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金融加速器、资产价格和货币政策FinancialAccelerator,AssetPriceandMonetaryPolicy研究领域：宏观经济学宛圆渊作者为北京大学中国经济研究中心2002级硕士研究生。现为宾夕法尼亚州立大学经济系在读博士。感谢易纲老师对本文的指导。同时感谢宋国青，何茵和韩廷春教授的有益评论。当然文责由作者承担。作者的电子邮件为：wan_ynyn@yahoo.com。-1金融加速器、资产价格和货币政策内容摘要：本文在Carlstrom&Fuerst（1997）工作基础之上，进一步讨论以资本品生产厂商为载体的金融加速器效应。作者发现基于资本品生产厂商的金融加速器效应实际上通过两种渠道来实现：期内效应和期间效应。由于信贷市场上信息不对称，企业投融资的数量受到其自有资本金数量的影响。正向的技术冲击能够增加企业自有资本金，从而成倍增大企业的投资数量和未来资本金数量，这是所谓的期内效应。与此同时，投资变动会促使资产价格变动，从而扩大或缩小加速乘数，即便是资本金数量不变，企业的投融资数量也会因此而改变，这使所谓的期间效应。技术冲击引起的期内效应和期间效应是同向的，而企业资本金扰动产生的期内效应和期间效应是反向的。本文也引入货币，发现即便是在价格灵活浮动的情况下，只要信贷市场存在摩擦，名义利率的变化也会通过影响企业投资的资金成本产生真实效应。这与以往文献假设价格粘性所引起的真实效应不同。因此，当经济面临技术冲击的时候，中央银行可以通过对资产价格做出反应来部分地抵消期间效应对外生冲击的放大作用。对模型的数值模拟较为显著地支持了上述结论，也比较好地拟合了实际数据特征。关键词：资产价格金融加速器货币政策JEL：E32,E44FinancialAccelerator,AssetPriceandMonetaryPolicyAbstract:ThispaperdiscussestheFinancialAccelerator(FA)effectwhichisbasedoncapitalgoodsproducerbymodifyingtheframeworkofCarlstrom&Fuerst(1997).IarguethattheFAeffectbasedoncapitalgoodsproducersisrealizedbytwochannels:intertemporalchannelandintretemporalchannel.TheformerreferstotheFAeffectinrelationtoassetpriceincrease;thelatterconnectswiththeFAeffectinducedbytheriseofnetasset.Thesetwoeffectscausedbypositivetechnologyshockarebothpositive.However,theintertemporaleffectispositivewhiletheintretemporaleffectisnegativewhentheeconomyisinterruptedbypositiveentrepreneurnetassetshock.Byintroducingmoneyinthemodel,thispaperfindsthatnominalinterestratehasnon-trivialeffectonrealvariableseventhepriceisflexible;thismechanismdiffersfrompricesticky.Astraightforwardimplicationisthatmonetaryauthoritymaystabilizethefluctuationinducedbytechnologyshockbytakingassetpriceintomonetaryrules.Thesimulationresultsupportstheconclusions.Keywords:FinancialAcceleratorAssetPriceMonetaryPolicyJEL:E32,E44-2目录引言...........................................................................................................................................3一、文献综述...........................................................................................................................6二、基本模型...........................................................................................................................82.1整个经济....................................................................................................................82.2消费者.......................................................................................................................92.3企业.........................................................................................................................112.4最优合同..................................................................................................................122.5共同基金..................................................................................................................162.6企业家......................................................................................................................162.7政府.........................................................................................................................172.8小结：经济运行的时序.........................................................................................17三、局部均衡.........................................................................................................................183.1资本品市场局部均衡分析.....................................................................................183.1.1技术冲击.....................................................................................................193.1.2货币政策变动.............................................................................................193.1.3企业家净资产增加.....................................................................................193.2可贷资金市场的均衡.............................................................................................203.3局部动态特征.........................................................................................................20四、定义一般均衡.................................................................................................................224.1市场出清条件..........................................................................................................224.2消费者的行为方程..................................................................................................234.3企业家的行为方程..................................................................................................234.4合约特征..................................................................................................................234.5其他..........................................................................................................................24五、校准和全局动态特征.....................................................................................................245.1对数线性化.............................................................................................................245.2参数赋值.................................................................................................................265.3脉冲响应...........