摘要
将Liu等人关于金融加速器机制的研究推广到开放经济中,构建一个开放经济新凯恩斯主义DSGE模型,并分析汇率冲击、信贷约束与经济波动的关系。研究发现,人民币汇率贬值冲击会导致房价、投资和产出上升,且只有包含了金融加速器的模型产生的脉冲反应才能与来自SVAR的实证结果较好地匹配。理论分析表明,金融加速器机制在汇率冲击向宏观经济波动的传导过程中发挥着重要作用:第一,信贷约束程度越宽松,人民币汇率贬值冲击所引起的经济波动越明显;第二,在更加宽松的人民币汇率管理政策下,宏观经济对汇率冲击的反应程度比当前有管理的浮动汇率制度下的反应程度更加强烈;第三,信贷约束与人民币汇率管理政策的变动在现实中会产生叠加效应,导致汇率冲击对宏观经济波动的影响被进一步放大。在中国金融市场发展程度不断提高和汇率制度改革的背景下,应当有序推进内部金融体制改革,以有效提升抵御外部冲击的能力。
This paper extends Liu et al.(2013) to an open economy to analyze the relationship among exchange rate shocks, credit constraint and economic fluctuations in an open economy new-Keynesian DSGE model. The conclusion shows that, the devaluation of RMB leads to the increase of house price, investment and output. And only under the situation with financial accelerator, the impulse responses generated from the DSGE model could match the empirical results from SVAR. According to our analysis, financial accelerator plays an important role during the conduction from exchange rate shocks to macroeconomic fluctuations. Firstly, the easier the credit constraint, the more evident the economic fluctuation caused by exchange rate shocks. Secondly, with the release of RMB exchange rate management degree, the effect of exchange rate shocks on economy shows more violent fluctuations. Thirdly, there is superimposed effect when considering the changing of credit constraint and RMB exchange rate management degree together in reality, which would amplify the effects of exchange rate shocks on macroeconomic fluctuations. With the development of Chinese financial market and the reform of exchange rate system, the inner reformation of financial market should proceed orderly to improve the defending capability to external shocks.
作者
陈忱
高然
Chen Chen;Gao Ran
出处
《四川大学学报（哲学社会科学版）》
CSSCI
北大核心
2020年第3期148-157,共10页
Journal of Sichuan University：Philosophy and Social Science Edition
基金
中国博士后科学基金特别资助项目“信贷约束与中国金融经济周期”(2019T120827)
中国博士后科学基金面上资助项目“中国货币政策传导的区域异质性——基于结构模型的研究”(2019M653448)
四川大学创新火花项目库项目(2018hhs-02,2018hhf-28)。
关键词
汇率冲击
信贷约束
金融加速器
Exchange Rate Shocks
Credit Constraint
Financial Accelerator
