金融杠杆、利率市场化与宏观经济波动——基于金融加速器框架下的DSGE模型研究

为研究金融杠杆、利率市场化对宏观经济的影响,文章在新凯恩斯主义动态随机一般均衡模型中引入金融加速器机制,通过引入工资加成冲击、通胀冲击、货币政策冲击、投资冲击、政府购买冲击、偏好冲击、金融扩散冲击和生产率冲击,利用2001第一季度至2013年第四季度经济数据,采用贝叶斯推断方法估计DSGE模型,比较了金融加速器存在与否、不同杠杆率和利率市场化三种情况下对经济波动的影响.研究表明:在金融加速器机制下,各种冲击放大了对经济波动的影响,金融扩散冲击解释了内生变量扰动的绝大部分信息;与杠杆率为1.5和2.5时相比,当杠杆率为2时,外生冲击对经济的影响最大;利率市场化以货币政策冲击和金融扩散冲击间接影响经济,对货币政策冲击而言,内生变量均遵循类似驼峰状的轨迹,其中以劳动供给和投资影响最大,金融扩散冲击对产出、消费、投资和劳动供给影响较大.因此,给出去杠杆化要有一定的缓冲期、不断深化和稳步推进利率市场化改革、继续实施稳健的货币政策和积极的财政政策等四个政策建议,以稳增长、促改革、调结构、惠民生.

Financial leverage, interest rate liberalization and macroeconomic fluctuation: A study based on DSGE model under the framework of financial accelerator

In order to study the effect of financial leverage,interest rate liberalization on China''s macro economy,this paper introduced a new Keynesian dynamic stochastic general equilibrium model of the financial accelerator mechanism.At the same time,we introduce eight shocks,including wage inflation shock,monetary policy shock,investment shocks,government purchases shock,preferences shocks,financial impact shock and productivity shock,and analyze the effects of various shocks on the economy about the presence or absence of the financial accelerator,different financial levers and the interest rate liberalization three cases,using the data from Q1of 2001 to Q4 of 2013,and using Bayesian inference method to estimate DSGE model.The results show that:1) In the financial accelerator mechanism,shocks would magnify the impact of economic fluctuations,and financial impact shock explained most of the disturbance information; 2) Compared with the financial leverage ratio of 1.5 and 2.5,all shocks had great effect on the economy when the financial leverage ratio was 2; 3) The interest rate liberalization would be the role of economic through monetary policy shock and financial impact shock.The endogenous variables follow a similar hump-shaped trajectory under the shock of monetary in which has the greatest impact on labor supply and investment.While the financial impact shock has greater impact on output,consumption,investment and labor supply.Therefore,we have four policies including having a certain leverage grace period,deepening and steadily promoting interest rate liberalization reform,continuing implementation of prudent monetary policy and proactive fiscal policy,for steady growth,promoting reform,adjusting the economic structure and improving people''s livelihood.