Ma Yong, Jiang Yiqing
China Financial Policy Research Center, School of Finance, Renmin University of China, No. 59 Zhong Guan Cun Street, Haidian District, Beijing, 100872 China.
School of Finance, Renmin University of China, No. 59 Zhong Guan Cun Street, Haidian District, Beijing, 100872 China.
J Econ Interact Coord. 2023;18(2):275-310. doi: 10.1007/s11403-022-00368-3. Epub 2022 Aug 30.
This paper extends the conventional DSGE literature by developing a New Keynesian DSGE model featuring imperfect financial markets with various friction costs, which allows for the study of macroeconomic dynamics under different levels of financial integration. We conduct Bayesian estimation and draw implications on the macroeconomic effects of gradual financial integration using the Chinese economy as an example. We find that macroeconomic fluctuations vary with different levels of financial integration and the specific relationship depends on the nature of exogenous shocks. Variance decomposition analysis shows that as financial integration increases, the contribution of foreign exchange shocks declines while that of domestic shocks increases. We also find that there is a notable enhancement of welfare associated with improvement in financial integration, and the effectiveness of monetary policy in emerging market economies would be weakened as financial integration increases.
本文通过构建一个具有各种摩擦成本的不完全金融市场的新凯恩斯动态随机一般均衡（DSGE）模型，扩展了传统的DSGE文献，该模型允许研究不同金融一体化水平下的宏观经济动态。我们进行贝叶斯估计，并以中国经济为例，探讨渐进式金融一体化的宏观经济影响。我们发现，宏观经济波动随金融一体化水平的不同而变化，具体关系取决于外生冲击的性质。方差分解分析表明，随着金融一体化程度的提高，外汇冲击的贡献下降，而国内冲击的贡献增加。我们还发现，随着金融一体化的改善，福利有显著提高，并且随着金融一体化程度的提高，新兴市场经济体货币政策的有效性将会减弱。
