【作者】 王云清；

【导师】 朱启贵；

【作者基本信息】 上海交通大学 ， 产业经济学， 2013， 博士

【摘要】 近三十多年以来，新凯恩斯主义无论在宏观经济学理论界还是在各国政府宏观经济政策实践中都占据主流与统治地位，对于我国也不例外，最为典型的一个事实就是，2008年全球金融危机爆发给我国经济带来严重经济衰退威胁，我国政府实施了4万个亿财政扩张计划与实行非常宽松的货币政策等经济政策予以应对，而这些“经济需要干预”正是新凯恩斯主义学说所强力主张的。相对于西方发达国家，我们还缺乏宏观经济管理的知识和经验，在宏观调控中，常常不能较好地把握调控力度，可能会造成经济的大幅波动，而新凯恩斯主义理论恰好可以在这方面为我国社会主义市场经济的实践特别是宏观经济调控提供有益的借鉴。基于此，本论文从新凯恩斯主义视角出发，尝试构造动态随机一般均衡（Dynamic StochasticGeneral Equilibrium，DSGE）模型来分析中国经济波动问题。文章的主体内容包括四个部分：前两个部分主要考察了以货币与财政政策为代表的需求政策冲击的模型，探讨我国利率冲击与财政扩张冲击对消费、投资、产出以及通货膨胀等主要经济变量的动态宏观效应，力图揭示这些宏观变量波动的机制与原因；后二个部分在结合近年来中国房地产过热现象、世界能源价格急剧上涨的两大背景下，分别探讨房地产市场波动成因和能源价格冲击对中国经济波动的影响。通过引入这些比较重要的冲击，最终帮助我们加深了对中国经济波动机制的理解。本文的主要工作和贡献如下：一、本文首先运用SVAR的实证方法分别考察了我国利率和财政冲击对主要宏观变量的动态影响，发现经验事实，然后再分别构建两个新凯恩斯DSGE模型，来解释这些经验事实。进而从经济理论上解析了这两个最常用的总需求政策冲击对消费、通胀以及投资或产出的波动机制。通过这两个模型研究，本文发现属于实际摩擦因素的深度习惯与名义摩擦因素的工资刚性在解释中国经济波动中起着至关重要的作用。特别对深度习惯而言，不但其形成方式更加符合我国国情，而且用其来构建新凯恩斯DSGE模型能够很好的解释我国货币和财政政策冲击对主要宏观变量的经验事实，而这一点是之前国内文献所没有关注到的。二、本文通过一个包含商业和房地产两个部门的新凯恩斯主义DSGE模型分析了中国房地产价格和产量波动的机制。结果显示：其一，货币政策、房地产需求偏好、房地产部门技术、房地产部门工资加成的冲击能够解释大部分房价波动，其中，货币政策冲击能够解释约60%，可见货币政策是我国房地产价格波动的主要来源；其二，房地产部门技术、房地产部门工资加成、货币政策的冲击能够解释约95%房地产产量波动；其三，证明了中国最优货币政策的制定可以采用温和地盯住房地产价格波动的方式。该研究有助于深入探讨中国房地产市场波动成因，并且也首次对我国房地产市场的产量波动进行了考察。三、本文通过一个包含能源的新凯恩斯主义DSGE模型分析了能源价格冲击对中国经济波动的影响机制，并尝试回答在冲击下中国最优货币政策的选择问题。研究发现，能源价格冲击的传导机制由模型的收入效应、替代效应、资本品市场供求关系和名义粘性等决定。数值模拟结果显示：能源价格上涨将对实体经济产生负面影响，而能源技术进步与较强的名义粘度可在一定程度上能抵消能源价格上涨引发的经济波动风险；货币（利率）政策规则的强弱决定了经济变量对能源价格冲击响应的幅度，中国最优货币政策的制定可以采用小幅温和地盯住能源价格波动的方式。本课题主要贡献在于，首次利用季度频率的能源数据对模型参数进行贝叶斯估计，在建模过程中加入能源技术进步因素，基于DSGE模型的数值模拟方法探讨了在能源冲击下我国最优货币政策的选择问题。更多还原

【Abstract】 In recent thirty years, New Keynesian plays a mainstream and dominant position not only inmacroeconomics theory but also in macroeconomics policy and practice for each national governmentincluding China. The most typical is the fact that when the global financial crisis broke out in2008hasthreatened to China’s economics growth, in response to this threat, our government implemented hugeamounts of fiscal expansion plan with up to four trillion, and issued a relaxed monetary policy. So suchaggressive government intervention is the core claim of New Keynesian. Compared with the westernadvanced countries, we are still lack of knowledge and experience of macroeconomic management,which has failed to maintain the right intensity of macroeconomic control, so it may cause wideeconomic fluctuation during process of macroeconomic control. Fortunately, New Keynesian can use foreffective reference to the socialist market economic practice in China, especially for macroeconomiccontrol.Based on the above reasons, this dissertation develops dynamic stochastic general equilibrium(DSGE) model to investigate the problem of China’s economic fluctuations from the new Keynesianpoint of view. Four parts consist of the body of the dissertation. In the first two part, we study twomodels with demand shocks including monetary and fiscal policy to explore the dynamic responses ofconsumption, investment, output and inflation to interest and fiscal expansion shocks, in order to discusstransmission mechanisms as well as reasons for fluctuations of economic variables. In the other two part,in the context of both overheating of China’s housing market and energy price hike in the world marketfor the past few years, we clear up the causes of fluctuation of China’s housing market, and study impactmechanism of China’s economic fluctuations to energy price shock. By introducing such importantshocks, it can help us promote deep understanding about China’s business fluctuations. The maincontribution and results of the dissertation are as follows:1. The dissertation first applies SVAR models in empirical fields to study the dynamic effects ofinterest and fiscal shocks on main macroeconomic variables in order to describe the typical facts, andthen we estimates a New-Keynesian DSGE model to properly explain these findings, respectively. It isuseful for the aspect of theory of economic to analyze propagating mechanisms of two of most useddemand policy to consumption, inflation, investment or output. Through the research on two models, we find the facts that deep habit being part of real friction associated with wage rigidity belonging tonominal friction have vital effect on explaining China’s economic fluctuation. Especially for deep habit,it consists in New-Keynesian DSGE model, which is a good cause or reason for describing the abovetypical facts, while remains better suitable to China’s households about habit formation, so deep habit isour innovation different from most domestic literature without realizing it.2. The dissertation develops a New-Keynesian DSGE of a two-sector model that describes the priceand quantity side of the China’s housing market. The results displays the following features: first,monetary policy shocks, housing preference shocks, technological shocks in housing sector and wagemark-up shocks account for a large fraction of the fluctuations in house prices, and moreover, monetarypolicy itself can illustrate about60percent, which is the most main sources of the fluctuations in houseprices; second, technological shocks in housing sector, wage mark-up shocks and monetary policyaccount for about95percent of the fluctuations in house quantity; third, the optimal monetary policy inChina mildly pegs volatility of housing prices. The research can promote to discuss the causes offluctuation of China’s housing market, and explore fluctuation of quantity side of the China’s housingmarket for the first time in domestic academic literature.3. The dissertation develops a New-Keynesian DSGE with energy shocks to study impactmechanism of China’s economic fluctuations to energy shock and to answer the optimal Chinesemonetary policy induced by energy shocks, using Beyesian method to estimate model parameters basedon China’s quarterly macroeconomics data. I find that the transmission mechanism of energy priceshocks are determined by the principles such as income effects, substitution effects, the relationshipbetween demand and supply in capital product market, and nominal rigidities. The numerical simulationresults show that the increase in energy price leads to negative effects to the real economy, but progressin energy technology or stronger nominal rigidities can to the extent ease economic volatility risk due toenergy price hikes. Besides, Interest rate rules play an important role in the magnitude of response ofeconomic variables to energy prices shocks, and the optimal monetary policy in China mildly pegsvolatility of energy price. The contribution of our discussion is as follows: we first use China’s quarterlymacroeconomics data to estimate model parameters in Bayesian approach, integrate factor of progress inenergy technology in model, and study choice of the optimal monetary policy in China in the context ofnumerical simulation of DSGE model.更多还原