CAJ | 학술논문

最近的金融危机及其引发的经济危机突出了金融部门和实体经济之间存在着某种联系。而这也让学者清楚地意识到在对宏观经济建模时不能忽视源自于金融市场的摩擦和冲击。本文尝试将金融冲击引入到动态随机一般均衡模型，以此来解释金融冲击对实际经济变量和金融变量的动态影响，探讨金融冲击的重要性及其作用机制，并通过贝叶斯方法估计模型的结构参数。结果发现：金融冲击是驱动中国经济周期波动的最主要力量，它在解释产出增长、投资增长、债务增长、工资增长和就业的波动方面体现出非常重要的作用。即使存在其它多个冲击，金融冲击仍然能够解释近80％的产出增长波动。进行脉冲反应分析时发现，金融冲击会使产出、消费、投资和就业等出现大幅下降。
최근적금융위궤급기인발적경제위궤돌출료금융부문화실체경제지간존재착모충련계。이저야양학자청초지의식도재대굉관경제건모시불능홀시원자우금융시장적마찰화충격。본문상시장금융충격인입도동태수궤일반균형모형，이차래해석금융충격대실제경제변량화금융변량적동태영향，탐토금융충격적중요성급기작용궤제，병통과패협사방법고계모형적결구삼수。결과발현：금융충격시구동중국경제주기파동적최주요역량，타재해석산출증장、투자증장、채무증장、공자증장화취업적파동방면체현출비상중요적작용。즉사존재기타다개충격，금융충격잉연능구해석근80％적산출증장파동。진행맥충반응분석시발현，금융충격회사산출、소비、투자화취업등출현대폭하강。
The recent financial crisis and the resulting economic crisis highlighted the links between financial factors and the real economy. These events have made it clear that macroeconomic models need to allocate a nonnegligible role to financial frictions and financial shocks. We then develop a dynamic stochastic general equilibrium model to explore how the dynamics of real and financial variables are affected by financial shocks and discuss the importance of financial shocks. And we estimate the structure parameters of the model by using Bayesian methods. We find that financial shocks are the most important driving force of China＇s business cycle and they play an important role in explaining the volatility of the growth rate of output, investment, debt, wages and labor, they can explain about 80% of the variances of output growth even with other shocks. And we find that a negative financial shock produces a large drop in output, consumption, investment and labor.