中国分行业动态随机一般均衡模型建模与分析

发布时间：2018-04-16 15:01

本文选题：宏观经济 + DSGE模型　；参考：《华东师范大学》2012年硕士论文

【摘要】：在经济全球化深入发展的背景下,准确把握和预测未来经济形势,是我国制定经济政策的重要依据。DSGE模型对于政策变化对经济发展的影响提供了一个可靠的分析手段。综合文献以及本实验室的研究基础,结合本国实际,本文以金融加速器效应为框架,构建中国分行业动态随机一般均衡模型。模型将经济活动按投入产出关系分解为42个生产部门,统一建模,模型结构清晰统一。在金融加速器的基础上,进一步推导最优杠杆率与利率升水的关系,定量化分析金融市场的摩擦机制和经济学意义。本模型嵌入传统DSGE模型所没有的股市模块,使得分析更加全面。在DSGE框架下,股市模块与宏观经济结合更加紧密。结合2011年我国分行业经济动态,编制DSGE模型求解所需的基础数据,计算了模型所需的参数,并结合历史数据对模型的准确性进行估计。模型的分行业结构的DSGE模型在国内外研究中还很鲜见。模型严格区分投资和消费,实体经济与虚拟经济等部门并考虑其相互联系。通过概括大型DSGE的特点,对一般DSGE模型进行改进,建立了适于分析企业生产动态和股市动态的DSGE系统。本文建立的DSGE体系采用42个经济部门,区分了实体经济和虚拟经济、商业银行,中央银行和政府,比通用的一般均衡模型更加完善。本文的重点是建立包含证券动态的中国分行业动态随机一般均衡模型。按照一般动态均衡模型的结构,对产品供给,资本需求,劳动力需求,国内需求和进口需求,居民收入,价格体系,政府收入,央行动态和证券动态分别建模。运用线性化方法对模型进行理论求解。本文采用matlab开发环境,运用Microsoft Access数据库完成了中国含证券动态的分行业DSGE模型的开发。分析2011第4季度的资本存量初始缺口,模拟结果表明,我国主要行业资本存量依然面临很大的负缺口,资本存量缺口在10%以上,未来资本增长潜力巨大。其中,资本存量负缺口大于20%以上的是金融业,批发和零售业,非金属矿及其他矿采选业和房地产业。利润率正缺口较为明显的行业是金融业,高于均衡值22%。批发零售业,建筑业和房地产业的正缺口已经仅接近10%。卫生、社会保障和社会福利业和教育业的利润率负缺口较为明显,已经接近-10%。上期资本存量对资本存量有显著影响。其中,上期资本存量变化对本期资本存量变化的传导影响较大行业是金融业,建筑业,房地产业,批发零售业和住宿餐饮业,反映了这些行业的长周期特征。 2012-2013年,我国经济整体运行趋势平稳,经济保持稳健增长,居民收入有所上升,股市明显回暖。资本扩张,工资收入上升,净资产增加,消费增加。利率方面降息可能性较低,货币政策偏紧的可能性低,并结合2011年数据,给出了相应投资建议。
[Abstract]:Under the background of the deep development of economic globalization, accurately grasping and predicting the future economic situation is an important basis for making economic policy in China. DSGE model provides a reliable analysis method for the influence of policy change on economic development.Based on the literature and the research basis of our laboratory, this paper, based on the financial accelerator effect, constructs a dynamic stochastic general equilibrium model in China.The model decomposes the economic activity into 42 production departments according to the input-output relation. The model is unified and the structure of the model is clear and uniform.On the basis of the financial accelerator, the relationship between the optimal leverage ratio and the rising water interest rate is further deduced, and the friction mechanism and economic significance of the financial market are quantitatively analyzed.This model is embedded in the stock market module which is not found in the traditional DSGE model, which makes the analysis more comprehensive.In the DSGE framework, the stock market module and macroeconomic integration more closely.Combined with the economic dynamics of China in different industries in 2011, the basic data needed for solving the DSGE model were compiled, the parameters needed for the model were calculated, and the accuracy of the model was estimated with historical data.The DSGE model of industrial structure is rarely found at home and abroad.The model strictly distinguishes between investment and consumption, real economy and virtual economy, etc.By summarizing the characteristics of large DSGE and improving the general DSGE model, a DSGE system suitable for analyzing the production and stock market dynamics of enterprises is established.The DSGE system, which uses 42 economic sectors, distinguishes between real economy and virtual economy, commercial bank, central bank and government, which is more perfect than the general equilibrium model.The key point of this paper is to establish a stochastic general equilibrium model of Chinese subsector dynamics including securities dynamics.According to the structure of general dynamic equilibrium model, the product supply, capital demand, labor demand, domestic demand and import demand, resident income, price system, government revenue, central bank dynamics and securities dynamics are modeled separately.The linearization method is used to solve the model theoretically.In this paper, matlab development environment and Microsoft Access database are used to develop the dynamic DSGE model of China's securities industry.By analyzing the initial gap of capital stock in the fourth quarter of 2011, the simulation results show that the capital stock of major industries in China is still facing a very large negative gap, the capital stock gap is more than 10%, and the future capital growth potential is huge.Among them, more than 20 percent of the negative gap in capital stock is in the financial sector, wholesale and retail, non-metallic and other mining industry and real estate.The sector with a positive margin gap is the financial sector, above the equilibrium value of 22.Wholesale and retail trade, construction and real estate sector is only close to the gap of 10.Negative margins in health, social security, and social welfare and education are more pronounced and are nearing 10-10.Last period capital stock has the remarkable influence to the capital stock.Among them, the transmission of the capital stock changes in the last period has a great influence on the financial industry, the construction industry, the real estate industry, the wholesale and retail trade and the accommodation and catering industry, which reflects the long-period characteristics of these industries.In 2012-2013, the overall operating trend of China's economy was stable, the economy maintained steady growth, residents' incomes rose, and the stock market obviously recovered.Capital expansion, wage income rises, net assets increase, consumption increases.Interest rates are less likely to cut interest rates and tighter monetary policy is less likely, and combined with 2011 data, the paper gives corresponding investment advice.
【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F123;F832;F224

【引证文献】