The Importance Of The News Shock Under The New Keynesian DSGE Model

Since the reform and opening up,China's GDP has been rising at a very high growth rate,while its growth rate has experienced great fluctuations.Taking 2008 as the time node,China's economic cycle fluctuation from 1992 to 2008 showed great ups and downs,with the growth rate difference reaching 8 percentage points.Since 2009,China's economic cycle fluctuation has been relatively stable,with the maximum drop of only 4 percentage points.In order to analyze the reasons behind China's economic fluctuations,domestic scholars have conducted a lot of research and demonstration.At the present stage of the information age,the news shock become the factors that can not be ignored to affect the economic fluctuation.In order to observe the effect of news shock on China's economic fluctuations,a new Keynesian DSGE model with news shock is established in this paper.At the same time in order to better simulate the macroeconomic environment in our country,in this paper,the basic model of the SW(Frank Smets and Raf Wouters 2003)model,unlike the fully competitive RBC model,is imperfect competition model with price and wage stickiness,what's more,the model in this paper includes eight unexpected shocks(productivity shocks,investment shocks,consumer preferences shocks,government spending shocks,interest rates shocks,labor supply shocks,price mark-up shocks and wage mark-up shocks)and two news shocks(productivity news shocks and investment news shocks).When estimating the model,this paper calibrates and estimates the model parameters by using quarterly data and mixed frequency data respectively.The variance decomposition method is used to quantitatively analyze the impact of news shock on China's economic cycle fluctuations.This article conclusion basically has the following two points: one is the news shock in explaining the role of China's macroeconomic variables fluctuation is small,unexpected shock is still a major factor driving China's economic fluctuation,but based on 2008 time node,section observation results show that the news shock's status shows the characteristics of more and more important.The second is news shock on waterest economic volatility play a heavy role,on the one hand,impulse response results show that under the action of the macro variables in the news shock in our country is relatively gentle wave,on the other hand,after the 2008 expected impact for China economic cycle fluctuation of explanatory power before 2008 had improved also proved this conclusion from the side.