【主题】The Driving Forces of China’s Business Cycles: Evidence from an Estimated DSGE Model with Housing and Banking
【报告人】刘岩（武汉大学金融系副教授）
武汉大学经济与管理学院金融系公司金融教研室主任，经济发展研究中心宏观经济研究所所长，大数据研究院金融大数据研究中心副主任。
【时间】4月14日（星期三）10:00-11:30 a.m.
【地点】上海财经大学高等研究院楼310室
【语言】英文
【摘要】We study the sources of China’s business cycles in an estimated dynamic stochastic general equilibrium (DSGE) model with housing and banking. The model replicates well the volatility and cyclicality of key macroeconomic variables observed in the past two decades in China. A host of shock decomposition exercises demonstrate that, in addition to the non-housing technology shock, both financial and housing shocks are the main driving forces of China’s business cycles, accounting for nearly 90 percent of the variations in most macroeconomic variables at the business cycle frequencies. In particular, the capital quality, housing demand, and loan-to-value shocks display prominent contributions to the business cycle fluctuations. Moreover, there exists substantial interactions between the banking and housing sectors in China, where the collateral constraint and the financial constraint amplify with each other. The results shed new light in the understanding of China’s business cycles, and provide guidelines to DSGE modeling on China’s macroeconomy.
