关键词: 情绪冲击, 资产泡沫, 经济波动, 动态随机一般均衡模型

Abstract: Based on Smets and Wouters (2003) and Christiano et al. (2005), we develop a DSGE model to investigate the impact of equity bubbles on the business cycle by taking into account the sentimental shock. We estimate the model by utilizing the Bayesian approach and employing the quarterly data of China from 2000 to 2016. We find that given the financing constraints faced by the firms, the positive sentimental shock will augment the size of equity bubbles and relax the credit constraints, and thus boost the investment and the business procyclicality of a number of economic variables. The sentimental shock can explain 55.2% of volatility of stock prices and business procyclicality in China. The labor supply shock, technology shock, investment-specific shock and financial shock are the sources of economic volatility in China although the contribution of each shock to the production, consumption, investment, labor time and equity price changes is heterogeneous.

Key words: Sentimental Shock, Assets Bubbles, Business Cycle, DSGE Model