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文章将中国投资波动的矩特征进行跨国对比,总结了中国投资波动的异质性特征,并且构建了引入国内资本市场摩擦和利率风险溢价机制的RBC模型,采用贝叶斯方法校准模拟了中国投资的波动轨迹。研究结果表明:国内资本市场摩擦和国际资本流动摩擦是形成中国投资波动异质性的重要机制,两类机制的引入有助于准确拟合中国投资的波动性、相对波动性、协动性和持续性等各项波动特征;贝叶斯估计得到的中国的资本调整成本和利率风险利差的参数值反映了中国资本配置效率较低,以及国内实际利率受到国际资本流动的影响较高;驱动中国投资波动的外生冲击来源主要是利率风险溢价冲击和偏好冲击等结构性外生冲击。
The article compares the moments of investment volatility in China with those of other countries, summarizes the heterogeneity of investment volatility in China, constructs the RBC model which introduces the domestic capital market friction and interest rate risk premium mechanism, and simulates the investment of China by Bayesian method Fluctuation trajectory. The results show that the friction between domestic capital market and international capital flow is an important mechanism to form the heterogeneity of investment volatility in China. The introduction of two kinds of mechanisms helps to accurately fit the volatility, relative volatility, Sustainability and other volatility characteristics; Bayes estimated China’s capital adjustment cost and interest rate risk spread of the parameter values reflect the low efficiency of China’s capital allocation, and domestic real interest rates by the international capital flow higher; driven The sources of exogenous shocks to China’s investment volatility are mainly structural exogenous shocks such as interest rate risk premiums and preference shocks.