排序方式： 共有299条查询结果，搜索用时 15 毫秒
1.
微观层面上,商业银行有着“晴天送伞,雨天收伞”的行为特征;而在宏观层面上,银行信贷也存在明显的顺周期性特征。本文构建了一个带有金融摩擦的新凯恩斯主义DSGE模型,把对宏观经济现象的分析建立在坚实的微观基础之上,从而将上述两者纳入到一个统一的分析框架之内。此外,本文还运用我国的实际经济数据对模型中的结构参数进行贝叶斯估计,并对模型中的主要经济变量和外生冲击做了脉冲响应函数分析。研究发现：微观层面上,商业银行的信贷紧缩和扩张行为是其在金融市场存在信息不对称问题下的理性决策;宏观层面上,银行信贷的顺周期性是由于存在金融摩擦所导致的;在如今经济增速下行阶段,风险冲击增强了银行的惜贷慎贷情绪,加剧了企业融资难问题。最后,本文根据模型模拟为如何缓解企业融资难问题提出了一些实际的可操作的政策建议。 相似文献
2.
通过构建DSGE模型,探讨包含影子银行在内的金融中介机构、资产价格和宏观经济波动之间的内在联系,以及金融中介机构自身净值变化通过资产价格和杠杆率向实体经济传播的机制.结果表明:增加金融中介净值比直接放松信贷约束对宏观经济的冲击作用更大,引入影子银行后的双中介模型对金融部门和宏观经济变量形成放大效应,对影子银行监管的严格程度也会对金融经济变量产生不同影响.因此,决策者需在限制影子银行规模、维持金融稳定和放宽对影子银行监管、促进经济增长之间进行权衡. 相似文献
3.
Kenichi Tamegawa; 《Bulletin of economic research》2024,76(2):529-544
This study investigates the role of money illusion (MI) in a dynamic stochastic general equilibrium model. We introduce MI such that households, in their intertemporal optimization, erroneously recognize nominal variables as real ones. We find that first, our model could exhibit money nonneutrality in the long run; second, the Taylor principle is a sufficient condition for determinacy but not a necessary condition; third, the response to output in monetary policy rule matters for the model not to exhibit money nonneutrality in the long run; and finally, MI could flatten the slope that represents the output-inflation trade-off. 相似文献
4.
文章为分析我国经济外部失衡问题,运用当前国际经济学领域先进的动态随机一般均衡(DSGE)两国模型研究方法,模拟了在不同消费替代弹性下以技术冲击为代表的供给冲击和以货币冲击为代表的需求冲击对一国经济外部失衡的影响。研究结果表明这两种冲击发生后该国的外部资产和汇率水平会从初始的0均衡状态偏离,而到最终收敛大约需要10年到15年的时间。这可以很好地解释当前我国的经济外部失衡,文章也依此提出了相应的政策建议。 相似文献
5.
Two monetary policy rules, the money supply (quantity) rule and interest rate (price) rule, are explored for China in a dynamic stochastic general equilibrium model. The empirical results seem to indicate that the price rule is likely to be more effective in managing the macroeconomy than the quantity rule, favoring the government’s intention of liberalizing interest rates and making a more active use of the price instrument. Moreover, the economy would have experienced less fluctuations had interest rate responded more aggressively to inflation. 相似文献
6.
The decisions a researcher makes at the model building stage are crucial for parameter identification. This paper contains a number of applied tips for solving identifiability problems and improving the strength of DSGE model parameter identification by fine-tuning the (1) choice of observables, (2) functional specifications, (3) model features and (4) choice of structural shocks. We offer a formal approach based on well-established diagnostics and indicators to uncover and address both theoretical (yes/no) identifiability issues and weak identification from a Bayesian perspective. The concepts are illustrated by two exemplary models that demonstrate the identification properties of different investment adjustment cost specifications and output-gap definitions. Our results provide theoretical support for the use of growth adjustment costs, investment-specific technology, and partial inflation indexation. 相似文献
7.
Sergey Slobodyan 《Journal of Economic Dynamics and Control》2012,36(1):26-46
We evaluate the empirical relevance of learning by private agents in an estimated medium-scale DSGE model. We replace the standard rational expectations assumption in the Smets and Wouters (2007) model by a constant-gain learning mechanism. If agents know the correct structure of the model and only learn about the parameters, both expectation mechanisms produce very similar results, and only the transition dynamics that are generated by specific initial beliefs seem to improve the fit. If, instead, agents use only a reduced information set in forming the perceived law of motion, the implied model dynamics change and, depending on the specification of the initial beliefs, the marginal likelihood of the model can improve significantly. These best-fitting models add additional persistence to the dynamics and this reduces the gap between the IRFs of the DSGE model and the more data-driven DSGE-VAR model. However, the learning dynamics do not systematically alter the estimated structural parameters related to the nominal and real frictions in the DSGE model. 相似文献
8.
《International Journal of Forecasting》2019,35(4):1226-1239
We employ datasets for seven developed economies and consider four classes of multivariate forecasting models in order to extend and enhance the empirical evidence in the macroeconomic forecasting literature. The evaluation considers forecasting horizons of between one quarter and two years ahead. We find that the structural model, a medium-sized DSGE model, provides accurate long-horizon US and UK inflation forecasts. We strike a balance between being comprehensive and producing clear messages by applying meta-analysis regressions to 2,976 relative accuracy comparisons that vary with the forecasting horizon, country, model class and specification, number of predictors, and evaluation period. For point and density forecasting of GDP growth and inflation, we find that models with large numbers of predictors do not outperform models with 13–14 hand-picked predictors. Factor-augmented models and equal-weighted combinations of single-predictor mixed-data sampling regressions are a better choice for dealing with large numbers of predictors than Bayesian VARs. 相似文献
9.
We estimate a Dynamic Stochastic General Equilibrium (DSGE) model with various financial frictions and analyze how well the model explains the Great Recession. Predictive analysis shows that the model can only slightly better explain the large deviation from trend during the crisis relative to a model without financial frictions. Specifically, the risk premium shock, which is a shock to the external finance premium of the entrepreneurs׳ leverage, explains the largest part of the investment downfall during the crisis. However, the ‘balance sheet’ channel of financial frictions in the model, which structurally links balance sheet conditions of financial intermediaries and nonfinancial borrowers to their borrowing rates, is estimated to be weak. We examine alternative prior specifications for how the financial frictions enter the model and continue to find a limited role for these frictions. Rolling-window estimation provides evidence for substantial time variation in parameters governing financial frictions. We conclude that the well-known financial frictions studied in this paper are not able to explain the financial crisis in a linearized and estimated model. 相似文献
10.
《International Journal of Forecasting》2019,35(2):580-600
We compare real-time density forecasts for the euro area using three DSGE models. The benchmark is the Smets and Wouters model, and its forecasts of real GDP growth and inflation are compared with those from two extensions. The first adds financial frictions and expands the observables to include a measure of the external finance premium. The second allows for the extensive labor-market margin and adds the unemployment rate to the observables. The main question that we address is whether these extensions improve the density forecasts of real GDP and inflation and their joint forecasts up to an eight-quarter horizon. We find that adding financial frictions leads to a deterioration in the forecasts, with the exception of longer-term inflation forecasts and the period around the Great Recession. The labor market extension improves the medium- to longer-term real GDP growth and shorter- to medium-term inflation forecasts weakly compared with the benchmark model. 相似文献