供求冲击与人民币汇率的波动-基于DSGE两国模型的模拟分析-(1)

:DSGE刘尧成*为分析人民币汇率的波动,本文应用当前新开放经济学主流的动态随机一般均衡两国模型的研究方法,通过引入垄断竞争的市场结构和粘性的价格调整方式,模拟了在以技术冲击为代表的供给冲击和以货币冲击为代表的需求冲击下汇率的波动,进而用来拟合人民币汇率的波动结果表明相对于需求冲击,供给冲击对人民币汇率波动的拟合比较好,这表明巴拉萨-萨缪尔森效应是解释和预测人民币汇率波动的合理途径,也给我国的人民币汇率稳定政策提供了明确的导向人民币汇率模拟DSGE模型JEL:F30,F31,F32:F830.73:A:10006249(2010)090029011,,2005721,,,,,,(adhoc),MFD(MundellFlemingDornbuschModel)SarnoandTaylor(2002):,(randomwalk)(FloodandRose,1999),,(orderflow),(EvansandLyons,2002),ObstfeldandRogoff(1995)REDUX,,Kollman(2001)CavalloandGhironi(2002)Bergin(2006)!29!20109*:200433:[e-mail]211;,,(NewOpenEconomyMacroeconomics,NOEM),NOEM((UIP)),:,,;,(DynamicStochasticGeneralEquilibrium,DSGE),NOEM:TFP(2006)31,IFSCDROM1TFP∀(modelsensitive),((calibration)),,Kollman,,REDUX#,BlanchardandQuah(1989),,,();,(),,,(TFP),(1TFP)∃,%!30!:DSGE∀#∃%(2008)REDUX,,,,at=At/A*t,a^t=A^t-A^*t,,a^t1,20081-11,1294%,&∋,20091,70,,2004,DSGE(structuralshocks),,(orthogonal),,,,,,,,∀,,,,REDUX,:REDUX,kollman(2001)REDUX:DSGE;;:,*[0,1],[0,n),[n,1](finalgoodsmarket)(intermediategoodsmarket),,#,,,,()(Ut)(Ct)(Mt/Pt)(lt):Ut=()s=ts-tlogCs+1-(MsPs)1--!2l2s(1)01,;0,;!,z,z,(Ct)(CES):Ct=∗10ct(z)(∀-1)/∀dz∀/(∀-1)(2)ct(z)z,∀(∀+1)t,St,zpt(z),:pt(z)=Stp*t(z)(3)(3),:PtCt=∗10pt(z)ct(z)dz(4)(2)(3)(4)(ConsumptionBasedPriceIndex,CPI),:!31!20109∀#,,,,(6)Pt=∗10pt(z)1-∀dz1/(1-∀)=∗n0pt(z)1-∀dz+∗1nStp*t(z)1-∀dz1/(1-∀)(5)z:ct(z)=pt(z)Pt-∀Ct(6)pt(z),(6)z:ydt(z)=pt(z)Pt-∀(CWt+GWt)(7)CWtGWt:CWt,nCt+(1-n)C*t,GWt,nGt+(1-n)G*t(3)(5)(CPI):Pt=StP*t(8)PtFt+Mt=Pt(1+rt-1)Ft-1+Mt-1+#t+wtlt-PtCt-PtTt,,#t,Ft,Tt,wt,nFt+(1-n)F*t=0,UIP,1+it=(St+1/St)(1+i*t),(r)(i)1+it=(Pt+1/Pt)(1+rt),:Ct+1=(1+rt)Ct(9)MtPt=Ct(1+itit)1/−(10)lt=wt!PtCt(11)(9),(10),(11)(),,yt=Atlt,Att,At=A∃At-1+At,At,%t,:%t=wtAt(12)(staggering),Calvo(1983)Yun(1996),1-&,p.t,#t,,p.t,:maxEt{()j=0(&)jU.(Ct+j)U.(Ct)(p.tPt+j-%t+j)yt+j}(13)!32!:DSGEEtt(13):p.t=Et()j=0(&)j∋t+jP∀t+jyt+j%t+jEt()j=0(&)j∋t+jP∀-1t+jyt+j/∀∀-1(14)(14),∋t+j((13)U.(Ct+j)/U.(Ct))Pt+jyt+j%t+j,,,,tp.t1-&,&pt-1,t(PHt):PHt=[(1-&)pt.1-∀+&p1-∀t-1]11-∀(15)(15)(PFt)()Gt,:TtMt-Mt-1Pt,Gt=Tt+Mt-Mt-1Pt,:Mt=M∃Mt-1+Mt,MtAtMt,BlanchardandQuah(1989),,∃A∃M(AtMt),(steadystate),∀()^(8),S^t=P^t-P^*t,,(10):(M^t-M^*t)-S^t=1−(C^t-C^*t)-−(1-)(S^t+1-S^t)(16)M^t=∃MM^t-1+Mt,M^*t=∃MM^*t-1+Mt,:(M^t+1-M^*t+1)=∃M(M^t-M^*t)+Mt(17),:(A^t+1-A^*t+1)=∃A(A^t-A^*t)+At(18)(9):!33!20109∀Uhlig(1999)C^t+1-C^*t+1=C^t-C^*t(19)(19):,,(12):^%t=w^t-A^t,w^t(11):w^t=^lt-P^t-C^t(14)(15)^%w^t:-&[P^Ht+1-P^*Ft+1]+(1+&2)[P^Ht-P^*Ft]=(1-&)(1-&)[(c^-c^*)+(A^t-A^*t)-(^lt-^l*t)](20)(20),(7):y^t=∀P^t-p^t+CWC^Wt+GWG^WtCW+GW,y^*t=∀P^*t-p^*t+CWC^Wt+GWG^WtCW+GW(21)ct=yt,(21):∀(S^t+1-&S^t)-[(^(t-^(*t)]=(A^t+1-A^*t+1)-&(A^t-A^*t)+(^lt+1-^l*t+1)-&(^lt-^l*t)(22)(22)(^(t-^(*t)(P^Ht+1-P^*Ft+1)-&(P^Ht-P^*Ft),,&,,(^(t-^(*t),(16)(17)(18)(19)(20)(22),6,(C^t-C^*t)S^t(A^t-A^*t)(^lt-^l*t)(M^t-M^*t)(^(t-^(*t)6,,6:DEtXt+1=H1Xt+H2)t(23)Xt=[(C^t-C^*t),(^lt-^l*t),S^t,(^(t-^(*t),(A^t-A^*t),(M^t-M^*t)]T,)t=(At,Mt)T,DH1606,D,H2602():&∀−∃A∃MgAgM,(2006)0989&,(0,1),,&07523,&05025,02505075095∀−,(2008)158(persistence)∃A∃M,gAgM,(2006)31∃A039,gA08;19782004∃MgM08241()(23),(C^t-C^*t)(^lt-^l*t)(S^t),,(23):EtXt+1=D-1H1Xt+D-1H2)t(24)!34!:DSGE(24)D-1H11,,(animalspirit)(),11,1&∀−∃A∃MgAgM0.9890.250.50.750.951.580.390.60.82.4,,&0751D-1H103900060000758610000134524810331,1,1MATLAB23:1∃A=0.39,∃A=1,32,∃A∃M(transitory,∃A=039)(∃A=1),2∃A=039,,,,,,(RealBusinessCycle,RBC),!35!20109PY=MV,MV,YP,,,,UIP,,(overshooting)∃A=1,,(19):∃M=0.6,∃M=13:,33(∃M=06)(∃M=1):,,,,,,,,,3,ObstfeldandRogoff(1995),,,&,23,&=095,,(),&=025,,()!36!:DSGEDSGE,(stickypricemonetarymode,lSPMM)∀,RBC,(St)(yt)(comovement),,219782007GDP;19782007GDP(lead)(lag)3,32(corr(St+k,yt))k-3-2-101230.14700.41800.75601.00000.75600.41800.1470-0.3877-0.5485-0.5549-0.4551-0.08780.03220.13900.55970.71370.87891.00000.87890.71370.5597-0.4232-0.5579-0.5595-0.5696-0.0824-0.00720.17360.25670.39970.62931.00000.62930.39970.25570.21570.35940.59910.99850.62790.39860.2557:IFSCDROM2,19782007,,(),,,,,,,,,(k=0)-04551,1,:(1),-05696,,,09985,,,k0,,k=2,,-,,#,,-;(2),,k0k0!37!20109∀#SPMM,SarnoandTaylor(2002),104-1082k3,,,,,,DSGE,,,,,-,,,,,,,,,,,,,,NOEMDSGE,,,,DSGE,,,,,,,,,,:Bergin,P.,2006,HowWellCantheNewOpenEconomymacroeconomicsExplaintheExchangeRateandCurrentaccoun,tJournalofInternationalMoneyandFinance,25,675-701.Blanchard,O.andD.Quah,1989,TheDynamicEffectsofAggregateDemandandSupplyDisturbances,AmericanEconomicReview,September,655-673.Calvo,G.A.,1983,StaggeredContractsinaUtilityMaximizingFramework,JournalofMonetaryEconomics,12,383-398.Cavallo,M.andF.Ghiron,i2002,NetForeignAssetsandtheExchangeRate,JournalofMonetaryEconomics,49,1057-1097.Evans,M.andR.Lyons,2002,OrderFlowandExchangeRateDynamics,JournalofPoliticalEconomy,110,170-180.Flood,R.andA.Rose,1999,UnderstandingExchangeRateVolatilityWithouttheContrivanceofMacroeconomics,EconomicJournal,109,!38!:DSGE660-672.Kollman,R.,2001,TheExchangeRateinaDynamicOptimizingBusinessCycleModelwithNominalRigidities:AQuantitativeInvestigation,JournalofInternationalEconomics,55,243-262.Obstfeld,M,andK.Rogoff,1995,ExchangeRateDynamicsREDUX,JournalofPoliticalEco