宏观经济计量模型的新发展  

New Developments of Macro Econometric Models:A Review

作　　者：仝冰[1] 

机构地区：[1]北京大学中国经济研究中心,博士研究生北京100871

出　　处：《浙江社会科学》2009年第8期106-111,共6页Zhejiang Social Sciences

摘　　要：二十世纪五六十年代宏观经济学家构建了许多大规模的计量模型。考尔斯委员会方法是宏观计量建模的标准方法。七十年代的滞涨、货币政策的错误以及计量模型的失灵,导致了考尔斯委员会范式的瓦解。在这以后,VAR和DSGE模型发展成为宏观经济学的标准工具。近年来,中央银行开始建立基于DSGE的大规模计量模型。基于贝叶斯框架的DSGE方法有可能成为宏观计量经济学的新范式。本文介绍了宏观计量模型的最新发展,着重介绍BVAR在经济预测中的应用、DSGE在经济分析中的应用以及模型评估的DSGE-BVAR方法。There was a consensus among macroeconomists regarding a large-scale model of business cycles in the 1950s and 1960s. The 'Cowels Commission' approach to model building collapsed dramatically at the beginning of seventies due to bad economic outcomes,policy mistakes and breakdown in model performance. Afterwards,VAR and DSGE secured permanent status within macroeconomists’ toolkit. Recently,a wide range of academics and central bank economists are jointly building large-scale DSGE models. DSGE based on Bayesian techniques will probably become a new paradigm in macro econometric modeling. This paper introduces the recent developments in macro econometrics,focusing on BVAR practiced in forecasting,DSGE used in policy analysis,and DSGE-BVAR procedure for model evaluation.

关 键 词：向量自回归 动态一般均衡 贝叶斯方法 政策评估 计量模型 

分 类 号：F224[经济管理—国民经济] F015