本文選題：宏觀經(jīng)濟 + DSGE模型��； 參考：《華東師范大學》2012年碩士論文

【摘要】：在經(jīng)濟全球化深入發(fā)展的背景下,準確把握和預測未來經(jīng)濟形勢,是我國制定經(jīng)濟政策的重要依據(jù)。DSGE模型對于政策變化對經(jīng)濟發(fā)展的影響提供了一個可靠的分析手段。綜合文獻以及本實驗室的研究基礎,結合本國實際,本文以金融加速器效應為框架,構建中國分行業(yè)動態(tài)隨機一般均衡模型。模型將經(jīng)濟活動按投入產(chǎn)出關系分解為42個生產(chǎn)部門,統(tǒng)一建模,模型結構清晰統(tǒng)一。在金融加速器的基礎上,進一步推導最優(yōu)杠桿率與利率升水的關系,定量化分析金融市場的摩擦機制和經(jīng)濟學意義。本模型嵌入傳統(tǒng)DSGE模型所沒有的股市模塊,使得分析更加全面。在DSGE框架下,股市模塊與宏觀經(jīng)濟結合更加緊密。結合2011年我國分行業(yè)經(jīng)濟動態(tài),編制DSGE模型求解所需的基礎數(shù)據(jù),計算了模型所需的參數(shù),并結合歷史數(shù)據(jù)對模型的準確性進行估計。模型的分行業(yè)結構的DSGE模型在國內外研究中還很鮮見。模型嚴格區(qū)分投資和消費,實體經(jīng)濟與虛擬經(jīng)濟等部門并考慮其相互聯(lián)系。通過概括大型DSGE的特點,對一般DSGE模型進行改進,建立了適于分析企業(yè)生產(chǎn)動態(tài)和股市動態(tài)的DSGE系統(tǒng)。本文建立的DSGE體系采用42個經(jīng)濟部門,區(qū)分了實體經(jīng)濟和虛擬經(jīng)濟、商業(yè)銀行,中央銀行和政府,比通用的一般均衡模型更加完善。 本文的重點是建立包含證券動態(tài)的中國分行業(yè)動態(tài)隨機一般均衡模型。按照一般動態(tài)均衡模型的結構,對產(chǎn)品供給,資本需求,勞動力需求,國內需求和進口需求,居民收入,價格體系,政府收入,央行動態(tài)和證券動態(tài)分別建模。運用線性化方法對模型進行理論求解。本文采用matlab開發(fā)環(huán)境,運用Microsoft Access數(shù)據(jù)庫完成了中國含證券動態(tài)的分行業(yè)DSGE模型的開發(fā)。 分析2011第4季度的資本存量初始缺口,模擬結果表明,我國主要行業(yè)資本存量依然面臨很大的負缺口,資本存量缺口在10%以上,未來資本增長潛力巨大。其中,資本存量負缺口大于20%以上的是金融業(yè),批發(fā)和零售業(yè),非金屬礦及其他礦采選業(yè)和房地產(chǎn)業(yè)。利潤率正缺口較為明顯的行業(yè)是金融業(yè),高于均衡值22%。批發(fā)零售業(yè),建筑業(yè)和房地產(chǎn)業(yè)的正缺口已經(jīng)僅接近10%。衛(wèi)生、社會保障和社會福利業(yè)和教育業(yè)的利潤率負缺口較為明顯,已經(jīng)接近-10%。上期資本存量對資本存量有顯著影響。其中,上期資本存量變化對本期資本存量變化的傳導影響較大行業(yè)是金融業(yè),建筑業(yè),房地產(chǎn)業(yè),批發(fā)零售業(yè)和住宿餐飲業(yè),反映了這些行業(yè)的長周期特征。 2012-2013年,我國經(jīng)濟整體運行趨勢平穩(wěn),經(jīng)濟保持穩(wěn)健增長,居民收入有所上升,股市明顯回暖。資本擴張,工資收入上升,凈資產(chǎn)增加,消費增加。利率方面降息可能性較低,貨幣政策偏緊的可能性低,并結合2011年數(shù)據(jù),給出了相應投資建議。
[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.
【學位授予單位】：華東師范大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F123;F832;F224

【引證文獻】

相關博士學位論文 前1條

1 陳志建;中國區(qū)域碳排放收斂性及碳經(jīng)濟政策效用的動態(tài)隨機一般均衡模擬[D];華東師范大學;2013年

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本文編號：1759406