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sidenav header background[11月1日]国际经济学workshop
发布日期:2016-10-28 01:51 来源:北京大学国家发展研究院
时间:2016年11月1日(周二)10:30-12:00 am
地点:北大国发院/中国经济研究中心小教室
主持人:余淼杰 余昌华 王歆
主讲人:袁宇菲
题目:Housing Wealth and Aggregate Fluctuation: The Perspective of Large-open Economy
摘要:In this paper, we set up a new dynamic stochastic general equilibrium model (DSGE) for an open economy, and estimate it with the US data using Bayesian methods. Besides the real and nominal frictions already contained in the current literature, the model also characterizes the financial friction of houses being used as collateral for domestic loans with the endogenous quantification of the collateral value, i.e. housing wealth. The paper makes three contributions to the current literature. Firstly, it makes quantitative improvements in several long-standing puzzles of international economic correlation. For example, the model has out-of-sample predictions of the nominal exchange rate strictly better than random walk. Secondly, it provides the quantitative assessments of the relative importance of various shocks for the US business cycles. Foreign-sourced disturbances and the shocks to domestic total factor productivity (TFP) of tradable-good sector account for 80% of the fluctuations of the US gross domestic product (GDP). The impulse response analyses clarify the corresponding transmission mechanisms which are also compared with the related theoretical conjectures and empirical evidences in literature. Thirdly, through counterfactual analysis, it also analyzes the reasons for why the model works.
主讲人简介:
袁宇菲老师是加拿大西安大略大学毕业的经济学博士。2009年-2015年担任厦门大学王亚南经济研究院副教授。2016年起至今为北京大学国家发展研究院副研究员。其研究领域包括数量宏观经济学、房地产经济学、金融经济学和国际金融。其论文发表在Journal of Banking and Finance, Journal of Real Estate Finance and Economics等期刊上。
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