RBC 3 (, 100871) RBC,, RBC,, ; ; F83015 A 1002-7246(2005) 04-0016 - 15 RBC,, Modigliani - Miller (1958 ),, RBC,, RBC,?? Gertler 1988, Fisher Keynes,,,,,,,,,, 2005-03 - 05 (1978 - ),,, (1970 - ),,,, 3 Chi - Wa Yuen,,, 70271063 16
,,,,,Modigliani - Miller Bernanke, Gertler Gilchrist 1996,, Bernanke, Gertler Gilchrist ( ) ( ),,,, Bernanke, Gertler Gilchrist (1999),,, RBC, Bernanke, Gertler, Gilchrist,,, Bernanke, Gertler, Gilchrist,, RBC,,,,,, RBC,,, RBC RBC, Bernanke, Gertler Gilchrist,, Bernanke, Gertler Gilchrist?,, ;,, ;, ;,,,
,,,,,, RBC, ;, 2111,,, ;,,, 1 c t t, L t t,, l t = 1 - L t t,, u ( c t, 1 - L t ),,,,, w t, t D t, c t = w t L t + R t D t - D t + 1 (1) R t = 1 + r t, r t, w t D t,, max 6 t u ( c t,1 - L t ) (1), CES u ( c t,1 - L t ) = > 0, t = 0 c1 -, (the transversality condition) t - 1 1 - + (1 - L t) 1 - - 1 1 -, c - t = t (2) t w t = (1 - L t ) - (3) t = t + 1 R t + 1 (4)
t,, (2), (3) 2121,, t, j, j, t + 1, k j t + 1 n j t + 1 t, t + 1 j,,,, B j t + 1, B j t + 1 = k j t + 1 - n j t + 1,, n j t + 1 B j t + 1,,,,,,, ( ) ;,,,,,, Bernanke, Gertler Gilchrist,,,, j, R k t + 1 ( ), j j R k t + 1 j, F ( ), E{ j } = 1 j, Bernanke, Gertler Gilchrist,,, B j t + 1, Z j t + 1 B j t + 1 L = 6 t u(c t,1 - L t ) + 6 t t (w t L t + R t D t - D t + 1 - c t ) t = 0 t = 0 j,
g j R k t + 1 k j t + 1 = Z j t + 1 B j t + 1 (5) j g j, Z j t + 1 B j t + 1, g j R k t + 1 k j t + 1 - Z j t + 1 B j t + 1 j < g j,,,,, CSV(costly state verification),,, (1 - ) j R k t + 1 k t + 1,, Z j t + 1 g j ) g j [1 - F( g j ) ] Z j t + 1 B j t + 1 + (1-0 R k t + 1 k j t + 1 df( ) = R t + 1 B j t + 1 (6) (6),,, (6), j,,, g R j k t + 1 k j t + 1 df( ) - (1 - F( g j ) ) g j R k t + 1 k j t + 1 (7) (6) Bernanke, Gertler Gilchrist (1999), k j t + 1 = ( s t ) n j t + 1, (8) s t = Rk t + 1, s R t,, t + 1 s t 1 (1) = 1, ( ) > 0 (8), (8) s t ( s t ), (8) R k t + 1 = s n j t + 1 k j t + 1 R t + 1, s ( ) < 0 (9) (9), s t = Rk t + 1 j, s R t t + 1,,, s t, R k t + 1 R t + 1,, R k t + 1 R t + 1, s t, s t (9),,
,,,, ;,,, 3111, Cobb - Douglas y t = A t k tl 1 - t (10) y t, k t t - 1,, L t, A t, i t, (11) k t + 1 = i t + (1 - ) k t (11), t t + 1 R k t + 1 = 9y t + 1 + (1 - ) (12) 9k t + 1 (12), 9y t + 1, (1 - ) 9k t + 1, t t + 1, (12),, (8), R k t + 1 = s n t + 1 k j t + 1 R t + 1 (13) (13), n t + 1 (9), s ( ) R k t + 1, s ( ) < 0, R t + 1 R k t + 1 n R t + 1, t + 1 V t t ( t ), King, Plosser Rebelo (1988), Y t = F( K t, L t X t ), X t, = X t + 1 / X t, z t = Z t / X t, Z t t, Y t, K t, King, Plosser Rebelo, Z t C
V t = R t k t - R t ( k t - n t ) - 0 R t k t df( ) (14) (14),, R k t k t, R t ( k t - n t ), g 0 R k t k t df( ),, t, n t + 1 = pv t (15) P t t + 1, p,,, p, (1 - p) V t, c e t = (1 - p) V t (16),,, 3121,,,,, 312111, ( c t ), ( y t ), ( k t ), ( L t ), ( n t ), ( c e t ), (2) (4), R = - 1, R,, ( ),,,,,, y t = c t + i t + c e t (17), D t = B t t D t, B t
,,, (Walras law),,,, 312121, RBC, ^, (2) (3) (4) ^c t = ^ t (18) L 1 - L ^L t = ^ t + ^A t + ^k t - ^L t (19) ^ t = ^ t + 1 + r 1 + r^r t (20) R t = 1 + r t, r r t, R k t = 1 + r k t, r k r k t, r k, r k, r k,,,, r k (10) (11), < = - (1 - ) (12) (13), ^ t = ^A t + (1 + ) ^L t + ^k t (21) ^i t = <^k t + 1 - ( < - 1) ^k t (22) r k 1 + r k^r k t = ^A t + (1 - ) ( ^L t - ^k t ) (23) r k 1 + r k^r k t - r 1 + r^r t = - v ( n t - k t ) (24) v = ( Rk / R) ( R k / R) (24),, r k t = r t, (14) (15), ^n t + 1 = (16) P(1 + r) k n r k 1 + r k^r k t - r 1 + r^r r t + 1 + r^r t + ^n t (25)
, (17), ^y t = ^c t + ^i t + ^c t e (27), (18) (27),, A t, (21) (23),,,,,,,,,,,,,,, 4111,, King, Plosser Rebelo RBC, 01984 (, R = - 1 = 110163),,, 0142, 0158 01025 (, 011),, Bernanke, Gertler Gilchrist 1999, (1), R k - R 0102, r k - r 0102, 6 ; (2) F( g ) 0103 ; (3) 2, 015 (4) 1 - p, 010272 ; log( ), 0, 0128 ;, 0112 4121, ( ^A t = 1),,, Bernanke, Gertler, Gilchrist,,
, R k R, RBC,,, ( 1 2) 1 2, 3 4 3
4 1 3, RBC,,, 3,,,,,,,,,,,,,,,,,, 30 %,, 5 5,
,,,, RBC, t,,,,,,,,,,,, ( ),,,,,, 5,,, RBC, RBC,, Bernanke, Gertler
,, 6,,, 6,,,,, ( ),,,?, Bernanke, Gertler Gilchrist,,, RBC,,,,, Bernanke,Gertler Gilchrist,,,,, Bernanke, Gertler Gilchrist,, RBC RBC,,,,,, RBC,,,,,,, Bernanke, Bernanke, Gertler, and Gilchrist (1999),, Bernanke, Gertler Gilchrist, 6, Bernanke, Gertler, and Gilchrist, 6, Bernanke, Gertler, and Gilchrist RBC,,,
,,, Bernanke, Gertler Gilchrist,, Bernanke,Gertler Gilchrist,,,,,,,,,, 1996 185 %,325 %, 183 %, 100 %,, 1997,,90,, 2003,,, 90 2003, Bernanke, Gertler Gilchrist,,,,,, 2004 10,,,,,,,,,,
1 Bernanke, B1S1 (1993), Nonmonetary effects of the financial crises in the propagation of the great depression, American E2 conomics 40 207-238. 2 Bernanke, B1S1 (1993), Credit in the macroeconomy, Quarterly Review, Federal Reserve Bank of New York 18 50-70. 3 Bernanke, B1S1 and M1 Gertler (1989) 1 Agency cost, net worth, and business fluctuations, American Economic Review 79 14-31. 4 Bernanke, B1S1 and M1 Gertler (1990) 1 Financial fragility and economic performance, Quarterly Journal of Economics 105 87-114. 5 Bernanke, B1S1, M1 Gertler, and S1 Gilchrist (1996), The financial accelerator and the flight to quality, Review of Eco2 nomics and Statistics 78 1-15. 6 Bernanke, B1S1, M1 Gertler, and S1 Gilchrist (1999), The financial accelerator in a quantitative business cycle frame2 work, Handbook of Macroeconomics. 7 Gertler, M1, and S1 Gilchrist (1992), The role of credit market imperfections in the monetary transmission mechanism ar2 guments and evidence, Scandinavian Journal of Economics 95 43-64. 8 Gertler, M1, and R1G1 Hubbard (1988), Financial factors in business fluctuations, in Financial Market Volatility (Feder2 al Reserve Bank of Kansas City) 33-72. 9 King, R1G1, C1I1 Plosser, and S1T1 Rebelo (1988a), Production, growth, and business cycles I1 The basic neoclassical model, Journal of Monetary Economics 21 195-232. 10 King, R1G1, C1I1 Plosser, and S1T1 Rebelo (1988b), Production, growth and business cycles I1 The basic neoclassical model, Technical appendix, Working Paper (University of Rochester). Abstract By introducing financial accelerator into Real Business Cycle model, this paper studies the effect of asymmetric information on economy. Comparing with the traditional RBC model which does not think about the fi2 nancial accelerator, it is found that the financial accelerator enlarges the effect of economic fluctuation on econom2 ic performance and even a small fluctuation may affect economic performance largely. Key words financial accelerator, RBC model, exterior return ( ) ( FY)