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動態隨機一般均衡模型:理論與應用 版權信息
- ISBN：9787522020266
- 條形碼：9787522020266 ; 978-7-5220-2026-6
- 裝幀：平裝-膠訂
- 冊數：暫無
- 重量：暫無
- 所屬分類：>
動態隨機一般均衡模型:理論與應用 內容簡介
本書著重講解如何構建模型、如何求解經濟主體優化問題、理解模型的經濟學含義、如何分析模型動態特征等，除此之外，本書還會介紹Dynare工具箱，并詳細講解如何使用Dynare獲得模型數值解，并通過解析解和數值解的對比，讓讀者理解通過Dynare獲得的數值解的含義。希望通過本書的出版降低宏觀經濟學研究的門檻。全書可以分為五個部分。**部分為引言，目的在于厘清宏觀經濟學的研究范式和研究內容，以及動態隨機一般均衡模型與宏觀經濟學研究的關系，并介紹DSGE模型求解過程中使用到的Matlab軟件和Dynare工具箱。第二部分是實際經濟周期（RBC）模型，旨在通過簡單的RBC模型講解DSGE模型的模型構建、模型求解和模型分析范式，厘清以生產率沖擊為代表的經濟沖擊的傳導渠道。第三部分是新凱恩斯模型，即在RBC模型的基礎上引入名義黏性，包括價格黏性和名義工資黏性，旨在明確引入名義黏性后經濟沖擊傳導渠道的變化及對經濟的影響。第四部分是新開放宏觀經濟學模型，將封閉經濟模型擴展到開放經濟模型，包括對稱兩國模型、非對稱兩國模型和小國模型，旨在厘清經濟沖擊傳導渠道的變化以及經濟波動的跨國傳導渠道。第五部分是專題系列，包括福利專題和金融摩擦專題，福利專題講述了現有研究中常用的測度社會福利的方法的準確性和存在的問題，金融摩擦專題講述了抵押融資約束在房地產模型和一般模型中的應用。
動態隨機一般均衡模型:理論與應用 目錄
目錄
第1部分 引言
第1章 動態隨機一般均衡模型··························································3
1.1 宏觀經濟學研究內容·······························································3
1.1.1 宏觀經濟學研究什么·························································3
1.1.2 宏觀經濟學如何展開研究···················································7
1.2 初識動態隨機一般均衡模型·····················································11
1.2.1 動態隨機一般均衡模型的特點和求解···································11
1.2.2 動態隨機一般均衡模型的應用············································15
第2章 Matlab軟件和Dynare工具箱················································17
2.1 Matlab簡介·········································································17
2.1.1 變量和矩陣····································································18
2.1.2 Matlab運算和流程控制···················································22
2.1.3 Matlab繪圖··································································26
2.2 Dynare工具箱簡介································································31
2.2.1 Dynare安裝與使用·························································31
2.2.2 模型文件·······································································33
2.2.3 求解結果的儲存······························································40
第2 部分 實際經濟周期模型
第3 章 簡單RBC 模型···································································45
3.1 簡單RBC 模型構建·······························································45
3.1.1 家庭部門·······································································46
3.1.2 廠商部門·······································································50
3.1.3 市場出清·······································································51
3.2 解析解················································································53
3.2.1 穩態求解·······································································53
3.2.2 對數線性化····································································54
3.2.3 動態求解·······································································56
3.2.4 模型分析·······································································58
3.3 數值解················································································67
3.3.1 編寫Mod 文件·······························································68
3.3.2 四種形式比較·································································79
第4 章 引入生產性資本··································································87
1.1 模型構建·············································································87
4.1.1 家庭部門·······································································88
4.1.2 廠商部門·······································································90
4.1.3 市場出清條件·································································94
4.2 解析解················································································96
4.2.1 穩態與對數線性化···························································96
4.2.2 求解模型解析解······························································98
4.2.3 動態分析····································································· 102
4.3 數值解·············································································· 106
4.3.1 參數校準和代碼···························································· 106
4.3.2 數值求解結果······························································· 107
4.3.3 脈沖反應分析······························································· 108
4.3.4 矩條件對比分析···························································· 113
4.4 引入*終產品廠商······························································· 115
4.4.1 家庭部門·····································································115
4.4.2 廠商部門·····································································115
4.4.3 市場出清·····································································116
4.4.4 模型動態系統·······························································117
4.5 附錄：求解引入生產性資本后RBC模型的Mod文件·················117
第3部分 新凱恩斯模型
第5章 價格黏性與貨幣政策121
5.1 黏性價格下廠商行為121
5.1.1 Calvo定價與廠商行為121
5.1.2 Rotemberg定價與廠商行為127
5.2 價格黏性與模型求解129
5.2.1 兩種方式下價格黏性異同129
5.2.2 求解標準新凱恩斯模型134
5.2.3 基于解析解的模型分析138
5.3 數值解143
5.3.1 數值求解結果143
5.3.2 脈沖反應對比分析144
5.3.3 矩條件對比分析146
5.4 價格指數化調整149
5.4.1 廠商優化問題及動態系統149
5.4.2 模型求解153
5.5 附錄：求解黏性價格模型Mod文件160
第6章 工資黏性與貨幣政策162
6.1 黏性工資下家庭行為162
6.1.1 黏性工資下家庭優化問題162
6.1.2 黏性工資下家庭行為決策166
6.2 模型求解170
6.2.1 對數線性化及模型解析解170
6.2.2 模型分析174
6.3 工資黏性與指數化調整·183
6.3.1 引入指數化調整后模型變動184
6.3.2 模型分析及對比 187
6.4 附錄：工資黏性模型Mod 文件 193
第4 部分 新開放宏觀
經濟學框架
第7 章 兩國開放經濟DSGE 模型 197
7.1 模型構建197
7.1.1 家庭部門行為決策197
7.1.2 廠商部門行為決策202
7.1.3 均衡條件206
7.1.4 貨幣政策方程209
7.1.5 模型動態系統 209
7.2 模型求解215
7.2.1 參數校準及模型穩態求解 215
7.2.2 模型動態求解 217
7.2.3 對數線性化 218
7.3 模型分析 223
7.3.1 理論分析 223
7.3.2 脈沖反應對比分析231
7.4 附錄：對稱兩國開放經濟模型Mod 文件237
第8 章 小國開放經濟DSGE 模型242
8.1 模型構建 243
8.1.1 家庭部門243
8.1.2 廠商部門248
8.1.3 均衡條件251
8.1.4 貨幣當局 254
8.2 非對稱兩國模型求解254
8.2.1 模型動態系統254
8.2.2 穩態求解和參數校準259
8.2.3 非對稱兩國模型動態分析261
8.3 小國模型求解265
8.3.1 小國模型動態系統及穩態求解265
8.3.2 小國模型動態解268 8.3.3 模型動態分析275
8.4 附錄284
8.4.1 兩國模型動態求解Mod文件284
8.4.2 小國模型動態求解Mod文件287
第5部分 專題系列
第9章 專題1：福利分析293
9.1 標準新凱恩斯模型293
9.1.1 家庭部門293
9.1.2 廠商部門294
9.1.3 均衡條件295
9.1.4 動態系統296
9.2 推導社會福利損失函數297
9.2.1 效用函數二階近似298
9.2.2 動態系統二階近似299
9.2.3 社會福利損失函數302
9.3 福利計算方法比較303
9.3.1 文獻中常見其他福利計算方法303
9.3.2 模型求解與福利計算305
9.3.3 經濟波動與社會福利312
9.4 附錄315
9.4.1 Mod文件315
9.4.2 Matlab 腳本文件 317
第10 章 專題2：抵押融資約束 322
10.1 房地產DSGE 模型 322
10.1.1 模型構建 322
10.1.2 抵押資產不用生產時模型求解及分析330
10.1.3 抵押資產用于生產時模型求解及分析 335
10.2 資本作為抵押品模型341
10.2.1 模型構建 341
10.2.2 資本作為抵押物時模型求解及分析345
10.3 附錄350
10.3.1 Matlab 腳本文件 350
10.3.2 Mod 文件351
參考文獻357
后記363
第1部分 引言
第1章 動態隨機一般均衡模型··························································3
1.1 宏觀經濟學研究內容·······························································3
1.1.1 宏觀經濟學研究什么·························································3
1.1.2 宏觀經濟學如何展開研究···················································7
1.2 初識動態隨機一般均衡模型·····················································11
1.2.1 動態隨機一般均衡模型的特點和求解···································11
1.2.2 動態隨機一般均衡模型的應用············································15
第2章 Matlab軟件和Dynare工具箱················································17
2.1 Matlab簡介·········································································17
2.1.1 變量和矩陣····································································18
2.1.2 Matlab運算和流程控制···················································22
2.1.3 Matlab繪圖··································································26
2.2 Dynare工具箱簡介································································31
2.2.1 Dynare安裝與使用·························································31
2.2.2 模型文件·······································································33
2.2.3 求解結果的儲存······························································40
第2 部分 實際經濟周期模型
第3 章 簡單RBC 模型···································································45
3.1 簡單RBC 模型構建·······························································45
3.1.1 家庭部門·······································································46
3.1.2 廠商部門·······································································50
3.1.3 市場出清·······································································51
3.2 解析解················································································53
3.2.1 穩態求解·······································································53
3.2.2 對數線性化····································································54
3.2.3 動態求解·······································································56
3.2.4 模型分析·······································································58
3.3 數值解················································································67
3.3.1 編寫Mod 文件·······························································68
3.3.2 四種形式比較·································································79
第4 章 引入生產性資本··································································87
1.1 模型構建·············································································87
4.1.1 家庭部門·······································································88
4.1.2 廠商部門·······································································90
4.1.3 市場出清條件·································································94
4.2 解析解················································································96
4.2.1 穩態與對數線性化···························································96
4.2.2 求解模型解析解······························································98
4.2.3 動態分析····································································· 102
4.3 數值解·············································································· 106
4.3.1 參數校準和代碼···························································· 106
4.3.2 數值求解結果······························································· 107
4.3.3 脈沖反應分析······························································· 108
4.3.4 矩條件對比分析···························································· 113
4.4 引入*終產品廠商······························································· 115
4.4.1 家庭部門·····································································115
4.4.2 廠商部門·····································································115
4.4.3 市場出清·····································································116
4.4.4 模型動態系統·······························································117
4.5 附錄：求解引入生產性資本后RBC模型的Mod文件·················117
第3部分 新凱恩斯模型
第5章 價格黏性與貨幣政策121
5.1 黏性價格下廠商行為121
5.1.1 Calvo定價與廠商行為121
5.1.2 Rotemberg定價與廠商行為127
5.2 價格黏性與模型求解129
5.2.1 兩種方式下價格黏性異同129
5.2.2 求解標準新凱恩斯模型134
5.2.3 基于解析解的模型分析138
5.3 數值解143
5.3.1 數值求解結果143
5.3.2 脈沖反應對比分析144
5.3.3 矩條件對比分析146
5.4 價格指數化調整149
5.4.1 廠商優化問題及動態系統149
5.4.2 模型求解153
5.5 附錄：求解黏性價格模型Mod文件160
第6章 工資黏性與貨幣政策162
6.1 黏性工資下家庭行為162
6.1.1 黏性工資下家庭優化問題162
6.1.2 黏性工資下家庭行為決策166
6.2 模型求解170
6.2.1 對數線性化及模型解析解170
6.2.2 模型分析174
6.3 工資黏性與指數化調整·183
6.3.1 引入指數化調整后模型變動184
6.3.2 模型分析及對比 187
6.4 附錄：工資黏性模型Mod 文件 193
第4 部分 新開放宏觀
經濟學框架
第7 章 兩國開放經濟DSGE 模型 197
7.1 模型構建197
7.1.1 家庭部門行為決策197
7.1.2 廠商部門行為決策202
7.1.3 均衡條件206
7.1.4 貨幣政策方程209
7.1.5 模型動態系統 209
7.2 模型求解215
7.2.1 參數校準及模型穩態求解 215
7.2.2 模型動態求解 217
7.2.3 對數線性化 218
7.3 模型分析 223
7.3.1 理論分析 223
7.3.2 脈沖反應對比分析231
7.4 附錄：對稱兩國開放經濟模型Mod 文件237
第8 章 小國開放經濟DSGE 模型242
8.1 模型構建 243
8.1.1 家庭部門243
8.1.2 廠商部門248
8.1.3 均衡條件251
8.1.4 貨幣當局 254
8.2 非對稱兩國模型求解254
8.2.1 模型動態系統254
8.2.2 穩態求解和參數校準259
8.2.3 非對稱兩國模型動態分析261
8.3 小國模型求解265
8.3.1 小國模型動態系統及穩態求解265
8.3.2 小國模型動態解268 8.3.3 模型動態分析275
8.4 附錄284
8.4.1 兩國模型動態求解Mod文件284
8.4.2 小國模型動態求解Mod文件287
第5部分 專題系列
第9章 專題1：福利分析293
9.1 標準新凱恩斯模型293
9.1.1 家庭部門293
9.1.2 廠商部門294
9.1.3 均衡條件295
9.1.4 動態系統296
9.2 推導社會福利損失函數297
9.2.1 效用函數二階近似298
9.2.2 動態系統二階近似299
9.2.3 社會福利損失函數302
9.3 福利計算方法比較303
9.3.1 文獻中常見其他福利計算方法303
9.3.2 模型求解與福利計算305
9.3.3 經濟波動與社會福利312
9.4 附錄315
9.4.1 Mod文件315
9.4.2 Matlab 腳本文件 317
第10 章 專題2：抵押融資約束 322
10.1 房地產DSGE 模型 322
10.1.1 模型構建 322
10.1.2 抵押資產不用生產時模型求解及分析330
10.1.3 抵押資產用于生產時模型求解及分析 335
10.2 資本作為抵押品模型341
10.2.1 模型構建 341
10.2.2 資本作為抵押物時模型求解及分析345
10.3 附錄350
10.3.1 Matlab 腳本文件 350
10.3.2 Mod 文件351
參考文獻357
后記363
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