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| Title: | 新興凱因斯模型下通貨膨脹與產出缺⼝的動態調整：⾃然利率衝擊與擴張性貨幣政策的分析
Dynamic Adjustment of Inflation and Output Gap in a New Keynesian Model: Analysis of the Natural Rate Shock and Expansionary Monetary Policy |
| Authors: | 陳尚毅
Chen, Shang-Yi |
| Contributors: | 賴景昌
Lai, Ching-Chong
陳尚毅
Chen, Shang-Yi |
| Keywords: | ⾦融危機
新興凱因斯模型
貨幣政策
動態調整
宣⽰效果
Financial crisis
New Keynesian model
Monetary policy
Transitional adjustment
Announcement effect |
| Date: | 2022 |
| Issue Date: | 2022-08-01 18:28:50 (UTC+8) |
| Abstract: | 本⽂以Werning(2012)與Liu, Huang and Lai(2020)為基礎，建構連續時間之下的前瞻性新興凱因斯模型，其中貨幣當局之貨幣政策係採⾏泰勒法則，並且探討貨幣當局事先宣告與未宣告之擴張性貨幣政策(調⾼⽬標通貨膨脹率)，對於經濟體系的產出缺⼝與通貨膨脹率之影響。以及透過負的⾃然實質利率衝擊來詮釋⾦融⾵暴發⽣之時，完全預知的消費者與廠商如何出決策，進⽽影響產出⽔準與通貨膨脹率。本⽂分析得出了兩個結論：
⼀.當⾯臨負的⾃然實質利率衝擊時，將會帶來經濟的衰退並出現通貨緊縮。
⼆.貨幣當局宣告將會調升⽬標通貨膨脹率之際，不論政策的類型為何(暫時性或恆久性貨幣政策)，產出缺⼝與通貨膨脹率會在政策宣告但還未實施之時就先⾏上漲。
This thesis sets up a forward-looking New Keynesian model in continuous time based on Werning (2012) and Liu, Huang and Lai (2020), in which the monetary authority implements a Taylor’s rule. The purpose of this thesis is to analyze how the anticipated and unanticipated expansionary monetary policies (raising the target inflation rate) govern the transitional dynamics of the output gap and inflation rate. In addition, this thesis explains how the perfect foresight households and firms make optimal decisions during a financial crisis via negative temporary natural real interest rate shocks.
Two main findings emerge from the analysis. First, when economy faced with negative temporary natural real interest rate shocks, the economy will sink into a recession with deflation. Second, the output gap and inflation rate will rise immediately before the policy is announced but not yet implemented, regardless of the type of the monetary expansion policy. |
| Reference: | 一. 中文部分
許溪南、王家美(2010),「2008 全球金融海嘯之起因、影響與教訓」,《證券櫃檯月刊》,第一四九期:頁 87-98。
蔡耀如(2010),「金融危機對金融體系與總體經濟之影響」,《全球金融危機專輯(增訂版)》:頁 25-46,台北:中央銀行。
賴景昌(1994),《國際金融理論-進階篇》,第四章,台北:茂昌。
賴景昌(2018),《總體經濟學》,第四版,第十四章,台北:雙葉。
賴景昌(2020),「理性預期」、「宣示效果」、「國際金融」,研究所上課講義。
二. 西文部分
Christiano, L. J., Eichenbaum, M. and Evans, C. L. (2005), “Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy,” Journal of Political Economy, 113, 1-45.
Christiano, L. J., Eichenbaum, M. and Rebelo, S. (2011), “When Is the Government Spending Multiplier Large?” Journal of Political Economy, 119, 78-121.
Eggertsson, G. B. (2011), “What Fiscal Policy is Effective at Zero Interest Rates?” NBER Macroeconomics Annual, 25, 59-112.
Fernández-Villaverde, J., Guerrón-Quintana, P., Rubio -Ramírez, J. F. and Uribe, M. (2011), “Risk Matters: The Real Effects of Volatility Shocks,” American Economic Review, 101, 2530-2561.
Galí, J. (2015), Monetary Policy, Inflation, and the Business Cycle, 2nd Edition. Princeton and Oxford: Princeton University Press.
Holston, K., Laubach, T. and Williams, J. C. (2017), “Measuring the Natural Rate of Interest: International Trends and Determinants,” Journal of International Economics, 108, 59-75.
Liu, S. F., Huang, W. C. and Lai, C. C. (2020), “Could Fiscal Policies Overcome a Deep Recession at the Zero Lower Bound?” MPRA Paper No. 101282.
Rotemberg, J. J. (1982), “Sticky Prices in the United States,” Journal of Political Economy, 90, 1187-1211.
Rotemberg, J. and Woodford, M. (1999), “Interest Rate Rules in an Estimated Sticky Price Model,” NBER Papers No. 6618.
Schmitt-Grohe, S. and Uribe, M. (2004), “Solving Dynamic General Equilibrium Models Using a Second-order Approximation to the Policy Function,” Journal of
Economic Dynamics & Control, 28, 755-775.
Walsh, C. E. (2010), “Teaching Inflation Targeting: An Analysis for Intermediate Macro,” Journal of Economic Education, 33, 333-346.
Walsh, C. E. (2017), Monetary Theory and Policy, 4th Edition. Cambridge, Mass.: MIT Press.
Werning, I. (2012), “Managing a Liquidity Trap: Monetary and Fiscal Policy,” NBER Papers No. 17344.
Wieland, J. F. (2019), “Are Negative Supply Shocks Expansionary at the Zero Lower Bound?” Journal of Political Economy, 3, 973-1007.
Woodford, M. (2003), Interest and Prices: Foundations of a Theory of Monetary Policy. Princeton and Oxford: Princeton University Press.
三. 網站部分
Moll, B. (2012), Lecture 2: New Keynesian Model in Continuous Time. Princeton University.
檢自 https://benjaminmoll.com/wp-content/uploads/2019/07/Lecture2_ECO521_web.pdf (最後瀏覽日期:2022/06/30) |
| Description: | 碩士
國立政治大學
經濟學系
109258035 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0109258035 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202200805 |
| Appears in Collections: | [經濟學系] 學位論文
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