The Simulated Test And Empirical On The Financial Accelerator Effect Under Six Departments DSGE Models

Based on the financial accelerator as the research object. At home and abroad about the financial accelerator research mainly has the following three directions: existence research,asymmetry and regional differences, and the research method is relatively single, relative lack of a variety of methods of the combination of systematic research.In this paper, based on the theory of economic fluctuation and financial accelerator, analyzed from the perspective of macro economic output in the credit, exchange rate, monetary policy and other factors impact the financial accelerator effect. This paper analyzes the impact factors,such as credit, monetary policy and exchange rate effect on the financial accelerator effect mechanism, and on this basis, simulation test and empirical test model is established.Simulation test part by building contains family, manufacturers, Banks, retailers and monetary authorities, foreign trade six departments DSGE models, the model of logarithmic internalization, a total of 19 equations, 19 parameters. Through parameter assignment and use the maximum likelihood to estimate the parameters, and simulated test and eventually.Variables, this article selects 7 observation are GDP, total social retail sales, urban fixed-asset investment, price index, the CPI inflation, interest rates(), money supply and the RMB exchange rate against the dollar(t,) sample interval for 4 quarter 1 quarter of 2003 to2003, all the data in the seasonally adjusted, and the consumer price index is used to change the nominal values into the actual value, in order to eliminate the influence of price factors.By using MATLAB simulation test, simulation pulse results showed:(1) the output in by currency, credit and monetary policy variables such as impact after all can have a significant fluctuations, the financial accelerator effect exists;(2) exchange rate after the impact on other relevant variables in the economy, and produce the large fluctuation, the exchange rate in the market financial accelerator effect significantly;(3) the credit after the impact on other relevant variables in the economy, and produce the large fluctuation, the financial accelerator effect significantly in credit in the market;(4) to other related variables on the monetary policy on economic impact, produce the large fluctuation, credit in the market financial accelerator effect is remarkable.Empirical analysis part also use our country’s macro economic quarterly data(select only the observable variables), output, consumption, investment, interest rate, credit,monetary policy, inflation and exchange rate and exchange rate as variables, using VAR model, the impact on exchange rates, credit shock and impact of monetary policy, which can identify respectively analyzed the three kinds of impact on influence on the performance ofthe economy, from the Angle of empirical research the influence of our country economy the financial accelerator effect. Finally we compare simulation results with the empirical results above, and finally it is concluded that the financial accelerator factors exist in the economic operation in our country, the financial accelerator effect caused by the impact of different variables on a slight difference, but the credit, monetary policy and exchange rate as the main macroeconomic variables in economic operation, caused by the financial accelerator effect is very significant. So this article suggested that should further perfect the construction of credit market in China, asset price fluctuations should be brought into the monetary policy considerations, enhance the use of counter-cyclical monetary policy, to recover the economy and strengthen the reform of interest rate marketization of exchange rate fluctuations in response to economic fluctuations, promote orderly and healthy development of the economy.