汇率制度、金融加速器和经济波动

本文建立一个小型开放经济模型,目的之一是探究中国开放经济中金融加速器的存在性;二是针对中国1997—2008年间宏观经济波动特征分析不同汇率制度下金融加速器效应的差异,以验证相对浮动汇率来说,固定汇率是否会加大经济波动。通过使用中国数据和ML方法估计含和不含金融加速器的DSGE模型发现,似然率检验接受前者而拒绝后者。模拟结果显示含金融加速器模型模拟数据与实际数据特征更接近,再次验证了开放经济中金融加速器的存在。固定汇率下金融加速器效应强于浮动汇率,部分解释了1997—2008年间中国经济在不同汇率制度下宏观变量波动的差异。金融加速器主要传播和放大投资效率和货币政策冲击对经济的影响,对货币需求和国外冲击也有一定的放大作用,但对技术和偏好冲击的放大作用不明显。

Exchange Rate System,Financial Accelerator and Economical Undulation

This article establishes a small open economy model,one goal is the inquires into the financial accelerator existence in China open economy;the other goal is the analysis of the difference of financial accelerator effect underdifferent exchange rate system,which is in view of macroeconomic undulation characteristic in China during 1997—2008.Through using the Chinese data and the ML method to estimate DSGE model,the result shows the like lihood rate examination accepts the former to reject the latter.The simulation result demonstrates that the data of the model with financial accelerator is closer to the actual data characteristic,which has once more confirmed the open economy finance accelerator existence.Financial accelerator effect is stronger under fixed rate of exchange,which explained partly macroeconomic variable undulation difference under the different exchange rate system from 1997 to 2008 in China.The financial accelerator mainly disseminates and enlarges the influence of economy attacked by investment efficiency and the monetary policy,also amplifies the impact from the currency demand and the overseas,but the amplification to the preference and technology is not obvious.