动态随机一般均衡(DSGE)模型： 理论、方法和Dynare实践

1 ( dsge ) . Dynare .. dsge dsge Dynare . dsge RBC RBC (MIU CIA) . dsge . dsge dsge . ( B&K Schur ) . Dynare .. dsge . Matlab Dynare mod Matlab .. MIU CIA .. dsge ( . ) dsge .. 010-62782989 13701121933. (CIP) . dsge : Dynare / . 2018. ISBN 978-7-302-49774-5.. CIP (2018) 037303 .. A 100084. 010-62770175 010-62786544. 010-62776969 010-62772015 .. 187mm 235mm 586 . 2018 12 1 2018 12 1 .. 074344-01.. 2017 11 . 2016 . 16 .. Dynare .. Matlab . 500 . Word 2003 dsge .. Word 2003 . ( ) . Word Esc Word . (Word Esc ) Word . dsge Dynare . Matlab (*.m) Dynare (*.mod) . Matlab Matlab 2012b Dynare . ( dsge ) Dynare.

2 ( ) . ( ) .. Kydland & Prescott(1982, Econometrica) Christiano, Motto & Rostagno(2014, AER) . 9 0 8 8 . 3 Dynare 5 dsge . Dynare 1 5 . 2 4 . 0 dsge 1 . dsge ( ) 3 . dsge . MMB . 1 dsge 3 1 2 . dsge Dynare 3 . 4 AR(1) . HP Matlab . 2 Dynare . Dynare . 3 6 Dynare . 3 10 dsge . Dynare . Dynare . 6 Dynare 5 .. II.. 4 RBC NK dsge . 1/4 . 3 RBC RBC . RBC MIU CIA .. 3 . dsge .. 4 . 5 8 . dsge .. 7 . 3 1 Gal (2008) .. Gal (2008). 2 (ZLB).. (Ramsey) . 8 dsge . Dynare . Dynare .. 0 . 2016 dsge . Paul Romer 2016 dsge . III. ( dsge ) Dynare . 2017 Jordi Gal Oliver Blanchard Joseph E. Stiglitz (CEPR). 9 dsge .

3 dsge .. (HANK) . dsge -VAR MS- dsge (Markov Switching) .. dsge .. (The Devil Is In Details) . 4 .. (No. 2313113) .. Nelson C. Mark Eric Sims Timothy S. Fuerst . Jes s Fern ndez-Villaverde Lawrence J. Christiano . John H. Cochrane .. dsge .. IV.. Cherry .. 2018 10 . @ . V.. 1 . 0 dsge 002. 002. dsge 005. 005. dsge 007. dsge 008. dsge VAR 018. dsge 019. dsge 022. CMR 023. ( ) 024. MMB 025. MMB 026. MMB 026. 029. 1 dsge 033. dsge 033. 033. 036. B&K 041. Schur 050. ( dsge ) Dynare . 057. 060. 062. dsge Dynare 070. 070. 078. dsge 086. 086. 092. 095. HP 102. 107. 2 Dynare 109. Dynare 109. 110. 110. Dynare 112.

4 112. 113. Dynare 114. Mod 114. Mod 115. Dynare 116. DYNARE 117. 117. 118. 118. 3 Dynare 120. dsge 120. VIII.. Dynare 121. Dynare 121. Dynare 122. Dynare 124. Dynare 125. 125. 126. 127. 128. level or log-level 130. Dynare 133. Dynare 134. Matlab 136. Dynare 137. 137. 138. 140. 141. 142. simul 146. 146. steady 148. 152. stoch_simul 163. 163. 164. 166. 167. (MCMC) 169. Dynare 178. 196. IX. ( dsge ) Dynare . 4 RBC NK 198. RBC 199. RBC 199. RBC 217. Laffer 248. (NK) 255. 255. (Price Dispersion) 257. 267. 268. 277. 285. 291. dsge 303. 303. 312. IRF 318. 321. 324. 2 . 5 Dynare 328. 329. 331. 332. G 333.

5 336. 338. X.. 338. 339. 339. 340. 340. 343. 345. 348. 349. 350. 353. 353. 354. 356. 357. 358. 359. Dynare 363. 373. 6 Dynare 375. Dynare 375. 375. 376. 379. 379. 380. 383. 386. (Na ve Simulation) 386. (Pruning) 387. XI. ( dsge ) Dynare . 390. Dynare 392. Dynare 392. 393. Debug 395. Dynare 396. 397. Dynare 398. Dynare 399. @#include 402. 403. 7 404. 404. 405. 415. 428. 430. 430. (NK) 432. Dynare IRF 434. (Ramsey) 437. 437. 438. Andy Levin's Code 465. 467. 8 dsge 469. 469. RBC 469. 470. XII.. 471. 471. 472. 472. KPR 474. Dynare 475. 479. 479. Dynare 481. 483. XIII. 1 .. 0. dsge . dsge 4 . dsge .

6 5 dsge . MMB .. dsge (Dynamic Stochastic Genernal Equilibrium Framework/Model, dsge Framework/Model) ( ) . dsge . dsge .. dsge .. dsge .. ( dsge ) Dynare . a b . a Torres J L. Introduction to Dynamic Macroeconomic General Equilibrium Models[M]. Vernon Art and Science, 2015. b Heer B, Maussner A. Dynamic General Equilibrium Modeling-Computational Methods and Applications(2nd edtion)[M]. Springer, 2009. 002. 1 . dsge Gal (2008, 2015) McCandless(2008) Torres(2015) . Gal (2008, 2015) Torres(2015) . dsge ( ) . Gal (2008,2015) . dsge dsge . dsge .. Torres(2015) . dsge (Consumption Habit Formation).

7 (Investment Adjustment Cost) (Investment-Speci c Technology) . (Technological Change) (Public Capital) (Household Production) (Non-ricardian Agents) . Gal (2008, 2015) Torres(2015) dsge . Dynare . Torres(2015) Dynare . Gal (2008, 2015) Dynare . Dynare .. McCandless(2008) RBC .. Matlab . Walsh(2010) . Wickens(2008) Heer & Maussner(2009) DeJong & Dave(2007) Walsh(2010) .. dsge .. Dynare Matlab . Wickens(2008) dsge .. Wickens(2008) . 003. ( dsge ) Dynare . Dynare Heer & Maussner(2009). ( ) . Heer &. Maussner(2009) . Fortran Gauss Fortran Gauss . dsge . Gauss dsge . Gauss Fortran Gauss Matlab . DeJong & Dave(2007).

8 dsge . dsge Heer & Maussner(2009) .. Uribe & Schmitt-Groh (2017) .. PPT Matlab .. dsge dsge Dynare dsge . ( ) Dynare dsge .. dsge dsge ( . ) . dsge . dsge dsge . dsge .. dsge . Dynare 1/3. 004. 1 .. dsge . dsge . ( ) dsge a . dsge Kydland & Prescott(1982, Econometrica) . (Real Business Cycle RBC) Gal (2017) RBC dsge . (Utopian) Blanchard(2017)b . dsge (The Earliest dsge Model) . RBC dsge . RBC ( . ) ( ) . ( ) ( ) . c (New Keyensian) dsge . dsge dsge . (Medium and Large-Scale) .. dsge ( . a dsge dsge . b Olivier Blanchard 2016 :Do dsge models have a future? . (Peterson Institute for International Economics) ( ) dsge .)

9 Models in the Conduct of Policy: Use as intended, edited by Refet S. G rkaynak and C dric Tille, CEPR Press, London, April 2017. 2018 34 1 2 (Oxford Review of Economics Policy) dsge . c distortion friction . (stickiness) (nominal rigidity) (nominal friction) . (source of inef ciency) . (nominal or real imperfection) . 005. ( dsge ) Dynare . ) 3 . a dsge 3 ( ) .. ( New Keyensian IS Curve)b Euler . 1. X t = Et X t +1 .. (i E . t t t +1 rt f ) ( ). Xt it t rtf AR(1) . c 0 . (New Keyensian Philips Curve . NKPC) . t X t + Et t +1. = ( ). t 0 NKPC .. Taylor . i=. t i it 1 + (1 i )( t + x X t ) + it ( ).

10 I x 0 . Blanchard(2017) dsge Euler NKPC . Euler .. NKPC . ( ) (Inertia) d . Blanchard(2017) Taylor . ( e . ) . a ' . b IS-LM IS (Investment) (Savings) IS . IS . IS ( ) . ( ) . c ' . d indexation . e . 006. 1 . dsge 3 . (Blanchard, 2017) . dsge . dsge ( . ) , . OECD ( ) dsge . Gal (2017) dsge .. (Dynamic) ( . ) ( . ) .. (Uncertainty) . (Stochastic) .. dsge ( . TPP ) Ghironi(2017) .. Ghironi(2017) dsge . dsge . dsge .. dsge ( ) ( . ) .. dsge 2017 5 . (JPE) Harald Uhlig .. 007. ( dsge ) Dynare .. Harald Uhlig dsge a dsge .. dsge (Structural) . (Unobservable) .. b .. dsge . George Box . c Box.