金融冲击与中国经济波动  

Financial Shocks and Economic Fluctuations in China

作　　者：张伟进[1] 方振瑞 

机构地区：[1]西安交通大学金禾经济研究中心 [2]台北大学经济学系

出　　处：《南开经济研究》2013年第5期3-20,共18页Nankai Economic Studies

摘　　要：基于1997年至2012年的季度数据,本文构建了一个具有金融摩擦与金融冲击的动态随机一般均衡分析框架,探讨金融市场冲击的宏观效应。由贝叶斯估计得到的本文模型可以很好地匹配观测变量的数据特性,并得到以下主要研究结论:(1)2008年全球金融危机所引发的不利金融冲击造成该年前三个季度投资与总产出显著低于各自趋势水平;2009年由政府推动的扩张性金融冲击则使得投资与总产出分别高出各自趋势水平3.9%与1.3%,有效地促进了经济企稳回升。(2)金融冲击是投资波动的最主要解释因素,也是总产出波动的第二大解释因素。In order to examine the effects of financial shocks on economic fluctuations in China, we incorporate financial frictions and financial shocks into a dynamic stochastic gene- ral equilibrium model. Using 1997-2012 quarterly data, our model estimated by Bayesian techniques fits the data reasonably well and leads to two major findings. First, historical decomposition shows that a sizable shrinkage in investment and output in 2008 are due to the adverse financial shocks brought by the recent global financial crisis and economic sta- bility was effectively achieved through financial expansionary policies in 2009. Second, variance decomposition shows that the financial shock turns out to be the primary factor in explaining investment variations, while it is the secondary factor in explaining output variations.

关 键 词：经济波动 金融摩擦 金融冲击 动态随机一般均衡模型 

分 类 号：F832[经济管理—金融学] F124.8F224