期刊：
Emerging Markets Finance and Trade,2020年56(12):2826-2851 ISSN：1540-496X
通讯作者：
Yang, Liu
作者机构：
[Yang, Liu; Yi, Yuhuan] Cent China Normal Univ, Coll Econ & Business Management, Wuhan, Hubei, Peoples R China.;[Yang, Liu] Cent China Normal Univ, Wuhan, Hubei, Peoples R China.
通讯机构：
[Yang, Liu] C;Cent China Normal Univ, Wuhan, Hubei, Peoples R China.
关键词：
DSGE model;E43;E51;G21;maturity mismatch;required reserve ratio
摘要：
This paper studies the role of reserve requirements as a macroprudential policy tool in China. In a factor-augmented vector autoregression of China, we find that banking system works as a shock absorber. To explain this "financial attenuator" effect, we extend an otherwise standard New-Keynesian model including (i) a banking sector with financial frictions with households, (ii) a credit in multi-period contracts, (iii) a central bank that conducts monetary policy by adjusting the nominal interest rate in response to the money-growth rate, and (iv) the reserve requirement (RR) as a macroprudential policy instrument. The quantitative analysis of the estimated model shows that the presence of a maturity mismatch makes a bank's leverage less procyclical, which offsets the effects of financial frictions and makes the bank's balance sheet function as a shock absorber. Our analysis also suggests that countercyclical RR adjustment can enhance welfare compared to fixed an RR ratio in the presence of a maturity mismatch but faces important implementation challenges. In particular, an RR policy countercyclically responding to bank lending can effectively stabilize the economy but increase financial fragility, as the "credit attenuator" effect stemming from the maturity mismatch will be offset by this policy.
会议名称：
The Second International Joint Conference on Computational Science and Optimization(CSO 2009)(2009 国际计算科学与优化会议)
会议时间：
2009-04-24
会议地点：
三亚
会议论文集名称：
The Second International Joint Conference on Computational Science and Optimization(CSO 2009)(2009 国际计算科学与优化会议)论文集
摘要：
This paper analyzes the effects of energy price shock from a general equilibrium standpoint. We develop a dynamic stochastic general equilibrium (DSGE) model for the China economy. The model explicitly includes energy in the technology used by domestic firms. By using the quarterly data of 1996-2005 in China, we argue the model is an ideal framework for Chinese energy problem analysis. With the model we simulate how economy would respond to an energy price shock. We show that an increase in the real price of energy leads to a fall in output and the price change effect of energy will cause substitution effect between labor and energy use.
期刊：
PROCEEDINGS OF THE 5TH INTERNATIONAL CONFERENCE ON INNOVATION & MANAGEMENT, VOLS I AND II,2008年:976-980
作者机构：
[Liu, Yang] Cent China Normal Univ, Sch Econ, Wuhan 430070, Peoples R China.
关键词：
Money shock;Economic fluctuations;Dynamic stochastic general equilibrium mode
摘要：
This paper constructs a dynamic stochastic general equilibrium (DSGE) model which incorporates money by CIA(Cash-in-advance) approach, and applies it to Chinese business cycle model analysis from 1996 to 2005. The comparison of simulation results and actual data imply that the model can reflect economic fluctuations. Quantitative analysis demonstrates that technology shock and money shock contribute to more than 89% of Chinese Economic Fluctuations, and DSGE model is an ideal framework for Chinese monetary policy analysis. The paper also suggests to incorporate the sticky price property and fiscal policy to explain the economy better.
