带“金融加速器”的RBC模型

RBC3(,100871):RBC,,RBC,,,:;;:F83015:A:1002-7246(2005)04-0016-15RBC,,Modigliani-Miller(1958),,,,RBC,,RBC,??Gertler1988,FisherKeynes,,,,,,,,,,,,,,:2005-03-05:(1978-),,,:(1970-),,,,,:3Chi-WaYuen,,,,,:7027106320054(298)No14,2005GeneralNo129816©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,,,,,,,,,Modigliani-Miller,Bernanke,GertlerGilchrist1996,,,,,,,Bernanke,GertlerGilchrist()(),,,,,,Bernanke,GertlerGilchrist(1999),,,RBC,Bernanke,Gertler,Gilchrist,,,,Bernanke,Gertler,Gilchrist,,,RBC,,,,,,,,,,RBC,,,,,,RBCRBC,Bernanke,GertlerGilchrist,,Bernanke,GertlerGilchrist?,,,;,,;,;,,,20054RBC17©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.:,,,,,,,,,,RBC,:;,,2111,,,,,;,,,,1,ctt,Ltt,,lt=1-Ltt,,u(ct,1-Lt),,,,,wt,tDt,:ct=wtLt+RtDt-Dt+1(1)Rt=1+rt,rt,wtDt,,,:max6t=0tu(ct,1-Lt)(1),CESu(ct,1-Lt)=c1-t-11-+(1-Lt)1--11-,0,,:c-t=t(2)twt=(1-Lt)-(3)t=t+1Rt+1(4)(thetransversalitycondition)18298©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.limtvttDt+1=0t,,(2),(3)2121,,t,j,j,,t+1,kjt+1njt+1t,t+1j,,,,,Bjt+1,Bjt+1=kjt+1-njt+1,,njt+1Bjt+1,,,,,,,,,();,,,,,,,Bernanke,GertlerGilchrist,,,,,j,Rkt+1(),jjRkt+1j,F(),E{j}=1j,,Bernanke,GertlerGilchrist,,,Bjt+1,,Zjt+1Bjt+1j,L=6t=0tu(ct,1-Lt)+6t=0tt(wtLt+RtDt-Dt+1-ct)20054RBC19©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.…j,…j…jRkt+1kjt+1=Zjt+1Bjt+1(5)j…j,,Zjt+1Bjt+1,…jRkt+1kjt+1-Zjt+1Bjt+1j…j,,,,,CSV(costlystateverification),,,,(1-)jRkt+1kt+1,,Zjt+1…j:[1-F(…j)]Zjt+1Bjt+1+(1-)…j0Rkt+1kjt+1dF()=Rt+1Bjt+1(6)(6),,,(6),j,,,,:…jRkt+1kjt+1dF()-(1-F(…j))…jRkt+1kjt+1(7)(6)Bernanke,GertlerGilchrist(1999),:kjt+1=(st)njt+1,(8)st=Rkt+1Rt+1,st,,st1(1)=1,()0(8),(8)st(st),,(8):Rkt+1=snjt+1kjt+1Rt+1,s()0(9)(9),st=Rkt+1Rt+1j,st,,,st,Rkt+1Rt+1,,Rkt+1Rt+1,st,st(9),,20298©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,,,,,;,,,3111,Cobb-Douglas:yt=AtktL1-t(10)yt,ktt-1,,Lt,At,it,:kt+1=it+(1-)kt(11)(11),tt+1:Rkt+1=9yt+19kt+1+(1-)(12)(12),9yt+19kt+1,(1-),tt+1,(12),,(8),:Rkt+1=snt+1kjt+1Rt+1(13)(13),nt+1(9),s(),Rkt+1Rt+1s()0,Rkt+1Rt+1nt+1,Vtt(t),King,PlosserRebelo(1988),Yt=F(Kt,LtXt),Xt,=Xt+1/Xt,zt=Zt/Xt,ZtCt,Yt,Kt,King,PlosserRebelo,Zt20054RBC21©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.Vt=Rktkt-Rt(kt-nt)-…0RktktdF()(14)(14),,Rktkt,Rt(kt-nt),…0RktktdF(),,,t,nt+1=pVt(15)Ptt+1,p,,,p,(1-p)Vt,,,cet=(1-p)Vt(16),,,,,,3121,,,,,,,,,312111,,(ct),(yt),(kt),(Lt),(nt),(cet),(2)(4),R=-1,R,:,(),,,,,,:yt=ct+it+cet(17),Dt=BttDt,Bt22298©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,,,(Walraslaw),,,,,,312121,RBC,,^,(2)(3)(4):^ct=^t(18)L1-L^Lt=^t+^At+^kt-^Lt(19)^t=^t+1+r1+r^rt(20)Rt=1+rt,rrt,Rkt=1+rkt,rkrkt,rk,rk,,rk,,,,,,,rk(10)(11),:^t=^At+(1+)^Lt+^kt(21)^it=^kt+1-(-1)^kt(22)=-(1-)(12):rk1+rk^rkt=^At+(1-)(^Lt-^kt)(23)(13),,rk1+rk^rkt-r1+r^rt=-v(nt-kt)(24)v=(Rk/R)(Rk/R)(24),,rkt=rt,(14)(15),^nt+1=P(1+r)knrk1+rk^rkt-r1+r^rt+r1+r^rt+^nt(25)(16)20054RBC23©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.^cte=^nt+1(26),(17),^yt=^ct+^it+^cte(27),,(18)(27),,,,At,(21)(23),,,,,,,,,,,,,,,,,,4111,,King,PlosserRebeloRBC,01984(,R=-1=110163),,,0142,015801025(,,011),,Bernanke,GertlerGilchrist1999,(1),Rk-R0102,rk-r0102,6;(2)F(…)0103;(3)2,015(4):1-p,010272;log(),0,0128;,01124121,(^At=1),,,,Bernanke,Gertler,Gilchrist,,24298©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,,RkR,RBC,,,,(12)12,,34320054RBC25©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.413,,RBC,,,3,,,,,,,,,,,,,,,,,,,,,,,,,,,,,30%,,,55,,26298©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,,,,,,RBC,t,,,,,,,,,,,,,,,,,,,(),,,,,,,,,,,5,,,,,RBC,RBC,,Bernanke,Gertler20054RBC27©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.Gilchrist,,,,6,,,,6,,,,,,(),,,,?,Bernanke,GertlerGilchrist,,,,RBC,,,,,Bernanke,GertlerGilchrist,,,,,,Bernanke,GertlerGilchrist,,,RBC,,RBC,,,,,,,,RBC,,,,,,,,,Bernanke,RBC,,,,Bernanke,Gertler,andGilchrist(1999),,Bernanke,GertlerGilchrist,6,Bernanke,Gertler,andGilchrist,6,Bernanke,Gertler,andGilchrist28298©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.GertlerGilchrist,,RBC,,,,,Bernanke,GertlerGilchrist,,,,Bernanke,GertlerGilchrist,,,,,,,,,,,:,,1996185%,325%,183%,100%,,,1997,,90,,,2003,,,902003,Bernanke,GertlerGilchrist,,,,,,,,200410,,,,,,,,,,,:,,,,,20054RBC29©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.1Bernanke,B1S1(1993),Nonmonetaryeffectsofthefinancialcrisesinthepropagationofthegreatdepression,AmericanE2conomics40:207-238.2Bernanke,B1S1(1993),Creditinthemacroeconomy,QuarterlyReview,FederalReserveBankofNewYork18:50-70.3Bernanke,B1S1andM1Gertler(1989)1Agencycost,networth,andbusinessfluctuations,AmericanEconomicReview79:14-31.4Bernanke,B1S1andM1Gertler(1990)1Financialfragilityandeconomicperformance,QuarterlyJournalofEconomics105:87-114.5Bernanke,B1S1,M1Gertler,andS1Gilchrist(1996),Thefinancialacceleratorandtheflighttoquality,ReviewofEco2nomicsandStatistics78:1-15.6Bernanke,B1S1,M1Gertler,andS1Gilchrist(1999),Thefinancialacceleratorinaquantitativebusinesscy