Research On Monetary Policy Transmission Mechanism Based On The Financial Friction Accelerator Model

Monetary policy is an important means of national economic regulation, and isalso a common shock in the economy. People always question the validity,necessityand its advantages or disadvantages impact on the economic of the monetary policy inthe economic booming periods, while possess lots of expectation for monetary policyduring the economic depression. That makes the monetary policy transmissionmechanism and effectiveness became a hot topic in the study of monetary andeconomic.Bernanke, Gertler and Gilchrist et al put forward the financial accelerator theoryin1996in the context of the financial accelerator and economic performance. Thetheory based on the condition of the imperfect financial market, took the debt contractbetween the asymmetrical informed lender and borrower into the dynamic analysis ofmacroeconomic, and became the representative macroeconomic analysis theory ofmacroeconomic analysis under financial credit market friction. In1999, Bernanke etal put together the price stickiness, wage stickiness and monetary factors in a newKeynesian framework established a formal BGG model, so that standardized thefinancial accelerator theory in the form of model. The theory possess the view thatthere are transaction costs exist in a incomplete financial credit markets,which makesthe enterprise external financing costs are higher than internal financing, and sensitiveto the enterprise financial leverage. As in reality China’s financial credit market is notmature and the enterprises are strongly dependent on external financing, we think,from the emotional and intuitive level,that the transmission of monetary policy inChina may be affected by these financial factors.So,this paper based on the financial accelerator theory to build a new KeynesianDSGE model which contains the financial accelerator mechanism of friction, nominaland real stickiness so as to analysis the role that financial frictions act in the monetary policy transmission process and the effects financial frictions take. On the one hand,so as to open the monetary policy transmission "black box", and effectively sort themonetary policy transmission process under a condition of financial friction. On theother hand, in quantitative terms, with a hope to test the existence of financial frictionacceleration mechanism and its size in a environment with imperfect financial market,by describing financial friction more meticulous and realistic depiction on the basis ofBGG model.This paper used calibration method and Bayesian estimation method, along withChina’s quarterly data from1999to2013estimated the parameters of the model, andused the method of numerical simulation and impulse response model for the modeldynamic analysis. Finally getting the following conclusions:The new Keynesian DSGE model with a financial accelerator mechanism offriction can be used to describe the real economy of our country. Under the conditionof the presence of financial friction accelerator mechanism, the effect of investment inthe transmission of monetary policy is amplified greatly, but the influence ofmonetary policy on actual economic variables, such as investment and output last ashort time. Under the analysis of model with financial accelerator mechanism offriction and nominal and actual stickiness, the negative monetary policy will bringdown long-term social capital stock, affecting the long-term financing of the society,which is one of the biggest financial friction effects. Financial frictions will enlargethe economic shock, and the stickiness extend the duration of impact effect. Under theeffect of viscous and, in particular, actual viscous, monetary policy performed poorlyon governing inflation.