【DSGE书单】DSGE理论与应用：从入门到精通

许文立，安徽大学经济学院，[e-mail]

我们以前推送过“DSGE学习进阶及其推荐书目、网站”。那里的内容相对较为简洁，而且主要针对具有高级宏微观基础的人。这也正是DSGE门槛较高的原因。很多人可能学到高级宏微观经济学就已经非常吃力，然后就放弃了。殊不知，他们离DSGE入门之差一步之遥——Dynare编程（应用）。

我们推送“【PDF版】DSGE建模与编程入门系列notes”的目的是为了我们所能降低DSGE的门槛。曾几何时，我们在推文里写道：“只需要学习过初级宏微观经济学即可。”唯一需要克服的就是“耐力”的缺失。在这场DSGE的马拉松过程中，我们所拥有的“装备”也十分关键。下面，我们就为大家推荐一些我们认为不错的DSGE书籍。（注：DSGE方面的书籍非常多，但大部分是以研究性专题著作的形式出版，下面推荐的12本书均可以作为教辅材料之用。）

一、入门级-初级：针对高年级本科生、研究生和一些零基础研究人员

1、《Understanding Dsge Models: Theory and Applications》（2016），作者：Celso Jose Costa Junior

While the theoretical development of DSGE models is not overly difficult to understand, practical application remains somewhat complex. The literature on this subject has some significant obscure points. This book can be thought of, firstly, as a tool to overcome initial hurdles with this type of modeling. Secondly, by showcasing concrete applications, it aims to persuade incipient researchers to work with this methodology. In principle, this is not a book on macroeconomics in itself, but on tools used in the construction of this sort of models. It strives to present this technique in a detailed manner, thereby providing a step by step course intended to walk readers through this otherwise daunting process. The book begins with a basic Real Business Cycle model. Subsequently various frictions are gradually incorporated into a standard DSGE model: imperfect competition; frictions in prices and in wages; habit formation; non-Ricardian agents; adjustment cost in investment; costs of not using the maximum installed capacity; and finally, Government.

这本书是我所学习的DSGE书籍中最入门级的，实在是不需要多深厚的经济学基础。每一个agent的行为方程都详细配以初级理论加以理解，而且每一步最优化求解都呈现出来了，每一章最后都会给出本章中的模型dynare code，我们可以跟随本书一步一步来入门DSGE。

2、《Introduction to Dynamic Macroeconomic General Equilibrium Models》（2014），作者：Jose Luis Torres Chacon

This book offers an introductory step-by-step course in Dynamic Stochastic General Equilibrium modelling. Modern macroeconomic analysis is increasingly concerned with the construction, calibration and/or estimation and simulation of Dynamic General Equilibrium (DGE) models. The book is intended for graduate students as an introductory course to DGE modelling and for those economists who would like a hands-on approach to learning the basics of modern dynamic macroeconomic modelling. The book starts with the simplest canonical neoclassical DGE model and then gradually extends the basic framework incorporating a variety of additional features, such as consumption habit formation, investment adjustment cost, investment-specific technological change, taxes, public capital, household production, non-ricardian agents, monopolistic competition, etc. The book includes Dynare codes for the models developed that can be downloaded from the book's homepage. The second edition is identical to the first with the exception of a revised appendix to Chapter 2. The revised appendix can be downloaded free of charge in the accompanying downloads section.

这本书是发改委宏观院的申现杰博士推荐我学习的，看了之后，觉得的确是一本非常不错的入门级DSGE书籍。里面的模型由简入繁，逐步深入，配合每一章的Dynare Code可以加深理解。

3、《The ABCs of RBCs: An Introduction to Dynamic Macroeconomic Models》（2008），作者：George McCandless

The ABCs of RBCs is the first book to provide a basic introduction to Real Business Cycle (RBC) and New-Keynesian models. These models argue that random shocks―new inventions, droughts, and wars, in the case of pure RBC models, and monetary and fiscal policy and international investor risk aversion, in more open interpretations―can trigger booms and recessions and can account for much of observed output volatility.

二、过渡-理论篇：针对那些想理解模型背后的详细经济含义与经济机制的人

4、《Macroeconomic Theory: A Dynamic General Equilibrium Approach》（2nd ed.  2012），作者：Michael Wickens

Macroeconomic Theory is the most up-to-date graduate-level macroeconomics textbook available today. This revised second edition emphasizes the general equilibrium character of macroeconomics to explain effects across the whole economy while taking into account recent research in the field. It is the perfect resource for students and researchers seeking coverage of the most current developments in macroeconomics.

这本书对模型背后的经济学机制阐述得十分清晰。内容非常广泛，绝对值得一看。

三、高级-进阶：针对相关领域的专业研究人员

5、《Interest and Prices: Foundations of a Theory of Monetary Policy》（2003），作者：Michael Woodford

经典，必看书目

6、《Monetary Policy, Inflation, and the Business Cycle: An Introduction to the New Keynesian Framework and Its Applications》（2nd ed. 2015），作者：Jordi Galí

经典，必看书目

7、《Computational Macroeconomics for the Open Economy》（2008），作者：G. C. Lim,‎ Paul D. McNelis

这本书也可以作为入门级教材，因为它也是从最基本的模型开始讲解，然后逐步引入各种摩擦。之所以将其放在这里，是因为它涉及开放经济。

四、精通级：针对那些DSGE研究者，发表高质量论文和研究报告者

8、《Structural Macroeconometrics》（2nd ed. 2011），作者：David N. DeJong,‎ Chetan Dave

经典，必读。

9、《Methods for Applied Macroeconomic Research》（2007），作者：Fabio Canova

可与Dejong那本书配合使用。

10、《Dynamic General Equilibrium Modeling: Computational Methods and Applications》（2nd ed. 2009），作者：Burkhard Heer,‎ Alfred Maussner

最大的优势在于对DSGE中异质性模型建模的详细阐述。

五、辅助书籍

11、《Handbook of Research Methods and Applications in Empirical Macroeconomics》（2015），作者：Nigar Hashimzade,‎ Michael A. Thornton

Topics covered include unit roots, non-linearities and structural breaks, time aggregation, forecasting, the Kalman filter, generalized method of moments, maximum likelihood and Bayesian estimation, vector autoregressive, dynamic stochastic general equilibrium and dynamic panel models. Presenting the most important models and techniques for empirical research, this Handbook will appeal to students, researchers and academics working in empirical macroeconomics and econometrics.

这本书对宏观计量论述十分详尽，经验宏观经济学领域最好的书籍之一。

12、《Bayesian Estimation of DSGE Models》（1st ed. 2015），作者：Edward P. Herbst,‎ Frank Schorfheide