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北京工商大学学报(社会科学版)摇 摇 摇 摇 2020 年摇 第 1 期

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Measurement of Financial Frictions and International Comparisons
Based on Analysis of DSGE Multiplier Effects

1,2 1
FENG Yanni & SHEN Peilong
(1. School of Finance, Shanxi University of Finance & Economics, Taiyuan, Shanxi 030006, China;
2. Department of Economics, Taiyuan Normal University, Taiyuan, Shanxi 030619, China)

Abstract: Based on the DSGE model with financial accelerator and contacts, this paper brings about a new measure of fi鄄
nancial frictions. Based on the theory of financial accelerator, the new measure uses the impulse responses to calculate the output
and investment multipliers, which are used for constructing the index of financial frictions. This paper also makes international
comparisons. Through numerical simulation, it is found that the output and investment of various countries show obvious multipli鄄
er effect, and the multiplier effect is different between the developed countries and developing countries, which provides a basis
for constructing financial model indicators. Under the impact of monetary policy, the financial frictions are not related to the de鄄
velopment of different countries, which reflects the universality of financial friction. In the long鄄term, the financial frictions in the
developing countries are higher than that in the developed countries, which is closely related to the immature financial system in
the developing countries. Compared with other developing countries, China has lower financial frictions, which shows the compar鄄
atively efficiency of financial and credit markets. The measure of financial frictions we take is consistent with the economic real鄄
ities, which is conducive to a profound understanding of the relationship between financial friction and real economy.
Key Words: financial friction; financial accelerator; multiplier effects; DSGE model; development finance
(本文责编摇 王摇 轶)

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