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    题名: 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
    作者: 吳奕信
    Wu, Yi-Xin
    贡献者: 黃俞寧
    Hwang, Yu-Ning
    吳奕信
    Wu, Yi-Xin
    关键词: 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)
    日期: 2017
    上传时间: 2017-08-28 11:52:46 (UTC+8)
    摘要: 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.
    參考文獻: Bech, M. L., & Keister, T. (2013). “Liquidity regulation and the implementation of monetary policy.” Bank for International Settlements Working Papers 432.

    Bernanke, B. S., & Blinder, A. S. (1988). “Credit, Money, and Aggregate Demand,” American Economic Review, American Economic Association, 78(2), 435-439.

    Bernanke, B. S., & Gertler, M. (1989). “Agency costs, net worth, and business fluctuations,” The American Economic Review, 14-31.

    Bernanke, B. S., & Gertler, M., & Gilchrist, S. (1999). “The financial accelerator in a quantitative business cycle framework,”Handbook of macroeconomics, 1, 1341-1393.

    Bindseil, U., & Lamoot, J. (2011). “The Basel III framework for liquidity standards and monetary policy implementation,” SFB 649 Discussion Paper, 2011-2041.

    Calvo, G. A. (1983). “Staggered prices in a utility-maximizing framework.” Journal of monetary Economics, 12(3), 383-398.

    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.

    Taylor, J. B. (1993).“Discretion versus policy rules in practice,” Carnegie-Rochester conference series on public policy, 39, 195-214.

    Teo, W. L. (2009). “Estimated dynamic stochastic general equilibrium model of the Taiwanese economy,” Pacific Economic Review, 14(2), 194-231.
    描述: 碩士
    國立政治大學
    經濟學系
    104258033
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0104258033
    数据类型: thesis
    显示于类别:[經濟學系] 學位論文

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