Inflation, Output, Employment and Monetary Policy Shock
|School||Tianjin University of Finance and Economics|
|Keywords||New Keynesian DSGE model FAVAR model Monetary Policy|
The papers were using new Keynesian DSGE (Dynamic Stochastic General Equilibrium) model and the VAR model and FAVAR (Factor-Augmented Vector Auto Regression) model from the perspective of theoretical and empirical studies of inflation , output, employment impact of monetary policy impulse response , comparative analysis of the results of theoretical models and empirical models of similarities and differences , and the reasons for the differences between the inquiry . Both models use for analysis is mainly because these two models represent the two different modeling idea , one DSGE model has tight micro economic theory , the other model is to overcome the VAR FAVAR model can not contain relatively defects in multivariate VAR model with expansion factor is largely dependent on the data model can be achieved through these two complementary advantages . First, we established a price and wage stickiness containing DSGE model and the parameter calibration and model solution , the simulated inflation , output, employment impact of monetary policy impulse response ; Then, based on China's macroeconomic quarterly data respectively, using the VAR model and the number of factors FAVAR contain different model empirical analysis , also got these three variables to monetary policy shocks impulse response , and in order to study a number of different factors in which the role of the FAVAR model , we used a factor , respectively , the three factors of the impulse response to the results observed ; Finally , respectively VAR model and the number of factors FAVAR containing different empirical model are simulated theoretical pulse and the pulse comparison, found : contains three factors FAVAR model are empirical and theoretical pulse pulse closest to , and can better fit the characteristics of the actual operation of China's economy . This indicates that : FAVAR model does VAR model overcomes the defects of many macroeconomic variables from the extract relevant information aspect is relatively successful , so FAVAR model than the VAR model is more suitable for our empirical DSGE model .