动态随机一般均衡模型:理论与应用

图书标准信息

• 作者 邓贵川 著
• 出版社 中国金融出版社
• 出版时间 2023-09
• 版次 1
• ISBN 9787522020266
• 定价 98.00元
• 装帧 其他
• 开本 16开
• 纸张 胶版纸

【内容简介】

本书着重讲解如何构建模型、如何求解经济主体优化问题、理解模型的经济学含义、如何分析模型动态特征等，除此之外，本书还会介绍Dynare工具箱，并详细讲解如何使用Dynare获得模型数值解，并通过解析解和数值解的对比，让读者理解通过Dynare获得的数值解的含义。希望通过本书的出版降低宏观经济学研究的门槛。全书可以分为五个部分。第一部分为引言，目的在于厘清宏观经济学的研究范式和研究内容，以及动态随机一般均衡模型与宏观经济学研究的关系，并介绍DSGE模型求解过程中使用到的Matlab软件和Dynare工具箱。第二部分是实际经济周期（RBC）模型，旨在通过简单的RBC模型讲解DSGE模型的模型构建、模型求解和模型分析范式，厘清以生产率冲击为代表的经济冲击的传导渠道。第三部分是新凯恩斯模型，即在RBC模型的基础上引入名义黏性，包括价格黏性和名义工资黏性，旨在明确引入名义黏性后经济冲击传导渠道的变化及对经济的影响。第四部分是新开放宏观经济学模型，将封闭经济模型扩展到开放经济模型，包括对称两国模型、非对称两国模型和小国模型，旨在厘清经济冲击传导渠道的变化以及经济波动的跨国传导渠道。第五部分是专题系列，包括福利专题和金融摩擦专题，福利专题讲述了现有研究中常用的测度社会福利的方法的准确性和存在的问题，金融摩擦专题讲述了抵押融资约束在房地产模型和一般模型中的应用。

【目录】

目录

第1部分 引言

第1章 动态随机一般均衡模型··························································3

1.1 宏观经济学研究内容·······························································3

1.1.1 宏观经济学研究什么·························································3

1.1.2 宏观经济学如何展开研究···················································7

1.2 初识动态随机一般均衡模型·····················································11

1.2.1 动态随机一般均衡模型的特点和求解···································11

1.2.2 动态随机一般均衡模型的应用············································15

第2章 Matlab软件和Dynare工具箱················································17

2.1 Matlab简介·········································································17

2.1.1 变量和矩阵····································································18

2.1.2 Matlab运算和流程控制···················································22

2.1.3 Matlab绘图··································································26

2.2 Dynare工具箱简介································································31

2.2.1 Dynare安装与使用·························································31

2.2.2 模型文件·······································································33

2.2.3 求解结果的储存······························································40

第2 部分 实际经济周期模型

第3 章 简单RBC 模型···································································45

3.1 简单RBC 模型构建·······························································45

3.1.1 家庭部门·······································································46

3.1.2 厂商部门·······································································50

3.1.3 市场出清·······································································51

3.2 解析解················································································53

3.2.1 稳态求解·······································································53

3.2.2 对数线性化····································································54

3.2.3 动态求解·······································································56

3.2.4 模型分析·······································································58

3.3 数值解················································································67

3.3.1 编写Mod 文件·······························································68

3.3.2 四种形式比较·································································79

第4 章 引入生产性资本··································································87

1.1 模型构建·············································································87

4.1.1 家庭部门·······································································88

4.1.2 厂商部门·······································································90

4.1.3 市场出清条件·································································94

4.2 解析解················································································96

4.2.1 稳态与对数线性化···························································96

4.2.2 求解模型解析解······························································98

4.2.3 动态分析····································································· 102

4.3 数值解·············································································· 106

4.3.1 参数校准和代码···························································· 106

4.3.2 数值求解结果······························································· 107

4.3.3 脉冲反应分析······························································· 108

4.3.4 矩条件对比分析···························································· 113

4.4 引入最终产品厂商······························································· 115

4.4.1 家庭部门·····································································115

4.4.2 厂商部门·····································································115

4.4.3 市场出清·····································································116

4.4.4 模型动态系统·······························································117

4.5 附录：求解引入生产性资本后RBC模型的Mod文件·················117

第3部分 新凯恩斯模型

第5章 价格黏性与货币政策121

5.1 黏性价格下厂商行为121

5.1.1 Calvo定价与厂商行为121

5.1.2 Rotemberg定价与厂商行为127

5.2 价格黏性与模型求解129

5.2.1 两种方式下价格黏性异同129

5.2.2 求解标准新凯恩斯模型134

5.2.3 基于解析解的模型分析138

5.3 数值解143

5.3.1 数值求解结果143

5.3.2 脉冲反应对比分析144

5.3.3 矩条件对比分析146

5.4 价格指数化调整149

5.4.1 厂商优化问题及动态系统149

5.4.2 模型求解153

5.5 附录：求解黏性价格模型Mod文件160

第6章 工资黏性与货币政策162

6.1 黏性工资下家庭行为162

6.1.1 黏性工资下家庭优化问题162

6.1.2 黏性工资下家庭行为决策166

6.2 模型求解170

6.2.1 对数线性化及模型解析解170

6.2.2 模型分析174

6.3 工资黏性与指数化调整·183

6.3.1 引入指数化调整后模型变动184

6.3.2 模型分析及对比 187

6.4 附录：工资黏性模型Mod 文件 193

第4 部分 新开放宏观

经济学框架

第7 章 两国开放经济DSGE 模型 197

7.1 模型构建197

7.1.1 家庭部门行为决策197

7.1.2 厂商部门行为决策202

7.1.3 均衡条件206

7.1.4 货币政策方程209

7.1.5 模型动态系统 209

7.2 模型求解215

7.2.1 参数校准及模型稳态求解 215

7.2.2 模型动态求解 217

7.2.3 对数线性化 218

7.3 模型分析 223

7.3.1 理论分析 223

7.3.2 脉冲反应对比分析231

7.4 附录：对称两国开放经济模型Mod 文件237

第8 章 小国开放经济DSGE 模型242

8.1 模型构建 243

8.1.1 家庭部门243

8.1.2 厂商部门248

8.1.3 均衡条件251

8.1.4 货币当局 254

8.2 非对称两国模型求解254

8.2.1 模型动态系统254

8.2.2 稳态求解和参数校准259

8.2.3 非对称两国模型动态分析261

8.3 小国模型求解265

8.3.1 小国模型动态系统及稳态求解265

8.3.2 小国模型动态解268

8.3.3 模型动态分析275

8.4 附录284

8.4.1 两国模型动态求解Mod文件284

8.4.2 小国模型动态求解Mod文件287

第5部分 专题系列

第9章 专题1：福利分析293

9.1 标准新凯恩斯模型293

9.1.1 家庭部门293

9.1.2 厂商部门294

9.1.3 均衡条件295

9.1.4 动态系统296

9.2 推导社会福利损失函数297

9.2.1 效用函数二阶近似298

9.2.2 动态系统二阶近似299

9.2.3 社会福利损失函数302

9.3 福利计算方法比较303

9.3.1 文献中常见其他福利计算方法303

9.3.2 模型求解与福利计算305

9.3.3 经济波动与社会福利312

9.4 附录315

9.4.1 Mod文件315

9.4.2 Matlab 脚本文件 317

第10 章 专题2：抵押融资约束 322

10.1 房地产DSGE 模型 322

10.1.1 模型构建 322

10.1.2 抵押资产不用生产时模型求解及分析330

10.1.3 抵押资产用于生产时模型求解及分析 335

10.2 资本作为抵押品模型341

10.2.1 模型构建 341

10.2.2 资本作为抵押物时模型求解及分析345

10.3 附录350

10.3.1 Matlab 脚本文件 350

10.3.2 Mod 文件351

参考文献357

后记363