两类DSGE模型的DFM表示及其应用
发布时间：2018-09-09 16:07
【摘要】：首先,为了解读两类动态因子模型中不可观测动态因子的经济学意义和识别驱动各经济变量变动的共同动态因子、以及为动态随机一般均衡(DSGE)模型提供一种新的估计途径,以新凯恩斯DSGE模型和具有Markov体制转换过程的DSGE(MS-DSGE)模型为例,研究了它们的动态因子模型表示。研究发现,新凯恩斯DSGE模型和MS-DSGE模型的动态行为均由共同因子和外生冲击的合并效应所决定；并且,当外生冲击为相互独立的白噪声过程时,这两类DSGE模型分别可以表示为标准的动态因子模型和具有Markov体制转换过程的动态因子模型。另外,从动态因子模型的表示也发现了一些经济事实,如,商品的外生差异性对经济系统具有共同冲击效应、货币政策效果的技术进步效应等。其次,给出了动态因子模型的识别与估计方法,并通过模拟分析得到了影响模型估计方法稳健性的条件。由于建立的动态因子模型是以新凯恩斯DSGE模型为理论基础的,这使得模型中的动态因子是可观测的经济变量,因此在模型的估计上将有别于一般动态因子模型的估计方法。这里分别采用有约束的极大似然估计和广义最小二乘估计的估计方法依次实现对动态因子方程和观测方程的估计。并且这两种方法中的约束条件是根据经济意义以及由DSGE模型表示为DFM时所得系数矩阵的特征施加的。在模型的估计方法上也实现了DSGE模型和DFM的有机结合。最后,基于DSGE模型及其DFM模型的估计方法,分析了四种外生冲击对中国经济产出水平和通货膨胀率的脉冲效应。实证分析结果表明持续增长的技术进步冲击能使得经济产生长期增长,并且在现有经济结构下,拉动内需的政策不会有效地提高产出。政府可采取一系列的宏观经济政策,如结构性减税政策、人才战略等来促进高新技术产业的发展。同时,政策制定者不应该一味地讲究拉动内需,而应转向对经济结构调整的政策。利率冲击对通货膨胀率的影响幅度最大,这说明当经济中存在较严重的通货膨胀时,可以采用相应的货币政策进行干预,但由于此时引起的通货膨胀的波动较大,故应斟酌使用。
[Abstract]:First of all, in order to understand the economic significance of non-observable dynamic factors in the two kinds of dynamic factor models and to identify the common dynamic factors that drive the change of economic variables, and to provide a new way to estimate the dynamic stochastic general equilibrium (DSGE) model. Taking the new Keynesian DSGE model and the DSGE (MS-DSGE) model with the transition process of Markov system as examples, the dynamic factor model representation of these models is studied. It is found that the dynamic behavior of both the new Keynesian DSGE model and the MS-DSGE model is determined by the combined effects of common factors and exogenous shocks, and when exogenous shocks are independent white noise processes, These two kinds of DSGE models can be expressed as standard dynamic factor model and dynamic factor model with Markov system transformation process, respectively. In addition, we also find some economic facts from the expression of dynamic factor model, such as the common impact effect of commodity exogenous difference on economic system, the technical progress effect of monetary policy effect and so on. Secondly, the identification and estimation method of the dynamic factor model is given, and the conditions that influence the robustness of the model estimation method are obtained by simulation analysis. Since the established dynamic factor model is based on the new Keynesian DSGE model, the dynamic factor in the model is an observable economic variable, so the estimation of the model will be different from that of the general dynamic factor model. In this paper, the dynamic factor equation and the observation equation are estimated by the constrained maximum likelihood estimation and the generalized least square estimation, respectively. And the constraints in these two methods are imposed according to the economic meaning and the characteristics of the coefficient matrix obtained when expressed by the DSGE model as DFM. In the method of model estimation, the organic combination of DSGE model and DFM is also realized. Finally, based on the estimation method of DSGE model and DFM model, the impulse effects of four exogenous shocks on China's economic output and inflation rate are analyzed. The empirical results show that the sustained impact of technological progress can lead to long-term economic growth, and under the existing economic structure, policies to boost domestic demand will not effectively improve output. The government can adopt a series of macroeconomic policies, such as structural tax reduction, talent strategy to promote the development of high-tech industries. At the same time, policymakers should shift to structural adjustment rather than focusing on boosting domestic demand. Interest rate shocks have the greatest impact on the inflation rate, which indicates that when there is more serious inflation in the economy, the corresponding monetary policy can be used to intervene, but because of the fluctuation of inflation caused by this time, Therefore, it should be used at your discretion.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224
[Abstract]:First of all, in order to understand the economic significance of non-observable dynamic factors in the two kinds of dynamic factor models and to identify the common dynamic factors that drive the change of economic variables, and to provide a new way to estimate the dynamic stochastic general equilibrium (DSGE) model. Taking the new Keynesian DSGE model and the DSGE (MS-DSGE) model with the transition process of Markov system as examples, the dynamic factor model representation of these models is studied. It is found that the dynamic behavior of both the new Keynesian DSGE model and the MS-DSGE model is determined by the combined effects of common factors and exogenous shocks, and when exogenous shocks are independent white noise processes, These two kinds of DSGE models can be expressed as standard dynamic factor model and dynamic factor model with Markov system transformation process, respectively. In addition, we also find some economic facts from the expression of dynamic factor model, such as the common impact effect of commodity exogenous difference on economic system, the technical progress effect of monetary policy effect and so on. Secondly, the identification and estimation method of the dynamic factor model is given, and the conditions that influence the robustness of the model estimation method are obtained by simulation analysis. Since the established dynamic factor model is based on the new Keynesian DSGE model, the dynamic factor in the model is an observable economic variable, so the estimation of the model will be different from that of the general dynamic factor model. In this paper, the dynamic factor equation and the observation equation are estimated by the constrained maximum likelihood estimation and the generalized least square estimation, respectively. And the constraints in these two methods are imposed according to the economic meaning and the characteristics of the coefficient matrix obtained when expressed by the DSGE model as DFM. In the method of model estimation, the organic combination of DSGE model and DFM is also realized. Finally, based on the estimation method of DSGE model and DFM model, the impulse effects of four exogenous shocks on China's economic output and inflation rate are analyzed. The empirical results show that the sustained impact of technological progress can lead to long-term economic growth, and under the existing economic structure, policies to boost domestic demand will not effectively improve output. The government can adopt a series of macroeconomic policies, such as structural tax reduction, talent strategy to promote the development of high-tech industries. At the same time, policymakers should shift to structural adjustment rather than focusing on boosting domestic demand. Interest rate shocks have the greatest impact on the inflation rate, which indicates that when there is more serious inflation in the economy, the corresponding monetary policy can be used to intervene, but because of the fluctuation of inflation caused by this time, Therefore, it should be used at your discretion.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224
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