Macroeconomic Impacts of Financial Shocks and Monetary Policy:Analysis Based on a DSGE Model with Three Types of Heterogeneous Households
Considering the differences in household financial market participation and household debt situation,a dynamic stochastic general equilibrium model is constructed for three types of heterogeneous households including net worth households,wealthy hand-to-mouth households and poor hand-to-mouth households,as well as two types of production sectors.The macroeconomic effects of financial shocks and monetary policy are examined.The results of the household consumption shock response analysis indicate that positive financial shocks only increase the consumption of net worth households and poor hand-to-mouth households,while the consumption of wealthy hand-to-mouth households shows a downward trend after the occurrence of positive financial shocks;and that expansionary monetary policy leads to an increase in household consumption of all the three types,but the magnitude of the increase varies significantly.On this basis,this paper compares the results of the impact response analysis between the three types of heterogeneous household models and the traditional two types of household models,and finds that whether it is a positive financial shock or an expansionary monetary policy shock,the impact response of various macroeconomic variables in the traditional two types of household models is significantly greater than that of the above three types of household models constructed in this paper.The results of volatility analysis indicate that compared to the three types of household models constructed in this paper,both the positive financial shocks and expansionary monetary policy shocks in the traditional two types of household models cause greater macroeconomic fluctuations.The results of welfare analysis show that the social welfare losses caused by monetary policy in the traditional two types of household models are significantly greater than those in the above three types of household models.This means that analyzing stable monetary policy based on the traditional two types of household models may lead to overly aggressive policy measures.
net worth householdwealthy hand-to-mouth householdpoor hand-to-mouth householdfinancial shockmonetary policy
万方数据
