基于DSGE模型的货币政策和财政政策联动机制研究

发布时间：2018-03-04 13:51

本文选题：动态随机一般均衡模型　切入点：财政政策　出处：《华中科技大学》2013年博士论文　论文类型：学位论文

【摘要】：财政政策和货币政策作为治理市场经济的两种重要手段,在各国的宏观经济调控中都起着举足轻重的作用。然而,财政政策和货币政策能否取得预期的效果,不仅取决于财政政策与货币政策是否能够正确的制定和实施,而且还取决于两者之间能否有效的搭配。如何摆正财政政策和货币政策在宏观调控中的地位,并协调配合使用两大政策,使其各尽其能,形成最佳合力,充分发挥各自对国民经济的积极调控作用,无论在理论上还是政策实践上都具有重大的意义。另一方面,自从“理性预期”革命以后,动态随机一般均衡模型逐渐成为了分析宏观经济政策的一个强有力的工具。它具有坚实的微观基础,融入了一般均衡的思想,能够很好地分解并比较外生冲击(如财政政策冲击、货币政策冲击等)对经济波动的作用,能够方便地用于财政政策、货币政策传导机制的研究。同时,DSGE模型是完全结构化的模型,能有效地用于反事实的仿真研究(如不同的财政政策、货币政策的比较),因而该模型已成为目前宏观政策经验实证研究的重要工具。基于以上两方面的考虑,本文在DSGE模型的框架下引入了财政政策和货币政策的联动性机制,考察两大政策的搭配如何影响我国的宏观经济的波动。为此,本文首先进行了相关研究的文献综述,并对DSGE模型的理论框架、求解方法以及参数估计做了简要的介绍。紧接着是本文的实证部分,分为两大块。一个是基于劳动市场出清的DSGE模型来分析财政政策与货币政策的联动性机制对我国产出、消费、通货膨胀和投资波动的影响；另一个是考虑劳动市场摩擦,基于劳动市场搜寻-匹配的模型来分析财政政策与货币政策的联动性机制对我国就业的影响。通过分析,本文得出了以下结论：(1)在劳动市场出清的情况下,我国的货币政策与财政政策的联动机制对经济波动的影响表现为非对称性。具体表现为：当产生一个标准差的财政政策冲击时,货币供应对财政冲击的内生响应对财政政策实际效果的影响并不明显,而当产生一个标准差的货币政策冲击时,财政政策对货币冲击的内生响应对货币政策的实际效果的影响非常显著。并且存在联动性的货币与财政机制能够改善产出稳定和通货膨胀稳定之间的政策权衡,有利于减小宏观经济的波动。(2)在存在劳动力市场摩擦的情况下,财政政策和货币政策之间的联动系数能够显著的改变货币政策和财政政策对劳动市场的影响,所以在制定政策时,正确合理地选择政策参数、有效地搭配财政政策和货币政策是很有必要的。本文的创新之处主要体现在：通过在设定政策方程时,假设财政政策的工具变量对货币政策冲击做出被动的内生响应,同时货币政策的工具变量对财政政策冲击做出被动的内生响应,以此来体现财政政策与货币政策的联动性特征,对两大政策的联动性效应的宏观经济影响进行全面的分析；此外,本文首次将搜寻匹配的劳动市场摩擦加入到动态随机一般均衡模型中,以此来考察货币政策和财政政策联动性效应对就业的影响。
[Abstract]:Fiscal policy and monetary policy as the two important means of governance of market economy, plays an important role in macroeconomic regulation and control in every country. However, the fiscal policy and monetary policy can achieve the desired effect, not only depends on the fiscal policy and monetary policy is to formulate and implement the correct, but also depends on the difference between the effectiveness of the collocation. How to balance the role of fiscal policy and monetary policy in the macroeconomic regulation and control, and coordination of two policies, make its best efforts to give full play to their positive role in the regulation of the national economy, both in theory and policy practice are of great significance.
On the other hand, since "rational expectations revolution", a dynamic stochastic general equilibrium model has become a powerful tool for the analysis of macroeconomic policies. It has a solid micro foundation, into the general equilibrium theory, well decomposed and exogenous shocks (such as fiscal policy shocks, monetary policy shocks.) on economic fluctuation, can be conveniently used for fiscal policy, research on the transmission mechanism of monetary policy. At the same time, the DSGE model is completely structured model can be effectively used for simulation of the counterfactual (as compared with the fiscal policy, monetary policy, and thus the model) has become an important tool for macroeconomic policy experience the empirical research at present.
Consideration of the above two aspects, this paper introduces the linkage mechanism of fiscal policy and monetary policy in the framework of DSGE model, collocation study of two policy how to influence China's macroeconomic fluctuations. Therefore, this paper first makes a literature review of relevant research, and the DSGE model's theoretical framework, solving method and the parameter estimation are briefly introduced. Then is the empirical part of this paper is divided into two parts. One is based on the DSGE model of the labor market clearing to analyze consumption linkage mechanism of fiscal policy and monetary policy on China's output, inflation and investment fluctuations; the other is to consider a labor market based on the labor market search frictions, matching model to analyze the effect of linkage mechanism of fiscal policy and monetary policy on employment in China.
Through the analysis, this paper draws the following conclusions: (1) in the labor market clearing condition, influence the linkage mechanism of monetary policy and fiscal policy in China on economic fluctuation is asymmetric. The specific performance: when generating a standard deviation of fiscal policy shocks, monetary supply of fiscal shock in response to the impact of fiscal policy effect is not obvious, but when one standard deviation of monetary policy shocks, the effects of fiscal policy on monetary shocks in response to the actual effect of the monetary policy is very significant. And there are monetary and fiscal linkage mechanism can improve the output stability and stable inflation the policy trade-off is beneficial to reduce macroeconomic volatility. (2) in the presence of labor market friction, coefficient of linkage between fiscal policy and monetary policy can significantly change the goods The influence of monetary policy and fiscal policy on the labor market is very important. Therefore, when making policies, it is necessary to choose policy parameters correctly and rationally, effectively match fiscal policy and monetary policy.
The innovation of this paper is mainly reflected in: by setting policy equation, assuming fiscal policy tool variables on the impact of monetary policy in response to passive, and the tools of monetary policy variables on the impact of fiscal policy passively in response, in order to reflect the movement characteristics of fiscal policy and monetary policy, comprehensive the analysis of the macroeconomic impact of the linkage effect of the two policies; in addition, this paper will first search, labor market frictions into dynamic stochastic general equilibrium model, so as to the effects of monetary policy and fiscal policy linkage effect on employment.

【学位授予单位】：华中科技大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F822.0;F812.0;F224

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