Structural Econometric Method And Application In Two Types Of DSGE Models

Dynamic Stochastic General Equilibrium(DSGE)models have become the benchmark models of macroeconomic volatility research and policy analysis,its estimation methods have also been considered the mainstream macroeconomics analysis tool.Nevertheless,since DSGE models have no sure reduced form,different reduced forms give rise to a variety of structural econometric method.As a result,the structural econometric method in DSGE models is one of the important research content of theoretical econometrics.This paper has studied the evolution of DSGE models with special attention to the evolution process of the structural econometric method in DSGE models,in order to as far as possible decrease the structural information loss and subjectivity in the setting of the reduced form,this paper represents two types of new Keynesian DSGE models(DSGE models and MS-DSGE models)as Dynamic Factor(DF)models and Dynamic Factor with Markov-switching(MS-DF)models,respectively obtain a new kind of reduced form for two types of DSGE models,in this way not only can identify the common dynamic driving factors of economic variables in DSGE models,but also can understand the economic meaning of unobservable dynamic factors in DF models and MS-DF models.In theory,this paper improves the structural econometric method in two types of DSGE models in view of this new kind of reduced form;in application,this paper studies the nonlinearity characteristics of China's macroeconomic fluctuations by developing a MS-DSGE model.Therefore,on the one hand this paper improves and develops the structural econometric method of DSGE models and provides a new way for the structural econometric analysis of this two types of DSGE models by deeply studying the structural econometric method,on the other hand,also provides the relevant theoretical basis for the application in empirical research of DF models,and develops MS-DSGE models in the framework of general equilibrium to make an empirical analysis for the asymmetry of China's macroeconomic fluctuations,thus can provide a theoretical reference in China's macroeconomic control policy choice.In consideration of the reduced form of this two types of DSGE modes,this paper has studied identification and estimation.First,this paper has realized just identification of the structural shocks by applying identifying constraint conditions on the basis of the long-term and short-term relations among macroeconomic variables and the theoretical setting of DSGE models,it has provided precondition for a stable estimation.Second,in order to avoid the problem of unobservable hidden variable,this paper has provided the EM algorithm of Maximum Likelihood Estimation,this method is different from the EM algorithm of Maximum Likelihood Estimation for general state space models and frequently-used Bayes method.This paper not only gives the analysis process of this method,but also discovers that the parameter estimator has asymptotic normal distribution and the EM algorithm is convergent,Monte Carlo simulation analysis discovers that the EM algorithm of Maximum Likelihood Estimation has well finite sample property for a stable DF model.Third,in order to solve the subnormal computational efficiency in EM algorithm accompanying high-dimensional parameters or more missing data,in addition to the EM algorithm of Maximum Likelihood Estimation,this paper provides a kind of two-phase estimation method for the DSGE model with lesser sample size and more economic variable,the results prove that the two-phase estimator of model parameter has consistency and asymptotic normal distribution;Monte Carlo simulation analysis also discovers that the coefficient matrixes of dynamic factor equation have well finite sample property,just the estimation effect of the coefficient matrixes in common factor equation is concerned with contemporaneous correlation of common shocks;however,the increasing of sample size can obviously improve the estimation effect for a stable DF model.Lastly,in order to inspect the nonlinearity characteristic of China's macroeconomic fluctuations in the framework of general equilibrium,and provide theoretical and quantitative reference in China's macroeconomic control policy choice,this paper focuses on China's macroeconomic reality,adequately considers the asymmetric characteristic of China's macroeconomic in the framework of new keynesianism,and develops a MS-DSGE model to make an empirical research,the research finds that at risk of China's economic stagflation,Chinese government must stick to expansive fiscal policies like structural tax cut and increasing government purchase and other technology-enhancing policies,so as to stimulate macroeconomic in continuous and steady growth which can offset these policies' squeeze-out effect and stabilize price level.Especially when the economy is in a recession system,Chinese government should carry out timely and effective macro-control policy to remove economic fluctuations,and stimulate the transfer of the economic system.