政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/111818

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/111818

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政大機構典藏 > 社會科學學院 > 經濟學系 > 學位論文 > Item 140.119/111818

请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/111818

题名:	新凱因斯模型下，貨幣政策與總體審慎政策對於資產價格泡沫的影響 The effect of monetary policy and macro-prudential policy on asset price bubbles in a new Keynesian model
作者:	潘冠中 Pan, Kuan Chung
贡献者:	黃俞寧 Hwang, Yu Ning 潘冠中 Pan, Kuan Chung
关键词:	泡沫隨機動態一般均衡模型擔保率貨幣政策總體審慎政策 Bubbles DSGE model Collateral rate Monetary policy Macro-prudential policy
日期:	2017
上传时间:	2017-08-10 10:06:33 (UTC+8)
摘要:	本研究建立含資產價格泡沫的隨機動態一般均衡 (Dynamic Stochastic General Equilibrium, DSGE) 模型，並以此討論貨幣政策與總體審慎政策的效果。泡沫存在於不動產的股票價格上，且不動產與一般資本皆為生產要素。研究顯示，在隨機衝擊下，一般資本的投資與不動產投資呈現負相關。融資擔保率的調控為總體審慎政策的範疇，本文另研究融資擔保率對經濟變數的影響。結果顯示，當擔保率調升時，產出增加、泡沫減少且不動產的股價 (資產價格) 下跌。本文亦討論依循泰勒法則下的貨幣政策與總體審慎政策對產出與資產價格波動的影響；結果顯示，在經濟景氣時實施緊縮貨幣政策可同時減少資產價格與產出的波動，其效果優於總體審慎政策。 This study established a Dynamic Stochastic General Equilibrium (DSGE) model, which contains asset bubble price, and employed DSGE to discuss the effect of the monetary policy and the macro-prudential policy. Bubbles exist in the stock price of the real estate. Real estate and general capital are both the factors of production. The study indicates that, under stochastic impulse, a negative correlation exists between the investment of the general capital and the investment of the real estate. The study also discusses the operation of the collateral rate, a perspective dealing with macro-prudential policy, and how it influences economic variables. The results present that when collateral rate rises, output increases, bubbles decreases and the stock price of real estate (asset price) declines. The study further investigates how monetary policy, which follows the Taylor rule, and macro-prudential policy affect the vibration of the output and the asset price. The result indicates that during economic prosperity, the implementation of tight monetary policy presents better effect than that of macro-prudential policy since it simultaneously decreases variances of output and asset price.
參考文獻:	李榮謙、黃麗倫 (2010)，「總體審慎政策之意涵、工具與策略」，國際金融參考資料，第五十九輯，48-55。黃俞寧 (2013)，「動態隨機一般均衡架構在台灣貨幣政策制定上之應用」，中央銀行季刊，35(1)，3-33。 Calvo, G. (1983), “Staggered Prices in a Utility-Maximizing Framework,” Journal of Monetary Economics, 12(3), 383-398. Collard, F. and H. Dellas (2007), “The Great Inflation of the 1970s,” Journal of Money, Credit and Banking, 39(2-3), 713-731. Groenewold, N. (2004), “Fundamental Share Prices and Aggregate Real Output,” Applied Financial Economics, 14(9), 651-661. Hayashi, F. (1982), “Tobin`s Marginal q and average q: A Neoclassical Interpretation, Econometrica, 50, 213-224. Ikeda, D. (2013), “Monetary policy and inflation dynamics in asset price bubbles,” Bank of Japan Working Paper Series. Keynes, J. M. (1936). The General Theory of Employment, Interest and Money. London: Macmillan. Kocherlakota, N. (1992), “Bubbles and constraints on debt accumulation,” Journal of Economic Theory, 57, 245-256. Kocherlakota, N. (2009), “Bursting Bubbles: Consequences and Cures,” Manuscript, Federal Reserve Bank of Minneapolis. Nordhaus, W. D. (1992), “Lethal Model 2: The limits to Growth Revisted,” Brookings Papers on Economic Activity, 2, 1-43. Miao, J. (2012), “Bubbles and Total Factor Productivity,” American Economic Review, 102(3), 82-87. Miao, J. (2014), “Introduction to economic theory of bubbles,” Journal of Mathematical Economics, 53, 130-136. Miao, J., P. Wang and Z. Xu (2015), “A Bayesian DSGE Model of Stock Market Bubbles and Business Cycles,” Quantitative Economics, 6, 599-635. Reichling, F. and C. Whalen (2012), “Review of Estimates of the Frisch Elasticity of Labor Supply,” Congressional Budget Office Working Paper. Romer, D. (2006). Advanced Macroeconomics. New York: McGraw-Hill Irwin. Shi, Li. and R. M.H. Suen (2014), “Asset bubbles in an overlapping generations model with endogenous labor supply,” Economics Letters , 123, 164-167. Shiller, R. J. (1981), “Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?” American Economic Review, 71, 421-36. Taylor, J. B. (1993), “Discretion versus policy rules in practice,” Carnegie-Rochester Conference Series on Public Policy, 39, 195-214. Tirole, J. (1985), “Asset Bubbles and Overlapping Generations,” Econometrica, 53(5), 1071-1100. Tobin, J. (1969), “A General Equilibrium Approach to Monetary Theory,” Journal of Money, Credit, and Banking, 1(February), 15-29.
描述:	碩士國立政治大學經濟學系 103258020
資料來源:	http://thesis.lib.nccu.edu.tw/record/#G0103258020
数据类型:	thesis
显示于类别:	[經濟學系] 學位論文

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