金融冲击与货币政策的宏观经济效应——基于包含三类异质性家庭DSGE模型

Macroeconomic Impacts of Financial Shocks and Monetary Policy:Analysis Based on a DSGE Model with Three Types of Heterogeneous Households

考虑家庭金融市场参与和家庭负债情况差异,构建包含净值家庭、富有的糊口家庭、贫困的糊口家庭的三类异质性家庭和两类生产部门的动态随机一般均衡模型,考察了金融冲击和货币政策的宏观经济效应。家庭消费冲击反应分析的结果表明:第一,积极的金融冲击仅增加了净值家庭和贫困的糊口家庭的消费,富有的糊口家庭的消费反而在积极的金融冲击发生后表现出下降趋势;第二,扩张性货币政策引起各类家庭消费增加,但增加的幅度存在明显差异。在此基础上,比较了三类异质性家庭模型与传统的两类家庭模型冲击反应分析的结果:无论是积极的金融冲击还是扩张性货币政策冲击,传统的两类家庭模型中各宏观经济变量的冲击反应均明显大于构建的三类异质性家庭模型。波动性分析的结果指出,相比三类异质性家庭模型,传统的两类家庭模型中积极的金融冲击和扩张性货币政策冲击均会引起更大的宏观经济波动。福利分析的结果显示,传统的两类家庭模型中货币政策引致的社会福利损失明显大于三类异质性家庭模型。这意味着基于传统的两类家庭模型进行稳定化货币政策分析时可能导致政策用力过猛。

Considering the differences in household financial market participation and household debt situation,a dynamic stochastic general equilibrium model is constructed for three types of heterogeneous households including net worth households,wealthy hand-to-mouth households and poor hand-to-mouth households,as well as two types of production sectors.The macroeconomic effects of financial shocks and monetary policy are examined.The results of the household consumption shock response analysis indicate that positive financial shocks only increase the consumption of net worth households and poor hand-to-mouth households,while the consumption of wealthy hand-to-mouth households shows a downward trend after the occurrence of positive financial shocks;and that expansionary monetary policy leads to an increase in household consumption of all the three types,but the magnitude of the increase varies significantly.On this basis,this paper compares the results of the impact response analysis between the three types of heterogeneous household models and the traditional two types of household models,and finds that whether it is a positive financial shock or an expansionary monetary policy shock,the impact response of various macroeconomic variables in the traditional two types of household models is significantly greater than that of the above three types of household models constructed in this paper.The results of volatility analysis indicate that compared to the three types of household models constructed in this paper,both the positive financial shocks and expansionary monetary policy shocks in the traditional two types of household models cause greater macroeconomic fluctuations.The results of welfare analysis show that the social welfare losses caused by monetary policy in the traditional two types of household models are significantly greater than those in the above three types of household models.This means that analyzing stable monetary policy based on the traditional two types of household models may lead to overly aggressive policy measures.