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

【摘要】：在經(jīng)濟(jì)全球化深入發(fā)展的背景下,準(zhǔn)確把握和預(yù)測(cè)未來經(jīng)濟(jì)形勢(shì),是我國(guó)制定經(jīng)濟(jì)政策的重要依據(jù)。DSGE模型對(duì)于政策變化對(duì)經(jīng)濟(jì)發(fā)展的影響提供了一個(gè)可靠的分析手段。綜合文獻(xiàn)以及本實(shí)驗(yàn)室的研究基礎(chǔ),結(jié)合本國(guó)實(shí)際,本文以金融加速器效應(yīng)為框架,構(gòu)建中國(guó)分行業(yè)動(dòng)態(tài)隨機(jī)一般均衡模型。模型將經(jīng)濟(jì)活動(dòng)按投入產(chǎn)出關(guān)系分解為42個(gè)生產(chǎn)部門,統(tǒng)一建模,模型結(jié)構(gòu)清晰統(tǒng)一。在金融加速器的基礎(chǔ)上,進(jìn)一步推導(dǎo)最優(yōu)杠桿率與利率升水的關(guān)系,定量化分析金融市場(chǎng)的摩擦機(jī)制和經(jīng)濟(jì)學(xué)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(jì)結(jié)合更加緊密。結(jié)合2011年我國(guó)分行業(yè)經(jīng)濟(jì)動(dòng)態(tài),編制DSGE模型求解所需的基礎(chǔ)數(shù)據(jù),計(jì)算了模型所需的參數(shù),并結(jié)合歷史數(shù)據(jù)對(duì)模型的準(zhǔn)確性進(jìn)行估計(jì)。模型的分行業(yè)結(jié)構(gòu)的DSGE模型在國(guó)內(nèi)外研究中還很鮮見。模型嚴(yán)格區(qū)分投資和消費(fèi),實(shí)體經(jīng)濟(jì)與虛擬經(jīng)濟(jì)等部門并考慮其相互聯(lián)系。通過概括大型DSGE的特點(diǎn),對(duì)一般DSGE模型進(jìn)行改進(jìn),建立了適于分析企業(yè)生產(chǎn)動(dòng)態(tài)和股市動(dòng)態(tài)的DSGE系統(tǒng)。本文建立的DSGE體系采用42個(gè)經(jīng)濟(jì)部門,區(qū)分了實(shí)體經(jīng)濟(jì)和虛擬經(jīng)濟(jì)、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(diǎn)是建立包含證券動(dòng)態(tài)的中國(guó)分行業(yè)動(dòng)態(tài)隨機(jī)一般均衡模型。按照一般動(dòng)態(tài)均衡模型的結(jié)構(gòu),對(duì)產(chǎn)品供給,資本需求,勞動(dòng)力需求,國(guó)內(nèi)需求和進(jìn)口需求,居民收入,價(jià)格體系,政府收入,央行動(dòng)態(tài)和證券動(dòng)態(tài)分別建模。運(yùn)用線性化方法對(duì)模型進(jìn)行理論求解。本文采用matlab開發(fā)環(huán)境,運(yùn)用Microsoft Access數(shù)據(jù)庫完成了中國(guó)含證券動(dòng)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(jié)果表明,我國(guó)主要行業(yè)資本存量依然面臨很大的負(fù)缺口,資本存量缺口在10%以上,未來資本增長(zhǎng)潛力巨大。其中,資本存量負(fù)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(rùn)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(huì)保障和社會(huì)福利業(yè)和教育業(yè)的利潤(rùn)率負(fù)缺口較為明顯,已經(jīng)接近-10%。上期資本存量對(duì)資本存量有顯著影響。其中,上期資本存量變化對(duì)本期資本存量變化的傳導(dǎo)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(zhǎng)周期特征。 2012-2013年,我國(guó)經(jīng)濟(jì)整體運(yùn)行趨勢(shì)平穩(wěn),經(jīng)濟(jì)保持穩(wěn)健增長(zhǎng),居民收入有所上升,股市明顯回暖。資本擴(kuò)張,工資收入上升,凈資產(chǎn)增加,消費(fèi)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(jié)合2011年數(shù)據(jù),給出了相應(yīng)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(xué)位授予單位】：華東師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F123;F832;F224

【引證文獻(xiàn)】

相關(guān)博士學(xué)位論文 前1條

1 陳志建;中國(guó)區(qū)域碳排放收斂性及碳經(jīng)濟(jì)政策效用的動(dòng)態(tài)隨機(jī)一般均衡模擬[D];華東師范大學(xué);2013年

，

本文編號(hào)：1759406