發(fā)布時(shí)間：2018-01-18 12:16

  本文關(guān)鍵詞：基于DSGE模型的中國(guó)經(jīng)濟(jì)周期波動(dòng)成因分析及其宏觀經(jīng)濟(jì)變量沖擊效應(yīng)檢驗(yàn)　出處：《吉林大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 動(dòng)態(tài)隨機(jī)一般均衡 有向無(wú)環(huán)圖 PC算法 經(jīng)濟(jì)周期波動(dòng)

【摘要】：經(jīng)濟(jì)增長(zhǎng)和周期波動(dòng)是宏觀經(jīng)濟(jì)學(xué)研究的主要領(lǐng)域，許多學(xué)者對(duì)我國(guó)經(jīng)濟(jì)周期波動(dòng)的特征和原因運(yùn)用許多計(jì)量方法進(jìn)行了分析和檢驗(yàn)。經(jīng)濟(jì)周期波動(dòng)問(wèn)題不僅發(fā)生在西方發(fā)達(dá)國(guó)家，我國(guó)同樣經(jīng)歷著頻繁的經(jīng)濟(jì)周期波動(dòng)。國(guó)民經(jīng)濟(jì)的各個(gè)方面都存在波動(dòng)問(wèn)題，總產(chǎn)出的波動(dòng)、投資的波動(dòng)、就業(yè)的波動(dòng)等等。這些不僅影響經(jīng)濟(jì)的穩(wěn)定與增長(zhǎng)并且與每個(gè)公民的福利息息相關(guān)。眾多學(xué)者對(duì)我國(guó)經(jīng)濟(jì)波動(dòng)的原因展開(kāi)廣泛的研究，這也是本文研究的重點(diǎn)。 經(jīng)濟(jì)周期波動(dòng)的研究中，時(shí)間序列中波動(dòng)成分的提取一直是研究的重點(diǎn)。隨著RBC理論的出現(xiàn)與發(fā)展，濾波方法在時(shí)間序列的分解中得到廣泛的應(yīng)用。由于各種濾波對(duì)分離時(shí)間序列的波動(dòng)成分的差別很小，，本文選取HP濾波處理我國(guó)經(jīng)濟(jì)時(shí)間序列，分離出各個(gè)宏觀經(jīng)濟(jì)變量中的周期成分和波動(dòng)成分。通過(guò)對(duì)這些成分進(jìn)行統(tǒng)計(jì)分析，總結(jié)出我國(guó)經(jīng)濟(jì)波動(dòng)的典型事實(shí)：固定資產(chǎn)投資、政府消費(fèi)與凈出口、工資水平、貨幣余額、價(jià)格水平的波動(dòng)性波動(dòng)性大于總產(chǎn)出，總消費(fèi)、就業(yè)人數(shù)波動(dòng)性小于總產(chǎn)出；固定資產(chǎn)投資、工資、貨幣余額、價(jià)格水平、總消費(fèi)具有順周期性，而就業(yè)人數(shù)、政府消費(fèi)與凈出口是逆周期波動(dòng)。 現(xiàn)代宏觀經(jīng)濟(jì)學(xué)認(rèn)為，外生隨機(jī)沖擊導(dǎo)致經(jīng)濟(jì)的周期波動(dòng)。識(shí)別波動(dòng)的來(lái)源是研究經(jīng)濟(jì)波動(dòng)的關(guān)鍵。技術(shù)沖擊、貨幣政策沖擊、偏好沖擊等等被認(rèn)為是經(jīng)濟(jì)周期波動(dòng)的根源，不同的理論有著不同的觀點(diǎn)。本文在動(dòng)態(tài)隨機(jī)一般均衡模型的框架下研究我國(guó)經(jīng)濟(jì)周期波動(dòng)的成因，模型參數(shù)使用貝葉斯方法進(jìn)行估擊，使用卡爾曼平滑算子估計(jì)模型沖擊的實(shí)現(xiàn)值。通過(guò)將沖擊的實(shí)現(xiàn)值帶回原模型來(lái)考察經(jīng)濟(jì)系統(tǒng)的內(nèi)生變量對(duì)各個(gè)沖擊的反映情況。結(jié)果表明，技術(shù)沖擊和投資沖擊是我國(guó)經(jīng)濟(jì)周期波動(dòng)的主要原因，政府支出和凈出口對(duì)波動(dòng)的影響較小。 最后，本文利用DAG方法對(duì)我國(guó)宏觀經(jīng)濟(jì)變量的因果關(guān)系進(jìn)行檢驗(yàn)。與傳統(tǒng)的方法相比，DAG不僅可以同時(shí)識(shí)別多個(gè)變量間的因果關(guān)系并且可以限制VAR模型殘差項(xiàng)的過(guò)度識(shí)別。通過(guò)PC算法可以識(shí)別出隱藏在殘差項(xiàng)協(xié)方差矩陣中的變量同期因果關(guān)系。結(jié)果表明，投資與貨幣供給量是我國(guó)經(jīng)濟(jì)增長(zhǎng)的同期原因，價(jià)格水平的變化主要受到貨幣供給量的影響。
[Abstract]:Economic growth and periodic fluctuations are the main areas of macroeconomic research. Many scholars have analyzed and tested the characteristics and causes of economic cycle fluctuations in China by using many econometric methods. The problem of business cycle fluctuations not only occurs in western developed countries. China is also experiencing frequent economic cycle fluctuations. There are fluctuations in all aspects of the national economy, total output fluctuations, investment fluctuations. The fluctuation of employment and so on. These not only affect the stability and growth of economy, but also are closely related to the welfare of every citizen. Many scholars have carried out extensive research on the causes of economic fluctuation in our country. This is also the focus of this paper. In the research of business cycle fluctuation, the extraction of fluctuation component from time series has been the focus of the research. With the emergence and development of RBC theory. The filtering method has been widely used in the decomposition of time series. Due to the small difference of the wave components in the separation of time series, HP filter is selected to deal with the economic time series in China. Through the statistical analysis of these components, the typical facts of China's economic fluctuations are summarized: fixed asset investment, government consumption and net exports. The volatility of wage level, monetary balance and price level is greater than that of total output, and the volatility of total consumption and employment is smaller than that of total output. Fixed asset investment, wages, monetary balance, price level, total consumption are pro-cyclical, while employment, government consumption and net exports are counter-cyclical fluctuations. In modern macroeconomics, exogenous random shocks lead to periodic fluctuations of the economy. Identifying the sources of fluctuations is the key to the study of economic fluctuations. Technology shocks, monetary policy shocks. Preference shocks and so on are considered to be the root of business cycle fluctuations, and different theories have different views. This paper studies the causes of business cycle fluctuations in China under the framework of dynamic stochastic general equilibrium model. The model parameters are evaluated by Bayesian method. Kalman smoothing operator is used to estimate the realized value of the model shock. By bringing the realized value of the shock back to the original model, the reflection of the endogenous variables of the economic system to each shock is investigated. The results show that. Technology shock and investment shock are the main reasons for the fluctuation of economic cycle in China. Government expenditure and net export have little effect on the fluctuation. Finally, this paper uses the DAG method to test the causality of macroeconomic variables in China, compared with the traditional method. DAG can not only identify causality among multiple variables at the same time, but also limit the over-recognition of residual terms in VAR model. By using PC algorithm, we can identify the covariance factors of variables hidden in the covariance matrix of residual terms. Fruit relationship. Results show. Investment and money supply are the causes of economic growth in China in the same period, and the change of price level is mainly affected by the amount of money supply.
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F224;F124.8

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