利差变量纳入中央银行的货币政策反应函数中,对扩展的货币政策规则的稳定效应和福利效果进行了分析和评估。结果表明,来自市场类的冲击尤其是企业层面的成本推动冲击和技术冲击是引起波动的主要因素,此时正规金融和民间金融部门表现为互补关系;政策类的利率冲击作用效果最小,且两部门表现为替代关系;另外钉住产出和通胀缺口的传统货币政策有效性优于扩展的货币政策规则的有效性。

In the new Keynesian DSGE framework,this article studies what factors influenced the economic and financial stability under the dual financial structure system with informal financial sector.The model put the formal financial and private financial sector credit spread variables into the central bank＇s monetary policy reaction function,analyzed and evaluated the stability effect and welfare effect of the extensive monetary policy rules.The results show that the cost push shock and technology shock at enterprise level from market were the main factor causing fluctuation.In this case,the formal financial and private financial sector is functioned as a complementary relationship.The interest rates shock has the minimum effect and two departments functioned for replacement.Besides,the effectiveness of traditional monetary policy that pegged output and inflation gap was superior to the validity of extensive monetary policy rules.