| Economic fluctuations have always been one of the hotspots in macroeconomic research.However,mainstream economics has long neglected the impact of financial factors on economic fluctuations,which not only seriously underestimated the financial system on the macroeconomic impact,but also rules out the endogenous relationship between the financial factor and the economic fluctuation in theory.Bernanke and others have made important contributions to this.They found that changes in the credit market condition could have an amplification effect on the initial shock and define it as the"financial accelerator effect",but they only validated the existence of the "financial accelerator effect" from the firm perspective.After the 2008 international financial crisis,some scholars have expanded this,and they also confirmed the existence of "financial accelerator effect" from the bank perspective.However,recently some scholars have questioned this view.They found that the impact of financial accelerators on exogenous shocks is not consistent,and has the differentiation effect.On the one hand,financial accelerator will amplify the impact of exogenous shocks.On the other hand,it will also dampan the impact of exogenous shocks.Even a few scholars believe that the financial accelerator has no effect on exogenous shocks.In other words,there is no consensus on whether the financial accelerator will amplify the economic fluctuations caused by exogenous shocks.At the same time,after the 2008 international financial crisis,the academics found that real shock will not only propagate and amplify through the financial accelerator,but also the financial shock itself will affect the economic fluctuations.Moreover,the time-varying impact of financial shock on economic fluctuation has not yet been studied.Based on this,this paper attempts to examine the impact of financial factors on economic fluctuation from the two dimensions of financial accelerator and financial shock.Among them,the financial accelerator refers to the change of credit market condition on the initial shock of the amplification effect.Financial shock refers to financial distress.Economic fluctuation refers to fluctuations in macroeconomic variables such as output,consumption.For the impact of financial accelerator on economic fluctuation,this paper attempts to make an objective judement on whether the financial accelerator will amplify the economic fluctuation caused by exogenous shock from the perspectives of firm perspective and bank perspective.The firm perspective involves the amplification effect of the changes in the firm’s balance sheet conditions on(the economic fluctuations triggered by)the exogenous shocks under the condition of information asymmetry.The bank perspective involves the amplification effect of the changes in the bank’s balance sheet conditions on(the economic fluctuations triggered by)the exogenous shocks under the condition of information asymmetry.For the impact of financial shock on economic volatility,this paper focuses on the time-varying impact of financial shock on the economic fluctuation.In order to analyze the impact of financial accelerator on economic fluctuation from the perspective of firm,this paper constructs a DSGE model with the financial accelerator from the perspective of firm,and uses the model to examine whether the financial accelerator in the firm perspective has the amplification effect on economic fluctuations caused by exogenous shock.The study finds that the financial accelerator in the firm perspective will amplify the impact of exogenous shock on the financial market,but the impact on the real economy depends on the nature of exogenous shocks.On the one hand,it will enlarge the fluctuation impact of monetary policy shock and consumption preference shock in the real economy.On the other hand,it also dampens the fluctuation impact of technological shock and investment efficiency shock in the real economy.While the latter can be explained by the debt deflationary effect and the cost of capital adjustment,respectively.In order to study the impact of financial accelerator on economic fluctuation from the perspective of bank,this paper constructs a DSGE model with financial accelerator in the perspective of bank,which can be used to explore whether the financial accelerator in the bank perspective will amplify the macroeconomic fluctuations caused by exogenous shocks.The results show that the financial accelerator in the bank perspective also has a differentiation effect on exogenous shocks.On the one hand,it will enlarge the impact of monetary policy shock,consumption preference shock and money demand shock on the economic fluctuations.On the other hand,it also dampens the impact of technological shocks on economic fluctuations.This impact could be explained by debt deflationary effects.Then,this paper analyzes the contribution of different exogenous shocks to economic fluctuation by means of variance decomposition and historical decomposition.The studys show that,in the short term,China’s output and investment and other real economic fluctuations caused by a variety of shocks together,in which the impact of the most prominent technological impact,but the impact of technological shock on the external financing premium is not significant.In the long run,the impact of technological shock has become a decisive force affecting macroeconomic volatility,and the impact of consumer preference shock,money demand shock and monetary policy shock is declining.For the impact of financial shock on economic fluctuation,this paper based on the monthly macroeconomic data from January 1996 to December 2016,using the time-varying parameter vector autoregressive(TVP-VAR)model to explore the different periods the time-varying impact of financial shock on economic fluctuation.The study shows that the financial shock of 1997 has a certain impact on China’s economic fluctuation,but it is not significant,and in the process of callback with overshooting,and the financial shock of 2008 makes the macro economy suffer a greater impact and accompany by a short stagflation risk,but in the callback process does not appear overshooting response;new normal period of financial shock makes the macroeconomic overall "L-type" fluctuations in the characteristics.Furthermore,by comparing and analyzing the impact of financial shock on macroeconomic fluctuation in different periods,it can be seen that the impact of financial shocks on macroeconomics in 1997 and 2008 is significantly stronger than that of other periods,and the latter is more significant. |
