Санхүүгийн хурдасгагчтай динамик стохастик ерөнхий тэнцвэрийн загвар

Abstract

This paper considers the dynamic stochastic general equilibrium model with financial accelerator which is presented by Ben S.Bernanke, Mark Gertler and Simon Gilchrist in 1999 (hereafter BGG). They develops a dynamic stochastic general equilibrium model, hereafter DSGE, that is intended to help clarify the role of credit market frictions in business fluctuations. BGG model is characterized by sticky price setting, asymmetric information and agency problems. Here, I simulate BGG model with and without financial accelerator mechanism. Simulations results and BGG results are similar so that, under reasonable parametrizations of the model, the financial accelerator has a significant influence on business cycle dynamics. The results show that whether the presence of financial accelerator mechanism, as proposed by Bernanke et al(1999), significantly amplifies and propagates the impact of shocks depends on the shock type. As for the responses of monetary policy shock, financial accelerator has no significant effects on the dynamics; when the technology shock occurs the external finance premium dampens the effects of the shock. If there is a government spending shock in the economy, the presence of financial accelerator amplifies and propagates the effects of the shock in some extend.