發(fā)布時間：2018-09-09 16:07

【摘要】：首先,為了解讀兩類動態(tài)因子模型中不可觀測動態(tài)因子的經(jīng)濟學意義和識別驅動各經(jīng)濟變量變動的共同動態(tài)因子、以及為動態(tài)隨機一般均衡(DSGE)模型提供一種新的估計途徑,以新凱恩斯DSGE模型和具有Markov體制轉換過程的DSGE(MS-DSGE)模型為例,研究了它們的動態(tài)因子模型表示。研究發(fā)現(xiàn),新凱恩斯DSGE模型和MS-DSGE模型的動態(tài)行為均由共同因子和外生沖擊的合并效應所決定；并且,當外生沖擊為相互獨立的白噪聲過程時,這兩類DSGE模型分別可以表示為標準的動態(tài)因子模型和具有Markov體制轉換過程的動態(tài)因子模型。另外,從動態(tài)因子模型的表示也發(fā)現(xiàn)了一些經(jīng)濟事實,如,商品的外生差異性對經(jīng)濟系統(tǒng)具有共同沖擊效應、貨幣政策效果的技術進步效應等。其次,給出了動態(tài)因子模型的識別與估計方法,并通過模擬分析得到了影響模型估計方法穩(wěn)健性的條件。由于建立的動態(tài)因子模型是以新凱恩斯DSGE模型為理論基礎的,這使得模型中的動態(tài)因子是可觀測的經(jīng)濟變量,因此在模型的估計上將有別于一般動態(tài)因子模型的估計方法。這里分別采用有約束的極大似然估計和廣義最小二乘估計的估計方法依次實現(xiàn)對動態(tài)因子方程和觀測方程的估計。并且這兩種方法中的約束條件是根據(jù)經(jīng)濟意義以及由DSGE模型表示為DFM時所得系數(shù)矩陣的特征施加的。在模型的估計方法上也實現(xiàn)了DSGE模型和DFM的有機結合。最后,基于DSGE模型及其DFM模型的估計方法,分析了四種外生沖擊對中國經(jīng)濟產(chǎn)出水平和通貨膨脹率的脈沖效應。實證分析結果表明持續(xù)增長的技術進步?jīng)_擊能使得經(jīng)濟產(chǎn)生長期增長,并且在現(xiàn)有經(jīng)濟結構下,拉動內需的政策不會有效地提高產(chǎn)出。政府可采取一系列的宏觀經(jīng)濟政策,如結構性減稅政策、人才戰(zhàn)略等來促進高新技術產(chǎn)業(yè)的發(fā)展。同時,政策制定者不應該一味地講究拉動內需,而應轉向對經(jīng)濟結構調整的政策。利率沖擊對通貨膨脹率的影響幅度最大,這說明當經(jīng)濟中存在較嚴重的通貨膨脹時,可以采用相應的貨幣政策進行干預,但由于此時引起的通貨膨脹的波動較大,故應斟酌使用。
[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.
【學位授予單位】：天津財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F224

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