Macroeconomic Fluctuation And Policy Shocks

This paper first develops a New-Keynsian stochastic dynamic general equilibrium (DSGE) model with sticky prices and wages. Based on the calibration of parameters and the solution of model, the paper stimulates the impulse responses of inflation, output and employment to a positive monetary policy shock, government spending shock and tax rate shock, which intends to investigate the effect of monetary and fisical policy. It shows out that a positive monetary policy shock and government spending have expansion effect, which means that GDP, employment and inflation rate rises when there is a positive monetary policy shock and government spending. Otherwise, a positive tax rate shock has tighten effect, which means that GDP, employment and inflation rate decreases when there is a positive tax rate shock.According to the impulse response from the theoretical research, and the mapping relationship between DSGE and VAR model, based on the seasonal macroeconomic data(only the observable variables), this paper constructs a SVAR model. According to the positive and negative effect of GDP, employment and inflation rate, this paper identifies every policy shock, using sign restriction. And then the impulse responses of inflation, output and employment to the three policy shocks are estimated, using seasonal macroeconomic data of China.Finally this paper compared the theoretical impulse and empirical impulse, from response intensity, the length of the response, and the shape of impulse response curve. It turns out that shows that theoretical impulse and empirical impulse are consistent and sign-restricted VAR model is a good empirical tool for DSGE model.The main contribution of this paper is the development of the model which can be used to analyze our country's monetary and fiscal policy. On the one hand, the whole theoretical model is based on the latest development of new keynsian macroeconomics, whose centre is the stickiness of price and competitive monopoly. On the other hand, in the empirical model, the sign-restricted VAR model is used to identify the constitutive shocks.