情绪冲击、资产泡沫与经济波动:基于贝叶斯DSGE的分析

Sentimental Shock, Assets Bubbles and Business Cycle: A Bayesian DSGE Analysis

本文在Smets和Wouters(2003)、Christiano等(2005)模型基础上,引入驱动股价泡沫的情绪冲击,构建了情绪冲击通过资产价格渠道影响经济波动的动态随机一般均衡模型,并采用我国2000-2016年的季度数据对模型进行贝叶斯估计。研究表明,由于企业面临融资约束,正向情绪冲击带来股价泡沫的上升起到了放松信贷约束的作用,因而企业投资增加,进而触发一系列经济变量的顺周期波动。情绪冲击能够解释我国股票价格波动的55.2%以及顺周期性;劳动供给冲击、技术冲击、投资专有冲击、金融冲击都是我国经济波动的来源,尽管其对产出、消费、投资、劳动时间和股票价格波动的贡献存在异质性。

Based on Smets and Wouters(2003)and Christiano et al.(2005),we develop a DSGE model to investigate the impact of equity bubbles on the business cycle by taking into account the sentimental shock.We estimate the model by utilizing the Bayesian approach and employing the quarterly data of China from 2000 to 2016.We find that given the financing constraints faced by the firms,the positive sentimental shock will augment the size of equity bubbles and relax the credit constraints,and thus boost the investment and the business procyclicality of a number of economic variables.The sentimental shock can explain 55.2%of volatility of stock prices and business procyclicality in China.The labor supply shock,technology shock,investment-specific shock and financial shock are the sources of economic volatility in China although the contribution of each shock to the production,consumption,investment,labor time and equity price changes is heterogeneous.