CAJ | 학술논문

本文通过新、旧家庭的世代交替假设，引进股市波动对消费的影响，建立符合中国经济特征的动态随机一般均衡（DSGE）模型；用中国宏观季度数据估计模型参数，研究了中国的股市财富效应和货币政策选择问题。研究发现，中国股市财富效应存在，股市正向冲击对产出、通货膨胀和工资都有正向的短期影响。因此，股市冲击是经济短期波动不可忽视的因素。虽然存在股市财富效应，但中国的货币政策尚未对股市波动采取制度性的响应措施。通过模拟研究发现，提高货币政策对股市波动的响应力度能有效降低产出波动，但却会显著提高物价和利率的波动。
본문통과신、구가정적세대교체가설，인진고시파동대소비적영향，건립부합중국경제특정적동태수궤일반균형（DSGE）모형；용중국굉관계도수거고계모형삼수，연구료중국적고시재부효응화화폐정책선택문제。연구발현，중국고시재부효응존재，고시정향충격대산출、통화팽창화공자도유정향적단기영향。인차，고시충격시경제단기파동불가홀시적인소。수연존재고시재부효응，단중국적화폐정책상미대고시파동채취제도성적향응조시。통과모의연구발현，제고화폐정책대고시파동적향응력도능유효강저산출파동，단각회현저제고물개화리솔적파동。
This paper investigates the wealth effect of stock market and choice of monetary policy within a DSGE model for China economy, the overlap between older and new household is modeled to capture the wealth effect. We fit our model to seasonal data between 1991 - 2011, and find two main results. First, wealth effect in stock market exists, a positive shock of stock market exerts positive impact on output, inflation and wage, but these impacts are short - term. Although the existence of the wealth effect, Chinese government has not taken institutional response to the stock market fluctuation. Second, raising the response coefficient of monetary policy to the fluctuation of stock market can effectively reduce the fluctuation of output, but significantly increased the fluctuation of price and interest rate.