基于DSGE模型的中国货币政策传导机制研究
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摘要
货币政策传导决定了货币政策对宏观经济的真实效应。尽管学术界在理论和实证上对该问题讨论颇多,也得出了一些共同性的结论,但货币政策传导的相关理论还有待进一步检验和探讨。现有文献对货币政策传导的量化研究多采用了协整、格兰杰因果检验以及向量自回归(VAR)模型等计量手段,研究目标也主要是检验货币政策传导渠道的存在性,而没有分析货币政策通过该渠道是如何作用于产出等实际经济。此外,关于货币政策传导机制的共识多是基于西方国家完善的市场经济环境达成的,而我国正处于社会主义市场经济的完善发展阶段,经济环境的不同导致现有货币政策传导的研究结论未必可以直接用来指导中国的货币政策实施。在此背景下,运用动态随机一般均衡模型(DSGE)研究我国的货币政策传导,不仅具有检验西方货币政策传导理论的意义,而且探讨中国货币政策传导的具体途径对中国的货币政策实施具有显著的现实意义。
本文通过构建包含货币政策的新凯恩斯主义的动态随机一般均衡模型(DSGE),采用贝叶斯和极大似然方法估计了线性DSGE模型的结构参数,并结合脉冲响应图和DSGE模型的行为方程分析了我国货币政策的具体传导途径,探讨了GDP总构成中的消费和投资在货币政策传导中的相对作用。通过实证研究,本文得出了以下几点有意义的结论：
第一,外生随机扰动的光滑估计以及基于反事实仿真的观测变量拟合值与其实际值的比较说明,本文所构建的DSGE模型成功地描述了中国的经济现实,结合脉冲响应图动态地刻画出了中国货币政策的具体传导途径,因而用来分析我国的货币政策传导问题是适宜的。
第二,脉冲响应分析表明,消费和投资在我国货币政策传导中发挥的作用是不同的。投资在货币供应量、利率、贷款等货币政策冲击的传导中发挥着主导作用,消费的传导作用相对较小。
第三,真实经济往往会遭受多种冲击,为了使模型更好地拟合我国的经济现实,除了货币政策冲击,本文的DSGE模型将消费偏好、投资调整成本、价格加成、工资加成、技术以及货币需求等随机扰动纳入了模型的分析框架。实证结果表明,除了消费偏好冲击情形,消费主导了该冲击的传导,其他冲击都是主要通过投资而传导的,消费的传导作用较小。
第四,在货币供应量中介目标备受批评的背景下,本文第四章在修订的泰勒规则下考察了利率作为我国货币政策中介目标的可行性。研究表明,外生随机扰动通过利率对消费、投资并进而对产出产生影响,且修订的泰勒规则的参数估计都是显著的,因而说明利率作为我国货币政策中介目标具有一定的可行性。
本文的主要贡献和创新性体现在以下几个方面：
第一,本文运用结构化的动态随机一般均衡模型(DSGE)分析了我国货币政策的具体传导途径,而非仅仅检验货币政策传导渠道的存在性,这是对现有研究的一个丰富。
第二,检验了运用动态随机一般均衡模型(DSGE)分析我国经济问题的适用性,特别是分析我国货币政策传导的适用性。
第三,研究结论具有丰富的政策含义。实证结果表明,投资主导了我国的货币政策传导,消费的作用较小。其政策意义是,改善我国的货币政策传导需要从扩大消费需求着手。
It's well known that the transmission of monetary policy decides its real effects on macroeconomy. Although the transmission of monetary policy has been extensively discussed by theorectical and empirical studies, and a few of common conclusions have been gotten, the related theories of monetary policy's transmission need to be furtherly examined and investigated. The existing literatures mainly employ econometric instruments, such as cointegration, Granger causality test and vector autoregression model (VAR) etc. to study the transmission of monetary policy, and their main objectives are to test the existence of monetary policy's transmission channels, not to analyze how monetary policy infunences real economy through the specific channel. Moreover, the consensus of monetary policy's transmission mechanism is obtained under the circumstances of western countries' perfect market economy; however China is on the developing stage of socialist market economy, so the different economic envirnments make it not necessary that the existing conclusions of monetary policy's transmission can be directly used to instruct China's monetary policy. With these backgrounds, applying Dynamic Stochastic General Equilibrium Model (DSGE) to study China's monetary policy transmission not only has the significance of examining theories of western monetary policy's transmission, and investigating the specific channels of China's monetary policy's transmission has extraordinary practical significance to China's monetary policy implementation.
This dissertation analyzes the specific channels of China's monetary policy's transmission and investigates the relative role of GDP's components such as consumption and investment in the monetary policy's transmission by constructing a New Keynesian Dynamic Stochastic General Equilibrium Model (DSGE), and employing Bayesian and Maximum Liklihood methods to estimate linear DSGE's structural parameters, also adopting impulse responses. Based on empirical study, this dissertation draws some meaningful conclusions:
First, the smoothed estimation of exogenous stochastic shocks and the comparison between actual and fitted values based on conterfactual simulation of observed variables show that, this dissertation's DSGE models successively depict China's economy and dynamicly characterize China's monetary policy's specific transmission channels with impulse response figures, so these DSGE models are suitable for analyzing China's monetary policy's transmission.
Second, impulse reponse analysis shows that, consumption and investment play different role in China's monetary policy's transmission. Investment playes the main role in the transimission of monetary policy, including money supply shock, interest rate shock and credit shock, however, the role of consumption in the transmission is much little.
Third, there are always many shocks in the real economy, so in order to make the DSGE model fit China's economy well, this dissertation's DSGE models not only include monetary policy shocks, but also include other exogenous shocks, such as consumption preference shock, investiment adjustment cost shock, price markup shock, wage markup shock, technology shock and money demand shock ect. The result is that except for consumption dominates the transimission of consumption preference shock; investment also plays the main role in the transimission of the other five shocks.
Fouth, as the intermediate target of monetary policy, money supply suffered much criticism, so chapter four of this dissertation investigates the feasibility of interest rate as the intermediate target of China's monetary policy with a modified Taylor Rule. The results show that exogenous stochastic shocks influence consumption and investment then output through interest rate, and the estimates of Taylor Rule's parameters are significant, then a conclusion that interest rate as the intermediate target of China's monetary policy is to an extent feasible can be come.
This dissertation's dedications and innovations are as follow:
Fist, this dissertation employs DSGE models to study China's monetary policy's specific transmission channels, not to test the existence of these transmission channels, which makes up for the defects of existing literatures.
Second, this dissertation investigates the applicability of DSGE model for the analysis of China's economy, especially for the analysis of China's monetary policy transimission.
Third, the conclusion has rich policy implications. The empirical results show that investment plays a much bigger role than that of consumption in the transimission of monetary policy, which means we must expand consumption in order to improve the transimission of China's monetary policy.
本文通过构建包含货币政策的新凯恩斯主义的动态随机一般均衡模型(DSGE),采用贝叶斯和极大似然方法估计了线性DSGE模型的结构参数,并结合脉冲响应图和DSGE模型的行为方程分析了我国货币政策的具体传导途径,探讨了GDP总构成中的消费和投资在货币政策传导中的相对作用。通过实证研究,本文得出了以下几点有意义的结论：
第一,外生随机扰动的光滑估计以及基于反事实仿真的观测变量拟合值与其实际值的比较说明,本文所构建的DSGE模型成功地描述了中国的经济现实,结合脉冲响应图动态地刻画出了中国货币政策的具体传导途径,因而用来分析我国的货币政策传导问题是适宜的。
第二,脉冲响应分析表明,消费和投资在我国货币政策传导中发挥的作用是不同的。投资在货币供应量、利率、贷款等货币政策冲击的传导中发挥着主导作用,消费的传导作用相对较小。
第三,真实经济往往会遭受多种冲击,为了使模型更好地拟合我国的经济现实,除了货币政策冲击,本文的DSGE模型将消费偏好、投资调整成本、价格加成、工资加成、技术以及货币需求等随机扰动纳入了模型的分析框架。实证结果表明,除了消费偏好冲击情形,消费主导了该冲击的传导,其他冲击都是主要通过投资而传导的,消费的传导作用较小。
第四,在货币供应量中介目标备受批评的背景下,本文第四章在修订的泰勒规则下考察了利率作为我国货币政策中介目标的可行性。研究表明,外生随机扰动通过利率对消费、投资并进而对产出产生影响,且修订的泰勒规则的参数估计都是显著的,因而说明利率作为我国货币政策中介目标具有一定的可行性。
本文的主要贡献和创新性体现在以下几个方面：
第一,本文运用结构化的动态随机一般均衡模型(DSGE)分析了我国货币政策的具体传导途径,而非仅仅检验货币政策传导渠道的存在性,这是对现有研究的一个丰富。
第二,检验了运用动态随机一般均衡模型(DSGE)分析我国经济问题的适用性,特别是分析我国货币政策传导的适用性。
第三,研究结论具有丰富的政策含义。实证结果表明,投资主导了我国的货币政策传导,消费的作用较小。其政策意义是,改善我国的货币政策传导需要从扩大消费需求着手。
It's well known that the transmission of monetary policy decides its real effects on macroeconomy. Although the transmission of monetary policy has been extensively discussed by theorectical and empirical studies, and a few of common conclusions have been gotten, the related theories of monetary policy's transmission need to be furtherly examined and investigated. The existing literatures mainly employ econometric instruments, such as cointegration, Granger causality test and vector autoregression model (VAR) etc. to study the transmission of monetary policy, and their main objectives are to test the existence of monetary policy's transmission channels, not to analyze how monetary policy infunences real economy through the specific channel. Moreover, the consensus of monetary policy's transmission mechanism is obtained under the circumstances of western countries' perfect market economy; however China is on the developing stage of socialist market economy, so the different economic envirnments make it not necessary that the existing conclusions of monetary policy's transmission can be directly used to instruct China's monetary policy. With these backgrounds, applying Dynamic Stochastic General Equilibrium Model (DSGE) to study China's monetary policy transmission not only has the significance of examining theories of western monetary policy's transmission, and investigating the specific channels of China's monetary policy's transmission has extraordinary practical significance to China's monetary policy implementation.
This dissertation analyzes the specific channels of China's monetary policy's transmission and investigates the relative role of GDP's components such as consumption and investment in the monetary policy's transmission by constructing a New Keynesian Dynamic Stochastic General Equilibrium Model (DSGE), and employing Bayesian and Maximum Liklihood methods to estimate linear DSGE's structural parameters, also adopting impulse responses. Based on empirical study, this dissertation draws some meaningful conclusions:
First, the smoothed estimation of exogenous stochastic shocks and the comparison between actual and fitted values based on conterfactual simulation of observed variables show that, this dissertation's DSGE models successively depict China's economy and dynamicly characterize China's monetary policy's specific transmission channels with impulse response figures, so these DSGE models are suitable for analyzing China's monetary policy's transmission.
Second, impulse reponse analysis shows that, consumption and investment play different role in China's monetary policy's transmission. Investment playes the main role in the transimission of monetary policy, including money supply shock, interest rate shock and credit shock, however, the role of consumption in the transmission is much little.
Third, there are always many shocks in the real economy, so in order to make the DSGE model fit China's economy well, this dissertation's DSGE models not only include monetary policy shocks, but also include other exogenous shocks, such as consumption preference shock, investiment adjustment cost shock, price markup shock, wage markup shock, technology shock and money demand shock ect. The result is that except for consumption dominates the transimission of consumption preference shock; investment also plays the main role in the transimission of the other five shocks.
Fouth, as the intermediate target of monetary policy, money supply suffered much criticism, so chapter four of this dissertation investigates the feasibility of interest rate as the intermediate target of China's monetary policy with a modified Taylor Rule. The results show that exogenous stochastic shocks influence consumption and investment then output through interest rate, and the estimates of Taylor Rule's parameters are significant, then a conclusion that interest rate as the intermediate target of China's monetary policy is to an extent feasible can be come.
This dissertation's dedications and innovations are as follow:
Fist, this dissertation employs DSGE models to study China's monetary policy's specific transmission channels, not to test the existence of these transmission channels, which makes up for the defects of existing literatures.
Second, this dissertation investigates the applicability of DSGE model for the analysis of China's economy, especially for the analysis of China's monetary policy transimission.
Third, the conclusion has rich policy implications. The empirical results show that investment plays a much bigger role than that of consumption in the transimission of monetary policy, which means we must expand consumption in order to improve the transimission of China's monetary policy.
引文
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