汇率制度、金融加速器和经济波动

发布时间：2018-12-20 07:51

【摘要】：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。
[Abstract]:This paper establishes a small open economy model, one of the purposes of which is to explore the existence of financial accelerator in China's open economy. The second is to analyze the difference of financial accelerator effect under different exchange rate system according to the characteristics of macroeconomic fluctuation in China from 1997 to 2008 in order to verify whether the fixed exchange rate will increase the economic fluctuation compared with the floating exchange rate. By using Chinese data and ML method to estimate the DSGE model with and without financial accelerators, it is found that the likelihood ratio test accepts the former and rejects the latter. The simulation results show that the simulated data with the financial accelerator model are more similar to the actual data, and the existence of the financial accelerator in the open economy is verified again. The financial accelerator effect under fixed exchange rate is stronger than that of floating exchange rate, which partly explains the variation of macro variables in Chinese economy under different exchange rate regimes from 1997 to 2008. The financial accelerator mainly spreads and amplifies the impact of investment efficiency and monetary policy shock on the economy, and also on the monetary demand and foreign shocks, but the amplification effect on technology and preference shocks is not obvious.
【作者单位】：广东外语外贸大学国际工商管理学院;广东外语外贸大学国际经济贸易研究中心和粤商研究中心;中山大学岭南学院;广东外语外贸大学南国商学院;
【基金】：广东省哲学社会科学“十一五”规划项目(批准号:09E-23) 广东外语外贸大学2009年校级青年项目的资助
【分类号】：F224;F832.6;F124.8

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