English  |  正體中文  |  简体中文  |  Post-Print筆數 : 11 |  Items with full text/Total items : 88866/118573 (75%)
Visitors : 23568327      Online Users : 166
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/36170


    Title: More on Monetary Policy in a Small Open Economy with Imperfect International Capital mobility: A Credit View
    信用市場、資本不完全移動與浮動匯率之分析
    Authors: 蔡志堅
    Tsai, Chih-Chien
    Contributors: 朱美麗
    Chu, Mei-Lie
    蔡志堅
    Tsai, Chih-Chien
    Keywords: 信用管道
    資本不完全移動
    浮動匯率
    Fleming命題
    共整合
    credit channel
    imperfect internaitonal capital mobility
    floating exchange rate
    Fleming proposition
    cointegration
    Date: 2004
    Issue Date: 2009-09-18 17:22:40 (UTC+8)
    Abstract: A considerable body of theoretical and empirical literature has evaluated the credit channel of monetary transmission. This paper sets up an open-economy model under floating exchange rates with imperfect international capital mobility based on the Bernanke and Blinder model (1988). Employing our model, we show that a change in money supply has different impacts on the economy in many cases compared to the previous literature. The exchange rate puzzle may occur and when the exchange rate puzzle appears, the Fleming proposition is violated. Besides, by means of a cointegration analysis, we empirically verify the particular case of the exchange rate puzzle with the monthly data from May 1984 to January 2005 in Taiwan. Therefore, our empirical evidences can be matched with our theoretical derivations successfully.
    Reference: Abrams, B. A. and F. R. Settle (2003), “Do Fixed Exchange Rates Fetter Monetary Policy? A Credit View,” NBER Working Papers, No. 2003-09.
    Bernanke, B. S. (1983), “Non-monetary Effects of the Financial Crisis in the Propagation of the Great Depression,” American Economic Review, Vol. 73, No.3, pp. 257-276.
    Bernanke, B. S. and S. A. Blinder (1988), “Credit, Money, and Aggregate Demand,” American Economic Review, Vol. 78, No.2, pp. 435-440.
    Bernanke, B. S. and S. A. Blinder (1992), “The Federal Fund Rate and the Channels of Monetary Transmission,” American Economic Review, Vol. 82, No. 4, pp. 901-921.
    Bernanke, B. S. and M. Gertler (1995), “Inside the Black Box: the Credit Channel of Monetary Policy Transmission,” Journal of Economic Perspectives, Vol. 9, No. 4, pp. 27-48.
    Blinder, A. S. and J. E. Stiglitz (1983), “Money, Credit Constraints, and Economic Activity,” American Economy Review, Vol. 73, No. 2, pp. 297-302.
    Brunner, K. and A. H. Meltzer (1968), “Liquidity Traps for Money, Bank Credit, and Interest Rates,” Journal of Political Economy, Vol. 76, No. 1, pp. 1-37.
    Chiades, P. and L. Gambacorta (2004), “The Bernanke and Blinder Model in an Open Economy: The Italian Case,” German Economic Review, Vol. 5, No. 1, pp. 1-34.
    Dickey, D. A. and W. A. Fuller (1979), “Distribution of Estimators for Autoregressive Time Series with a Unit root,” Journal of the American Statistical Association, Vol. 74, No. 366, pp. 427-431.
    Dickey, D. A. and W. A. Fuller (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root,” Econometrica, Vol. 49, No. 4, pp. 1057-1072.
    Eichengreen, B. (1997), “Golden Fetters: The Gold Standard and the Great Depression,” NBER working paper, No. 6060.
    Eichengreen, B. (2002), “Still Fettered After All These Years,” NBER Working Papers No. 9276.
    Friedman, B. M. (1981), “The Relative Stability of Money and Credit Velocities in the United States: Evidence and Some Speculations,” NBER working paper, No. 645.
    Friedman, B. M. (1982), “Debt and Economic Activity in the United States,” NBER working paper, No. 704.
    Friedman, B. M. (1983b), “Monetary Policy with a Credit Aggregate Target,” NBER working paper, No. 980.
    Fleming, J. M. (1962), “Domestic Financial Policies under Fixed and Floating Exchange Rates,” IMF Staff Papers, Vol. 9, pp. 369-379.
    Gertler, M. and S. Gilchrist (1993), “The Role of Credit Market Imperfections in the Monetary Transmission Mechanism: Arguments and Evidence,” Scandinavian Journal of Economics, Vol. 95, No.1, pp. 43-64.
    Gertler, M. and S. Gilchrist (1994), “Monetary Policy, Business Cycles, and the Behavior of Small Manufacturing Firms,” Quarterly Journal of Economics, Vol. 109, No. 2, pp. 309-340.
    Godfrey, L. (1978), “Testing against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables,” Econometrica, Vol. 46, No. 6, pp. 1293-1302.
    Godfrey, L. (1978), “Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables,” Econometria, Vol. 46, No. 6, pp. 1303-1310.
    Gonzalo, J. (1994), “Five Alternative Methods of Estimating Long-Run Equlibrium Relationships,” Journal of Econometrics, Vol. 60, No. 1-2, pp. 203-233.
    Johansen, S. (1988), “Statistical Analysis of Cointegration Vectors,” Journal of Economic Dynamics and Control, Vol. 12, pp. 231-254.
    Johansen, S. and K. Juselius (1990), “Maximum Likelihood Estimation and Inference on Cointegration-with Applications to the Demand for Money,” Oxford Bulletin of Economics and Statistics, Vol. 52, No.2, pp. 169-210.
    Johansen, S. (1991), “Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Models,” Econometrica, Vol. 59, No.6, pp. 1551-1580.
    Johansen, S. and K. Juselius (1992), “Testing Structural Hypotheses in a Multivariate Cointegration Analysis of the PPP and the UIP for UK,” Journal of Econometrics, Vol. 53, No. 1-3, pp. 211-244.
    Kashyap, A. K. and J. C. Stein (1995), “The Impact of Monetary Policy on Bank Balance Sheets,” Carnegie-Rochester Conference Series on Public Policy, Vol. 42, pp. 151-195.
    Kashyap, A. K., J. C. Stein and D. W. Wilcox (1993), “Monetary Policy and Credit Conditions: Evidence from the Composition of External Finance,” American Economic Review, Vol. 83, No.1, pp. 78-98.
    Ljung, G. M. and G. E. P. Box (1978), “On a Measure of Lack of Fit in Time Series Models,” Biometrika, Vol. 67, pp. 297-303.
    Martson, R. C. (1985), “Stabilization Policies in Open Economies,” NBER working paper, No. 1117.
    Meltzer, A. H. (1995), “Monetary, Credit and (Other) Transmission Processes: A Monetarist Prospective,” The Journal of Economic Perspectives, Vol. 9, No. 4, pp. 49-72.
    Modigliani, F. and R. Miller (1958), “The Cost of Capital, Corporate Finance and the Theory of Investment,” American Economic Review, Vol. 48, No. 3, pp. 261-297.
    Mundell, R. A. (1963), “Capital Mobility and Stabilization Policy under Fixed and Flexible Exchange Rates,” Canadian Journal of Economics, Vol. 15, No.4, pp. 87-103.
    Patinkin, D. (1956), Money, Interest, and Prices, New York: Harper and Row.
    Pill, H. (1997), “Bank Behaviour and Monetary Policy in a Small Open Economy: the Case of Spain,” Graduate School of Business Administration Harvard University.
    Poole, W. (1970), “Optimal Choice of Monetary Policy Instruments in a Simple Stochastic Macro Model,” The Quarterly Journal of Economics, Vol. 84, No. 2, pp. 197-216.
    Romer, C. D. and D. H. Romer (1990), “New Evidence on the Monetary Transmission Mechanism,” Brookings Papers on Economic Activity, Vol.1990, No. 1, pp. 149-213.
    Samuelson, P. A. (1947), Foundation of Economic Analysis, Massa., Cambridgfe: Harvard University Press.
    Stiglitz, J. E. and A. Weiss (1981), “Credit Rationing in Markets with Imperfect Information,” American Economy Review, Vol. 71, No.3, pp. 393-410.
    Swoboda, A. K. (1972), “Equilibrium, Quasi-Equilibrium, and Macroeconomic Policy under Fixed Exchange Rates,” The Quarterly Journal of Economics, Vol. 86, No. 1, pp. 162-171.
    Turnovsky, S. J. (1977), Macroeconomic Analysis and Stabilization Policies, London, Cambridge University Press.
    Wu, Y. (1999), “More on Monetary Policy in a Small Open Economy: A Credit View,” Department of Economics and Finance, Franklin P. Perdue School of Business, Salisbury State University.
    Wang, D. N. and G. H. Lee (2004), “The Empirical Analyses on the Monetary Policy Operations and the Transmission Mechanism in Taiwan-Concurrent Study on the Bank Credit Channel and the Stock Price Channel,” Central Bank of China Quarterly Bulletin, Vol. 26, No. 3, pp. 17-56. (in Chinese)
    Description: 碩士
    國立政治大學
    經濟研究所
    92258006
    93
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0922580061
    Data Type: thesis
    Appears in Collections:[經濟學系] 學位論文

    Files in This Item:

    File SizeFormat
    index.html0KbHTML437View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback