动态随机一般均衡下的金融市场与货币政策

发布时间：2018-10-29 17:30

【摘要】：我国在宏观经济高速增长的同时,也经历着巨大的经济波动。不论是宏观经济增长率还是通货膨胀率都有着非比寻常的波动极差。面临着这样大的波动,我国的中国人民银行为保持增长,稳定波动做出了很大的努力。然而我国经济结构发生大型转变的现实,使得货币政策的传导机制也有可能发生了重大的变化,特别是金融市场的日益繁荣,使得人们对宏观的货币政策的预期越来越快的显示在实体经济当中,如果说传统的货币传导机制已经不占主导地位,那么金融市场又在货币政策传导中起多大的作用?这正是本文研究的课题。本文通过建立一个动态随机一般均衡的宏观经济模型来讨论货币政策对实体经济的作用,单独突出金融市场在其中的角色。通过使用贝叶斯估计,我们找出一个时期的货币政策会对下一期的实体经济与金融市场各产生什么作用。主要方法是,用先验分布估算出了模型参数,然后使用卡尔曼滤波算法平滑了估计模型中的各个外生变量的实现值,再将几个实现值带回到模型中进行模拟计算,这样我们找到了各个冲击的单独影响,从众多的冲击当中找到了比较重要的冲击。通过以上的分析我们得出了结论：第一,金融市场在我国的货币政策的传导中起了非常重要的作用。第二,通货膨胀现象由于信贷作用的出现使得金融市场的资产品价格出现超调的现象
[Abstract]:At the same time, our country is experiencing huge economic fluctuation while the macro-economy is growing at high speed. Both macroeconomic growth rates and inflation rates are unusually volatile. Faced with such large fluctuations, the people's Bank of China has made great efforts to maintain growth and stability. However, the reality of large-scale changes in the economic structure of our country has made it possible that the transmission mechanism of monetary policy has also undergone major changes, especially the increasing prosperity of the financial market. Make people's expectation of macro-monetary policy more and more rapid in the real economy, if the traditional monetary transmission mechanism is no longer dominant, then the financial market in the transmission of monetary policy plays a significant role. This is the subject of this paper. This paper discusses the effect of monetary policy on the real economy by establishing a dynamic stochastic general equilibrium macroeconomic model and emphasizes the role of financial market in it. By using Bayesian estimates, we find out what monetary policy will do for the next issue of the real economy and the financial market. The main method is to estimate the model parameters with the prior distribution, and then use Kalman filter algorithm to smooth the realization value of each exogenous variable in the estimation model, and then bring back several realization values to the model for simulation calculation. In this way, we find the individual impact of each shock, from many shocks to find a more important impact. First, the financial market plays a very important role in the transmission of monetary policy. Second, inflation is an overshoot in the prices of capital products in the financial markets as a result of the role of credit.
【学位授予单位】：合肥工业大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.5;F822.0

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