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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/112230


    Title: 總體審慎政策-流動性覆蓋比率-之動態隨機一般均衡分析
    Examination of Liquidity Coverage Regulation with A DSGE Framework
    Authors: 吳奕信
    Wu, Yi-Xin
    Contributors: 黃俞寧
    Hwang, Yu-Ning
    吳奕信
    Wu, Yi-Xin
    Keywords: 動態隨機一般均衡模型
    總體審慎政策
    流動性覆蓋比率
    貨幣政策
    Dynamic stochastic general equilibrium (DSGE) model
    Macroprudential policy
    Monetary policy
    Liquidity coverage ratio (LCR)
    Date: 2017
    Issue Date: 2017-08-28 11:52:46 (UTC+8)
    Abstract: 本文的研究目的為,在一個包含銀行部門的動態隨機一般均衡模型的架構中,探討流動性覆蓋比率限制在利率的信用管道中所扮演的角色以及其對政體經濟的影響為何。在銀行的資產配置決策內生的情形下,加入流動性覆蓋比率的限制,透過放款的勞動成本與抵押品價值來刻畫金融摩擦;本文發現當經濟體系遭受生產與放款的外生衝擊時,流動性覆蓋比率的限制會增強政策利率的信用管道效果,並且相較於無流動性覆蓋比率限制之模型而言,具流動性覆蓋比率限制的模型,其銀行資產配置的變動幅度與金融摩擦的程度皆較大。
    The main purpose of this paper is to explore the role of the liquidity coverage ratio (LCR) in the credit channel and how it influences the overall economy in a dynamic stochastic general equilibrium (DSGE) model with banking sector. Commercial banks endogenously choose their optimal portfolio of assets under the liquidity coverage ratio restriction. On the other hand, we describe the financial friction through the labor cost of making loans and collateral value. We find that when the economy is exposed to exogenous shocks in production and lending, the liquidity coverage ratio will enhance the effect of credit channel. Compared with the model with no LCR restriction, the degree of change of the bank asset allocation and the financial friction are larger in the model with LCR restriction.
    Reference: Bech, M. L., & Keister, T. (2013). “Liquidity regulation and the implementation of monetary policy.” Bank for International Settlements Working Papers 432.

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    Chadha, J. S., & Corrado, L. (2012). “Macro-prudential policy on liquidity: What does a DSGE model tell us?,” Journal of Economics and Business, 64(1), 37-62.

    Goodfriend, M., & McCallum, B. T. (2007). “Banking and interest rates in monetary policy analysis: A quantitative exploration” Journal of Monetary Economics, 54(5), 1480-1507.

    Hartlage, A. W. (2012). “The Basel III liquidity coverage ratio and financial stability,” Michigan Law Review, 453-483.

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    Description: 碩士
    國立政治大學
    經濟學系
    104258033
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0104258033
    Data Type: thesis
    Appears in Collections:[經濟學系] 學位論文

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